SNB research examines spillover risk in international equity portfolios
A working paper published by the Swiss National Bank on April 23 examines risk spillovers in international equity markets.
The paper's authors, Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo, concentrate their research within two metrics: sector-only risk, which the authors define as risk spillover within equities that are within the same sector, and currency spillover, which they define as spillover from currencies to international equities.
The authors compare those specific spillover
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