Monetary policy affects financial markets and the broader economy in part by changing the
risk appetite of investors. This article provides new evidence for this so-called risk-taking …

We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds,
featuring time variation in both risk aversion and economic uncertainty. The joint dynamics …

I examine the spillover effects across the three different long-short portfolio indices during
the COVID-19 pandemic. The relative outperformance of the ESG portfolio, reported by …

We decompose the squared VIX index, derived from US S&P500 options prices, into the
conditional variance of stock returns and the equity variance premium. We evaluate a …

Performance measurement is one of the most studied subjects in financial literature. Since
the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures
of the monetary policy stance. When decomposing the VIX into two components, a proxy for …

This paper introduces a new indicator of contemporaneous stress in the financial system
named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is …

Stronger investor interest in commodities may create closer integration with conventional
asset markets. We estimate sudden and gradual changes in correlation between stocks …

The US economy is currently experiencing a period of signifi-cant financial stress. This
stress has contributed to the downturn in the economy by boosting the cost of credit and …

We propose a new, valuation-based measure of world equity market segmentation. While
we observe decreased levels of segmentation in many countries, the level of segmentation …