We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The … difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside … variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor …

random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as … on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that …

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the … borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the sensitivity of … frequency. Results suggest that refinancing risk affects the spread significantly across time, albeit in a largely varying …

In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the … generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity …

question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure … use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted …

controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …

volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates …