Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 … macroeconomic factors allows us to analyze their effect on the risk aversion of market participants. Looking at the impact of the … recent crises, we see that particularly the market prices of risk for the real activity and the price factor changed most …

sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A …, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

This study analyzes the relationship of individual risk attitudes and occupational sorting with respect to occupational … earnings risk. By using the German Mikrozensus, a precise measure for earnings risk is computed as the occupation-wide standard … deviation of wages. Following the procedure proposed by Bonin (2007), this earnings risk measure is used as dependent variable …

This study analyzes the relationship of individual risk attitudes and occupational sorting with respect to occupational … earnings risk. By using the German Mikrozensus, a precise measure for earnings risk is computed as the occupation-wide standard … deviation of wages. Following the procedure proposed by Bonin (2007), this earnings risk measure is used as dependent variable …

risk premia. The extent of this bias is substantial as verified by a bootstrap approach. We present an alternative … estimation equation for future expected one-period returns based on current and past implied rates of return that is superior to … simple estimators based on historical returns. The reason for this superiority is a lower variance of estimation results and …

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We ….K. result in quite similar patterns. Defining a “global” variance risk premium, we uncover even stronger predictability and …

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We ….K. result in quite similar patterns. Defining a “global” variance risk premium, we uncover even stronger predictability and …