Title:

What Are the Events That Shake Our World? Measuring and Hedging Global COVOL

Authors:

Robert F. Engle (New York U)
Susana Martins (U Minho, U Oxford, NIPE, U Minho)

Journal:

Journal of Financial Economics

Year:

2023

Volume:

147

Number:

1

Pages:

221-242

JEL codes:

E44 - Financial Markets and the Macroeconomy
G11 - Portfolio Choice; Investment Decisions
G15 - International Financial Markets

DOI:

10.1016/j.jfineco.2022.09.009