Forward-looking metrics of uncertainty based on options-implied information should be highly predictive of equity market returns in accordance with asset pricing theory. Empirically, however, the ability of the VIX, for example, to predict returns is statistically weak. In contrast to other...

This study investigates the dynamic pattern of the interdependence among G7 stock markets, namely the US, the UK, France, Germany, Italy Canada and Japan over the 1988-2021 period. The state-space formulation of the time-varying cointegrating coefficient allows us to examine the potential...

We identify crucial events during the European sovereign debt crisis and investigate their impact on the euro currency. In particular, we analyze how specific announcements related to vulnerable Eurozone member states, European Central Bank (ECB) actions, and credit rating downgrades affect the...