correlation, the multivariate model tends to produce forecasts of tail risk which are lower than the realized tail risk, under the … normality assumption. Chapter 3 finds that a risk factor, constructed from high frequency market price data and representing the …. Small, growth and high beta portfolios are particularly subject to the asymmetry risk. A multi-factor pricing model with the …

This paper investigates the effects of uncertainty on the macro economy by replicating its micro effects on individual … the two scenarios through the empirical macroeconomic uncertainty index. The higher the macroeconomic uncertainty is, the … appropriate level of ambiguity aversion outperforms the benchmark model with no uncertainty in fitting the US output growth rate …