This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

each and every continent of the world. The economic and financial market response has been equally disastrous and turbulent … with high levels of volatility observed across international financial markets. This study explores the temporal relation … between the observed structural breaks, market volatility and government policy interventions for 28 countries and their …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …