asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …

as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …

term interest rates. The response of the short end of the yield curve (i.e., of short term interest rates) is found to be … steepening of the yield curve. This result is consistent, among other interpretations, with medium-term expectations of a …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …