. This paper proposes a present value model incorporating this persistence through a time-varying steady state of the PtDR …. Log-likelihood statistics confirm that the time-varying state model outperforms its counterpart with a constant steady … state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the …

in the timing literature. The Kalman filter approach considered in this paper introduces time-variation in risk exposures … as monthly risk factor timing. Moreover, timing of liquidity risk is explored as evidence on this issue is still missing … are no daily risk factor timing abilities by the asset managers examined, but that non-plausible evidence of perverse …

distribution for different time scales. Our approach divides the nonlinear link between expected returns and idiosyncratic risk …We analyze whether the idiosyncratic risk puzzle noted by Ang et al. (2006, 2009) can be explained by the existence of … wavelets, to different definitions of short-term investors and to various measures of idiosyncratic risk …

The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics … observed timing of equity risk outperform those that do not, particularly so out of sample. Indeed, the mean (median) certainty … equivalent return increases from about 13% (12%) to about 21% (15%) because properly modeling the timing of equity risk implies …

, including many previously unexploited monthly and real-time measures of inflation expectations. These higher frequency measures …

We study aggregate lapsation risk in the life insurance sector. We construct two lapsation risk factors that explain a … heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with higher health risk … hedging and valuation of life insurance contracts. Ignoring aggregate lapsation risk results in mispricing of life insurance …