the shocks to the overall volatility, and the welfare implications of regime changes in general equilibrium models. Then … suitable for structural estimation. …

, Good Beta" Intertemporal CAPM that allows for regime changes. …

return volatility. We argue that SDF theory implies that this relation is misconceived. …-arbitrage condition, despite the vast literature on the subject. This is mainly due to the difficulties of estimation. Using the … CAPM including time-separable power utility and time-nonseparable Epstein-Zin utility. We also show why many of the …

ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … first regime characterized by low ex-post returns and high volatility, the risk-return relation is reversed, whereas the …

that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs …

simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that … allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak …