We introduce a new stylized fact: the hump-shaped behavior of slopes and coefficients of
determination as a function of the aggregation horizon when running (forward/backward) …

This paper revisits the puzzling time series relation between risk premium and conditional
volatility by proposing a flexible risk-return trade-off that allows for a variety of possible …

The purpose of this paper is to investigate the risk-return tradeoff allowing for the presence
of noise traders, ie, a subset of investors who either base their trading strategies on …

We confront the generalized recursive smooth ambiguity aversion preferences of Klibanoff,
Marinacci, and Mukerji (2005, 2009) with data using Bayesian methods introduced by …

One of the fastest growing areas in empirical finance, and also one of the least rigorously
analyzed, especially from a financial econometrics perspective, is the econometric analysis …

Investors pay a substantial premium to hedge against fluctuations in volatility—the variance
risk premium (VRP). The asset-pricing literature has presented numerous models with jumps …

This paper formulates a new dynamic model for the variance risk premium based on a state
space representation of a bivariate system for the observable ex-post realized variance and …

Contrary to leading asset pricing theories, recent empirical evidence indicates that financial
markets compensate only short-term equity variance risk. An equilibrium model with …

We propose a novel measure of the market return tail risk premium based on minimum-
distance state price densities recovered from high-frequency data. The tail risk premium …

We consider a multi‐variate system Y t= AX t, where the unobserved components X t are
independent AR (1) processes and the number of sources is greater than the number of …