We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

assumed to modulate the systematic risk in part by observing how the benchmark returns are related to some set of imperfect …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a … the US Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …