This article investigates fve safe-haven asset responses from 2014 to 2022, includ‑ ing the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US inter‑ est rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV)...

Unexpected shifts in the realized stock market volatility, often associated with financial crises, carry a significantly negative risk premium across stocks and Treasuries, which suggests the existence of a unified pricing model. Investors require a premium for holding the risky assets (stocks),...

COVID-19 pandemic is an extreme event that created a turmoil in stock markets around the world. This unexpected circumstance poses a critical question whether the prevailing models can help predict the plummets of indices, hence the returns. In this study, we model the stock returns using...

This paper investigates the return-volatility relation by taking into account the model specification problem. The market volatility is modeled to have two components, one due to the diffusion risk and the other due to the jump risk. The model indicates that under the absence of leverage...

This paper introduces a new methodology to estimate time‐varying alphas and betas in conditional factor models, which allows substantial flexibility in a time‐varying framework. To circumvent problems associated with the previous approaches, we introduce a Bayesian time‐varying parameter...

We investigate whether firm fundamentals can explain the shape of option implied volatility (IV)curve. Extending Geske's (1977) compound option model, we link firm fundamentals to the IV curvetheoretically. Using options on all available US-listed companies, we find empirically that...

March 2020 packed 2 ½ years of normal U.S. stock market volatility into one month, making it the most volatile month on record. Daily variability clocked in at 6%, six times higher than the average over the past 90 years. How should an investor respond to such volatility? In this article we...

Extending previous work on mutual fund pricing, this paper introduces the idea of modeling the conditional distribution of mutual fund returns using a fat tailed density and a time-varying conditional variance. This approach takes into account the stylized facts of mutual fund return series,...

Während direkte Immobilieninvestments lang Zeit als renditeträchtig bei gleichzeitig begrenztem Risiko galten, führte den Anlegern insbesondere die gegenwärtige Finanzmarktkrise vor Augen, dass auch Immobilienanlagen insbesondere in den USamerikanischen Häusermarkt mit hohen Risiken...

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...