We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatilities and correlations by bringing together the established historical simulation framework and recent contributions to the Dynamic Factor Models literature. We find that...

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and index option returns. The analysis employs a non-linear factor model, estimated with the Fama-MacBeth methodology, where the macroeconomic uncertainty factor is the return on a...

We evaluate the short horizon predictive ability of financial conditions indexes for stock returns and macroeconomic variables. We find reliable predictability only when the sample includes the 2008 financial crisis, and we argue that this result is driven by tailoring the indexes to the crisis...