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 …

fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually …. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty …A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic …

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …

require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …