Favero, Carlo A.; Nucera, Federico - In: Economic Notes 43 (2014) 1, pp. 1-19
type="main" xml:lang="en" <title type="main">Abstract</title> <p>We perform a cross-country comparison of stock market risk. Stock market risk is defined as the standard deviation of cumulative stock market returns. We model stock market returns in a VAR(1) system jointly with bond returns and a set of predictive variables....</p>