-especially volatility and illiquidity shocks-over the subprime crisis in order to investigate their market timing activities. In a … systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results …

- specifically, volatility clustering effectively captured by a GARCH model - this approach achieves global identification of shocks … while allowing for volatility spillovers across them. Findings reveal that increased variance in aggregate demand shocks … increases the oil-equity price covariance, while precautionary demand shocks, triggering heightened investor risk aversion …