expect both higher returns and lower volatility, which implies that household Sharpe ratios are procyclical. Separately …

generated from the model is consistent with a range of financial anomalies observed in the return data: volatility clustering …, asymmetric volatility, and increased idiosyncratic volatility. The calibration results further indicate that earnings management … by individual firms does not only deliver the observed features in their own stocks, but can also be strong enough to …

timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds …

volatility. Models with stochastic volatility from jumps and models with Poisson jumps cannot represent excess kurtosis and tails …, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either … compound Poisson or Lévy alpha-stable jumps. To be able to estimate the models with latent Lévy alpha-stable jumps, I construct …