Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican …

relative risk aversion. This last result occurs because taste shocks reproduce the large observed equity premium by shifting … weight away from consumption risk in favor to taste risk …

contingent claims with varying seniority on the cash flow performance of a designated pool of asset exposures. Efficient risk …

We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the … market goes down than when it goes up, and also provide such tests for asymmetric betas and covariances. When stocks are …

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 …

tests on individual stocks | with no loss in power. Finally, our bootstrap implementation, which allows us to impose the …