We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …

possibility of bubbles depending on the risk-free rate, uncertainty about market depth, and traders’ degree of leverage. This …

Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not … recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business … cycle model with a small, exogenously time-varying risk of economic disaster. The model replicates the level, volatility and …

Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not … recessions, is exposed to economic depressions, this paper embeds a trade-off theory of capital structure into a real business … cycle model with a small, exogenously time-varying risk of economic disaster. The model replicates the level, volatility and …

Persistence risk is an endogenous source of risk that arises when a rational agent learns about the length of business … cycles. Persistence risk is positive during recessions and negative during expansions. This asymmetry, which solely results … from learning about persistence, causes expected returns, return volatility, and the price of risk to rise during …

correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative …, increasing systematic uncertainty and incentivizing learning about the systematic risk. This learning complementarity leads to … risk concentration …