We construct daily house price indexes for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the procedure used in the construction of the popular...

Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is widely viewed as puzzling. Importantly however, in addition to direct price risks, jumps may also trigger simultaneous changes in other distributional features of asset returns. We develop...

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

We provide strong empirical evidence for time-series predictability of the intraday return on the aggregate market portfolio based on lagged high-frequency cross-sectional returns from the factor zoo. Our results rely crucially on the use of modern Machine Learning techniques to regularize the...