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• W4210361258 endingPage "106399" @default.
• W4210361258 startingPage "106399" @default.
• W4210361258 abstract "In this paper we carry out a cross-country analysis of the correlation risk premium. We examine the statistical properties of the implied and realized correlation in European equity markets and relate the resulting premium to US equity market correlation risk and a global correlation risk premium. We find evidence of strong co-movement of correlation risk premiums in European and US equity markets. Our results support the existence of a strong empirical relationship between the global correlation risk premium and international equity market option returns. We document the dependence of the correlation risk premium on macroeconomic uncertainty and related variables." @default.
• W4210361258 created "2022-02-08" @default.
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• W4210361258 date "2022-03-01" @default.
• W4210361258 modified "2023-10-01" @default.
• W4210361258 title "The Correlation Risk Premium: International Evidence" @default.
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• W4210361258 doi "https://doi.org/10.1016/j.jbankfin.2021.106399" @default.
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