This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …