fluctuations in uncertainty with persistence ranging from 32 to 128 months carry a negative price of risk of about -2% annually …. The price of risk for fluctuations with persistence outside of this range and for the raw series of aggregate uncertainty … is insignificant. Also, equity exposures are negative and hence the corresponding risk premia are positive. I quantify …

returns on stocks, adjusted for volatility, are much higher in recessions than in expansions. We consider feasible trading … expected near-term dividend growth. Our findings imply that value-maximizing managers face much higher risk-adjusted costs of …

affecting spillover effects. This study derives a risk spillover measure based on the attributes of static and dynamic spillover … Korea), and major global markets (the European Union, the United Kingdom, and the United States). We aim to examine risk …. We find complex intra-group return and volatility connectedness among ASEAN-4 markets and moderate inter-group return and …

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield …

Bond prices from 1897 to 1926 have not been compiled. Financial historians have made do with yield series offered by … Macaulay (1938) or with yield summaries found in Durand (1942), Hickman (1958), or Homer (1963). Where holding period returns … have been of interest (Siegel 2014), these have been constructed using yield estimates rather than price observations. I …