than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a … risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset … category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from …

We develop a new approach to the decomposition of income risk within a nonstationary model of intertemporal choice. The … approach allows for changes in income risk over the life-cycle and with the business cycle. It requires only repeated cross … decomposing income risk. The approach is used to investigate the changes in income risk in Britain across the inequality growth …

We study workers' idiosyncratic earnings risk over the life-cycle using a German administrative data set. Positive and … incomplete markets model. Moreover, age-varying risk implies a linear increase in consumption inequality late in working life …

We estimate the changes in US male labor market risk over the last three decades in a model of endogenous labor supply … a life-cycle model with search frictions, we show that the estimated changes in risk can account for 85 percent of the … increase in within group wage inequality. The welfare costs of rising risk are small …

Trusting behavior has been shown to affect households' portfolio choice between risky and risk-free financial assets …

this relation is driven by a link between internal economic locus of control and a lower perception of the risk of …