making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

We conduct an international analysis of the cross-sectional risk premiums of uncertainty risk factors in addition to … traditional risk factors. We consider the stock markets in five regions separately. Internationally, uncertainty has negative risk … uncertainty betas. We further contribute with an analysis of downside uncertainty risk. Here, the downside uncertainty risk factor …

identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight …

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …