Under what conditions can the term structure of risk premia be downward sloping, as reported in a number of recent … empirical studies? I study fixed income and equity risk premium term structures and the long run risk in a continuous time Lucas …-Zin-Weil preferences. I derive closed form solutions for the term structures of the risk premia of finite maturity bonds, the equity market …

VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

model of default (Yildirim 2006), the Omega risk model of bankruptcy in risk analysis (Gerber, Shiu and Yang 2012), and a … diffusion risk model with surplus-dependent tax (Albrecher and Hipp 2007, Li, Tang and Zhou 2013) …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a … the US Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …

dynamics of the risk premia - features that are all present in the data. I use the model to assess how accurately the term …-varying risk premia make it very hard to accurately track changes in the expected path of real or nominal yields over horizons of …

risks significantly contribute to the variation of yields and risk premiums for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in aggregate demand variance significantly lowers risk premiums. Macro risks also …