-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot … the realized-implied volatility spread that can be viewed as a proxy for volatility risk. The results also provide … can be considered as a proxy for jump risk. The parameter estimates from the VAR-bivariate-GARCH model indicate …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …