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 …

common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial … production series for the US economy. Our results indicate that common uncertainty and uncertainty linked to nondurable goods … both recorded their pre-pandemic global peaks during the 1973-75 recession. In contrast, durable goods uncertainty recorded …

of high uncertainty. This book begins by dividing the business landscape into three distinct domains; (1) Fragile, (2 …

We study business uncertainty in high- versus low-volatility environments by surveying over 31,000 managers across 41 … countries. We elicit subjective probability distributions for future own-firm sales and measure firm-level uncertainty with … new facts. (1) Subjective uncertainty and realized volatility both decline with GDP per capita. (2) Managers underestimate …