these options. The signs of the estimated risk premia are consistent with theory, their economic magnitudes show that a long …

We propose a conditional model of asset returns in the presence of common factors and downside risk. Specifically, we … states; we show how to recover the observable factors' risk premia from the estimated latent ones in different states. The …

We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks … and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic …. Common jumps affect all stocks, albeit to varying degrees, while idiosyncratic jumps are stock-specific. Despite the fact …

returns and volatility allow to influence pairs of assets, and derive several case studies linking commodities to stocks …

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of … Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference … to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of …-Bayesian and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …

copulas tend to understate them. Since risk aversion and efficient markets suggest that investors should demand a premium for …

predictive regressions and out-of-sample forecasts. We document the significant predictive power of the variance risk premium … (VRP), Generalized Riskiness (GR), and higher-order moments for horizons ranging from 1 to 250 days. These four risk … complementary predictors for several horizons, including under one month (VRP) and longer horizons (GR). Risk-neutral skewness and …