This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity...

The COVID-19 pandemic has caused severe disruption to economic activity worldwide. This note analyzes what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. We identify bull and bear market regimes including their...

Material news events can be potentially important sources of jumps in stock returns. We collect 21 million news articles associated with more than 9,000 publicly-traded companies and use textual analyses to derive measures to summarize the news. We find that stock return jumps (including...

A potential important source of jumps in stock returns can be material news events. In this paper, we collect 21 million news articles associated with more than 9000 publicly-traded companies and use textual analysis to derive measures summarizing those news. We find that measures of news flow...

Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlations forecasts are affected by model uncertainty, sources of which can include uncertainty about changing fundamentals and associated...

This paper proposes a flexible but parsimonious specification of the joint dynamics of market risk and return to produce forecasts of a time-varying market equity premium. Our parsimonious volatility model allows components to decay at different rates, generates mean-reverting forecasts, and...

Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include uncertainty about changing fundamentals and associated...

Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include uncertainty about changing fundamentals and associated...