fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they …

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

We predict bond betas conditioning on a number of macro-finance variables. We explore differences across long … bond betas …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … forecasts appears a much less important driver of bond premia. …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk …

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination … currencies. In this framework, we focus on the risk spillovers across equities within the same sector (sector spillover), and …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

develop the methodology to predict, dissect and interpret the h-day financial risk in data-driven portfolios. Our risk … budgeting approach is based on a flexible risk factor model that accommodates the dynamics in portfolio composition directly … within the risk factors. Once these factors are defined, we cast portfolio risk measures, such as value-at-risk, into an …