In a consumption based asset pricing model one can calculate the volatility of (log-)consumption-growth from the expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure ambiguity about consumption volatility. Using a long dataset we...

We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet...