regularizing appropriate groups of coefficients. The second pass delivers risk premia estimates to predict equity excess returns …

The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of … credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these …

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk …

standard for yield curve estimation …

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance … swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …

for tail risk through evaluation of Value-at-Risk (VaR) and expected shortfall (ES) accuracy. Our results show that crude … their corresponding two-moment ones. We adopt CF3 to disentangle skewness effects from kurtosis in tail risk …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …