This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model …

We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign …

addition to the credit risk of the sovereign it reflects a whole set of extra risk factors such as inflation, exchange rate …

-varying systemic risk based on a range of multi-factor asset pricing models. Methodologically, we develop a Markov Chain Monte Carlo …

We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our …

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 …

a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty … on consumption growth induces a "flight to safety" that results in lower risk-free rates, higher equity premium, and …