The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical …-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts …, these implications dictate the role of volatility in macroeconomic models …