the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

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 …

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

differential in Brazilian and U.S. manufacturing coincides, and is considerably smaller than in France. Estimates are unaffected by … those of France. Worker characteristics have comparable explanatory power for manufacturing wage variability in the three …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper … concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to …