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

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which …

volatility, that this impact depends on the transmission of information (rather than just noise), and that this information … central bankers - to better understand whether this channel matters and, if so, the nature of the information being …, testimonies, and FOMC meetings (STF's) - and volatility in the 30-year U.S. Treasury bond futures market. Using high …

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio …

the magnitude of the optimal paygo program and the nature of the underlying risk sharing effects are very sensitive to the … chosen combination of risk concepts and stochastic specification of long run aggregate wage income growth. In an additive way … we distinguish between the pooling of wage and capital risks within periods and two different intertemporal risk sharing …