Title:

The Correlation Risk Premium: International Evidence

Authors:

Gonçalo Faria (U Católica Portuguesa, U Vigo)
Robert Kosowski (Imperial Col London, Oxford-Man Institute of Quantitative Finance)
Tianyu Wang (Tsinghua U)

Journal:

Journal of Banking and Finance

Year:

2022

Volume:

136

JEL codes:

G15 - International Financial Markets
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.jbankfin.2021.106399