If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the … arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the … form of positive expected returns from their positions. We show that this interaction can produce an affine factor …

index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a … the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for …

returns exceeding specific thresholds are compared to market views indicated by index options with strikes at analogous …

returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and … multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our …

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic … downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension … reduction estimators for constructing systemic risk indexes from the cross section of measures and prove their consistency in a …

standard frameworks. Equity returns depend upon both domestic and global risk factors. Further, local investors tend to … continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with …

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states … systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns … than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as … for measuring market stress, risk management and optimal portfolio choise are also investigated. …