Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

that the convenience yield curve is well explained by a level and a slope factor. Consistent with the theory of storage …

risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory …

fit for both the historical and the risk-neutral distribution of returns, compared to existing affine generalized …

are, on average, a cheaper source of funding, but carry counterparty risk. The model penalizes a skewed maturity profile …

risk to obtain plausible decompositions of forward curves. The forecasts of interest rates and exchange rates from the … international term and foreign exchange risk premia as well as expected exchange rate changes. …