the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that … multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile …

long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework … term structure of the variance risk premium and finds that a short-run component dominates market excess return …

prepayment option show a pronounced smile with respect to the MBS coupon. We propose prepayment model risk as a candidate driver … of MBS spreads and present a new pricing model that uses “stripped” MBS prices to identify the contribution of this risk … to option-adjusted spreads. With this pricing model, we find that prepayment model risk explains the smile, while the …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …