measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while …

assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often …-sectional average realized skewness) estimated from underlying stock returns and risk-neutral skewness evaluated from the options market …