the relation between idiosyncratic risk and returns, we fail to find a significant relation …

both risk aversion and economic uncertainty. The joint dynamics among cash flows, macroeconomic fundamentals and risk … aversion accommodate both heteroskedasticity and non-Gaussianity. The model delivers measures of risk aversion and uncertainty … at the daily frequency. We verify that equity variance risk premiums are very informative about risk aversion, whereas …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …

uncertainty about real growth prospects and habit -- based risk version. In the US, high expected inflation has tended to … coincided with periods of heightened uncertainty about real economic growth and unusually high risk aversion, both of which …

The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The … variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of … the risk-neutral entropy and variance of the aggregate market return, refute the bulk of the extant consumption …

") and changes in risk aversion in the determination of the term structure, equity prices, and risk premiums. Theoretically … the variation in price-dividend ratios and the equity risk premium is primarily driven by risk aversion, uncertainty plays …