Identifying Shocks to Systematic Risk in Times of Crisis
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https://www.nber.org/papers/w32693
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资源简介：
We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises Covid-19 pandemic, Global Financial
提供机构：
美国国家经济研究局
创建时间：
2024-07-01
