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

assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk …The central ingredient of empirical asset pricing tests is the (expected) risk premium. However, heterogeneity in … between quantities of risk and compensation for risk and document a stronger link than previously documented …

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 …

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 …