account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

out the implied behavior of time-varying risk premia and/or market forecasts. We then use a new technique to test whether … stationary risk premia alone can be responsible for these rejections. Surprisirj1y, this test is rejected for short maturities up … to 6 months, suggesting that time-varying risk premia do not explain it all. We also describe hew this method can be used …

-varying asset risk assessments in accounting for what, on the basis of many earlier studies, appear to be time-varying differentials … risk premia are constant over time. Third, although for long-term debt the two statistical methods used here give sharply … representation of equity risk by a single normally distributed disturbance is overly restrictive …