the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to good news, but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework … term structure of the variance risk premium and finds that a short-run component dominates market excess return …

risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and … that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from …

This paper describes a set of indicators of systemic risk computed from current market prices of equity and equity … indicators represent a systemic risk event as the realization of an extreme loss on a portfolio of large-intermediary equities …. The technique for computing them combines risk-neutral return distributions with implied return correlations drawn from …

This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile …

where the time variation of the price of risk is a function of the level of the VIX. …