We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of …-sorted decile stock portfolios and show that large firm tail risk increases during recessions more than small firms tail risk. Our … risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows …

) risk premia in different frequency ranges. To achieve the identification, I employ the long-run projections and the … consumption risk premia in different frequency bands. I then perform the method on the US data across different asset classes. My …