I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents … require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate …

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents … require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate …

We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …

We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these …