approach allows computationally fast estimation of term structure models with a large number of pricing factors. Even though we … structure of interest rates with small pricing errors compared to commonly reported specifications, both in and out …

; congestion ; asset pricing …

estimate prices of risk using a cross-sectional asset pricing approach and show that U.S. dollar funding liquidity forecasts … liquidity channel in an intertemporal equilibrium pricing model where the “risk appetite” of dollar-funded intermediaries … the more familiar “carry trade” channel. -- Asset pricing ; financial intermediaries ; exchange rates …

yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a … ; asset pricing ; monetary policy …

derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset-pricing …-bearing capacity have particularly strong forecasting power for energy returns, both in sample and out of sample. -- Asset pricing …