Time-Varying Linkages Between Survey-Based Financial Risk Tolerance and Stock Market Dynamics: Signal Decomposition and Regime-Switching Evidence

This study examines how aggregate financial risk tolerance (FRT), measured from repeated survey responses, co-evolves with stock-market dynamics over time. The observed FRT index is treated as a noisy preference signal containing both gradual drift and episodic deviations, and its market relevance i...

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Auteur principal:	Wookjae Heo
Format:	Artigo
Langue:	Inglês
Publié:	MDPI AG 2026-02-01
Collection:	Mathematics
Sujets:	financial risk tolerance risk appetite investor sentiment time-varying VAR signal decomposition Hodrick–Prescott filter
Accès en ligne:	https://www.mdpi.com/2227-7390/14/4/667
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