. 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 …

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 …

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 …

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

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 …

finite channel capacity -- affects optimal consumption and investment decisions in an otherwise standard intertemporal model … of portfolio choice. We first explicitly derive optimal consumption and portfolio rules under RI and then show that …-run consumption risk. We also show that the investment horizon matters for portfolio allocation in the presence of RI, even if …

I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside … consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross … considerably improves the fit of consumption-based asset pricing models …