obtained with other measures and provide new evidence on the time-series properties and predictive power of idiosyncratic risk … explanatory power of idiosyncratic risk on the average market portfolio return. Additionally, we provide some criteria for the …

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectationsaugmented specification reduces pricing and premium …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to … of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross …

financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models …

financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …

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