Bonaccolto, Giovanni; Caporin, Massimiliano - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-25
Several market and macro-level variables influence the evolution of equity risk in addition to the well-known volatility persistence. However, the impact of those covariates might change depending on the risk level, being different between low and high volatility states. By combining equity risk...
