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

-varying asset risk assessments in accounting for what, on the basis of many earlier studies, appear to be time-varying differentials … risk premia are constant over time. Third, although for long-term debt the two statistical methods used here give sharply … standard representation of equity risk by a single normally distributed disturbance is overly restrictive …