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Journal of Financial Economics, ISSN 0304-405X, 10/2015, Volume 118, Issue 1, pp. 113 - 134
The variance risk premium, defined as the difference between the actual and risk-neutral expectations of the forward aggregate market variation, helps predict... 
RARE DISASTERS | PRICE | SPOT | INVESTOR SENTIMENT | JUMP | INFERENCE | Variance risk premium | BUSINESS, FINANCE | Return predictability | EXPECTED STOCK RETURNS | Market sentiment and fears | FEARS | Time-varying jump tails | ECONOMICS | VOLATILITY
Journal Article
Journal of International Economics, ISSN 0022-1996, 05/2013, Volume 90, Issue 1, pp. 17 - 32
We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely... 
Time-varying risk premia | Affine model | Local and global factors | HABIT | YIELD CURVE | INFORMATION | LONG-RUN | EXPECTED RETURNS | PREDICTABILITY | TERM STRUCTURE | MODELS | COMMON | ECONOMICS | STOCKS | Business cycles | Foreign securities | Financial markets
Journal Article
Journal of Mathematical Economics, ISSN 0304-4068, 2011, Volume 47, Issue 3, pp. 253 - 259
Time-varying risk premia (TVRP) is one of the four sources of stock return autocorrelation. TVRP arises in a securities market equilibrium when the equilibrium... 
Time-varying risk premia | Stock return autocorrelation | Efficient markets hypothesis | SOCIAL SCIENCES, MATHEMATICAL METHODS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | ECONOMICS | Time-varying risk premia Stock return autocorrelation Efficient markets hypothesis | Financial markets
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2002, Volume 63, Issue 3, pp. 415 - 441
Linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional “expectations theory”. This paper shows... 
Expectations puzzle | Affine term structure | Market price of risk | Time-varying risk premium | Predictability | time-varying risk premium | BUSINESS, FINANCE | INFORMATION | affine term structure | INTEREST-RATES | ECONOMICS | predictability | market price of risk | expectations puzzle | Economic forecasting | Research
Journal Article
European Economic Review, ISSN 0014-2921, 02/2013, Volume 58, pp. 58 - 80
Based on expectations data from the Survey of Professional Forecasters (SPF), we construct a real-time proxy for expected term premium changes of US long-term... 
Time-varying risk premia | Macroeconomic uncertainty | Bond risk premia | Expectations hypothesis | Term premia | Forecast dispersion | HABIT | INFLATION RISK PREMIA | YIELD CURVE | FORECAST UNCERTAINTY | MODEL | SPECIFICATION | PANEL-DATA | BOND YIELDS | DYNAMICS | ECONOMICS | Treasury securities
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 2011, Volume 18, Issue 5, pp. 833 - 846
This paper examines out-of-sample option pricing performances for the affine jump diffusion (AJD) models by using the S&P 500 stock index and its associated... 
Affine jump diffusion | Time-varying jump risk premia | Option pricing | BUSINESS, FINANCE | PRICES | ECONOMICS | STOCHASTIC VOLATILITY | MODEL | IMPLICIT | MOMENTS | Option pricing Affine jump diffusion Time-varying jump risk premia | Options (Finance) | Stock price indexes | Statistics
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 2011, Volume 35, Issue 9, pp. 1557 - 1576
This paper shows that non-linearities from a neoclassical production function alone can generate time-varying, asymmetric risk premia and predictability over... 
Risk premium | Continuous-time DSGE | Effective risk aversion | RARE DISASTERS | WELFARE | MARKET | HABIT FORMATION | RESOLUTION | ASSET PRICES | STOCHASTIC GROWTH | EQUITY PREMIUM | MODELS | ECONOMICS | CONSUMPTION | Risk premium Continuous-time DSGE Effective risk aversion | Labor market | Business cycles | Quantitative Finance
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 2011, Volume 30, Issue 4, pp. 605 - 622
Journal Article
The Annals of Applied Probability, ISSN 1050-5164, 2/2012, Volume 22, Issue 1, pp. 239 - 284
Journal Article
The Journal of Finance, ISSN 0022-1082, 6/2007, Volume 62, Issue 3, pp. 1453 - 1490
This paper examines model specification issues and estimates diffusive and jump risk premia using S&P futures option prices from 1987 to 2003. We first develop... 
Risk aversion | Datasets | Economic models | Time series models | Price volatility | Time series | Kurtosis | Risk premiums | Parametric models | Skewed distribution | BUSINESS, FINANCE | ECONOMICS | VALUATION | JUMP | VOLATILITY
Journal Article
Journal of International Economics, ISSN 0022-1996, 03/2013, Volume 89, Issue 2, pp. 471 - 484
Recent work in international finance suggests that exchange rate puzzles can be accounted for if (1) aggregate uncertainty is time-varying, and (2) countries... 
Time-varying risk premia | Forward premium puzzle | Business cycles | Disasters | Backus–Smith puzzle | Backus-Smith puzzle | INTERTEMPORAL SUBSTITUTION | RATE VOLATILITY | GENERAL EQUILIBRIUM | LONG-RUN | PASS-THROUGH | NONTRADED GOODS | REAL EXCHANGE-RATES | ECONOMICS | ASSET MARKETS | CONSUMPTION | International finance | Consumption (Economics)
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 07/2006, Volume 30, Issue 7, pp. 2087 - 2107
Journal Article
Journal of Econometrics, ISSN 0304-4076, 12/2014, Volume 183, Issue 2, pp. 168 - 180
We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly... 
Options | Time-varying jump tails | Extreme value theory | Jumps | Risk-neutral distributions | Market risk | RARE DISASTERS | PRICES | MARKET | RETURNS | STOCHASTIC VOLATILITY | IMPLICIT | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | MODELS | FEARS | SOCIAL SCIENCES, MATHEMATICAL METHODS | RISK PREMIA | ECONOMICS
Journal Article
Journal of Financial and Quantitative Analysis, ISSN 0022-1090, 08/2017, Volume 52, Issue 4, pp. 1667 - 1703
In this article, I study the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey... 
SAMPLE | STOCK RETURNS | BUSINESS, FINANCE | MARKET | TERM STRUCTURE | YIELD CURVE | INFLATION | INFORMATION | LONG-RUN | ECONOMICS | EXPECTATIONS | COMBINATION
Journal Article
Quantitative Finance, ISSN 1469-7688, 06/2012, Volume 12, Issue 6, pp. 907 - 931
This paper tests the effects of exchange rate and inflation risk factors on asset pricing in the European Union (EU) stock markets. This investigation was... 
Time-varying beta risks and risk premiums | International asset pricing | Exchange rate risk | Inflation risk | European Union | BUSINESS, FINANCE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | CAPITAL-MARKET | EQUILIBRIUM | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | INTERNATIONAL PORTFOLIO CHOICE
Journal Article