Risk management is an important aspect of financial research because correlations among financial data are essential in evaluating portfolio risk. Among various correlations, spatiotemporal correlations involve economic entity attributes and are interrelated in space and time. Such correlations...

We conjecture that the forward puzzle may reflect career risks: when professional investors observe public danger signals about a currency, they require a premium for holding it. We find evidence of this in ERM rates. As deep discounts do signal danger, we next specify nonlinear variants of the...

This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that...