curve is decreasing if the representative agent is prudent (<i>u'''</i>> 0), because of the increased risk that it yields … (<i>u''''</i>< 0), because the change in downside risk (or skweness) that it generates. Finally, using these theoretical …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

and probabilities are adjusted for risk, the two approaches are identical. What we would wish a reader to take away from …

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a … the U.S. Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …

spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …