What are the events that shake our world? Measuring and hedging global COVOL
定义了全球共同波动率（global COVOL）作为衡量全球金融风险的指标，提出了一种新的统计估计量和检验方法，并通过实证识别出对金融市场影响最大的事件，对投资组合优化和风险预测有实用价值。
Some events impact volatilities of most assets, asset classes, sectors and countries, causing serious damage to investment portfolios. The magnitude of such shocks is defined as global COVOL which is an abbreviation for global common volatility, a broad measure of all types of global financial risk. This paper introduces a statistical formulation of such events as common volatility innovations in both a multivariate volatility and an asset pricing context. Simulations verify the statistical performance of a simple but novel estimator and of a test to detect global COVOL. Two empirical examples show the events that have had the biggest impact on financial markets. The results are useful for portfolio optimization and risk forecasting.