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 …

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency …

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

inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find …

risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

Bayesian estimation approach called the density-tempered sequential Monte Carlo method. Our findings indicate that the …, as well as Value-at-Risk and Expected Shortfall prediction. …

risk and emphasizes its role as a long-run determinant of productivity, output, and income stability, and the likelihood of …

market measures of inflation expectations free of any risk premium, eliminating potential biases included in other measures …