markets, particularly in light of the rapid proliferation of high-frequency trading practices.To address these extant …

This paper studies empirically the relationship between trade policy and individual income risk faced by workers. The … analysis proceeds in three steps. First, longitudinal data on workers are used to estimate time-varying individual income risk … parameters in various manufacturing sectors. The estimated income risk parameters and data on trade barriers are then used to …

incomplete markets model and find that advance information reduces households' income forecast errors by 15%. Our estimation …

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty … generates a sizable average annual equity premium, relatively low average risk-free rate and a high mean Sharpe ratio that … approximates the data average with (1) low risk aversion, (2) non-persistent (i.i.d.) growth rates, (3) power utility, (4) diffuse …

In this paper, we investigate how climate risk impacts the sovereign risk, the stock market evolution, and the degree … as a percentage of GDP. Moreover, the climate risk leads to an increase in sovereign risk only across inferior quantiles … competitiveness of a country is influenced to a small extent by the level of climate risk. This could be a consequence of concerns …

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of … financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover … among the stock markets in the countries from Central and East Europe (CEE) and Germany and France with the aim to identify …

quanto adjustment showing that this is affected by higher order cumulants of the pure jump part of the systematic risk factor …

The author introduces risk-averse preferences, labor-leisure choice, capital, individual productivity shocks, and …