This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876 … of rare disasters models. Our macro risk estimates covary with asset prices and forecasts future stock returns, in line … with the prediction that macroeconomic tail risk drives the equity premium. A rare disaster model, calibrated from …

We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given … estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk …