. We find complex intra-group return and volatility connectedness among ASEAN-4 markets and moderate inter-group return and … volatility connectedness between ASEAN-4 and regional and global markets at different time horizons. …

generates endogenous consumption volatility risk. Precautionary savings motives make consumption sensitive to shocks in bad … price and business cycle moments: equity, firm value, and risk-free rate volatility; the equity premium; excess return … predictability; consumption growth predictability; basic moments of consumption, output, and investment; and more. The model also …

volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: expected returns increase for stocks when volatility increases from moderate to high levels, while … risk is a nonlinear function of market volatility …

12 years of high-frequency data from U.S. and German sovereign bond markets. We detect realized volatility and realized …

consumption and inflation dynamics. In particular, the means, volatilities, and the correlation structure between consumption …

for consumption volatility is negative, suggesting that long-term real bonds provide an effective hedge against the … volatility risk in consumption growth. In contrast to the standard long-run risk model, however, we find strong evidence that the …This paper estimates a consumption-based, no-arbitrage model of the term structure of real interest rates. The model …

run component of consumption growth process is proxied by a news based index that is created using a random forest … algorithm. This news index is shown to predict aggregate long term consumption growth with an R-square of 57% and is robust to … model that arises due to measurement error in consumption data and show that this bias term is non-zero. Using a three pass …

We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian … short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a … of the standard CAPM and the consumption CAPM in explaining these well-documented return behaviors …