the usefulness of the methodology by testing the linear risk-return relation predicted by theICAPM.[...] …

We develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock … returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models where the conditioning …. Weaddress consistent estimation of the asymptotic variance, and testing for asset pricing restrictions inducedby the no …

returns. Nevertheless, neglecting the curvature factor would lead to a significant underestimation of the interest rate risk … the German equity market, suggesting that both represent systematic risk factors. …

With increasing appreciation of the fact that stock return variance is stochastic and variance risk is heavily priced …, the industry has created a series of variance derivative products to span variance risk. The variance swap contract is the … structure of the variance swap rates to analyze the return variance rate dynamics and market pricing of variance risk. We then …

-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal ... …

simultaneously,suggesting jump risk is diversifiable. We relate the remaining jumps tomacroeconomic news, prescheduled company …