alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster … and the long-run risk paradigm can be extended towards explaining movements in the stock-bond correlation. …

, value at risk and semi-variance in GARCH specification. Daily data is used for stock returns for the period of Jan 2000 to …) Model is extended with Value at Risk in mean and variance equation. It is concluded that VaR is significantly negatively …-variance for KSE. It is concluded that semi-variance is significant and indicates that downside risk has negative impact. In last …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming …

In a seminal contribution, Campbell (1996) [Campbell, J., 1996, Understanding Risk and Return, Journal of Political … predictors of portfolio returns are estimated and used as risk factors in an asset pricing model. One key element is the … of risk associated with the predictors non identifiable. This is because they depend on the arbitrary ordering of the …