The concept of sustainable development with three-dimensional formula was used to compare the sustainability of the electricity industry in Mexico and its northern border. Energy indicators for economic, social, and environmental dimensions were applied to the electricity industry between 1993...

This paper aims to assess the macroeconomic and financial impact of economic uncertainty using information contained in the second moments of financial risk factors employed in the asset pricing literature. Specifically, we propose the volatility of consumption-based stochastic discount factors...

This paper studies the determinants of the variance risk premium and discusses the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns. But the uncertainty that...

This paper derives closed-form expressions for consumption-based stochastic discount factors adjusted by market-wide illiquidity shocks, considering both contemporaneous and ultimate consumption risk. We find that market-wide illiquidity risk is important for pricing risky assets under...