We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth …-linear dynamics, especially of the Markov switching type. Although occasionally also stock and bond return forecasts for other G7 …

exogenous risk and delegation. That is, we show that only if exogenous risk is sufficiently large, the risk-neutral principal … may prefer to delegate authority over decisions to the risk-averse agent. Intuitively, for incentive reasons, the … principal may optimally want to allow the agent to reduce his risk exposure. Nevertheless, even endogenous risk may be higher …

to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …

In the context of principal-agent theory risk is largely seen as a source that causes inefficiencies and lowers … tournament framework that risk in terms of chance is beneficial from the point of view of a profit maximizing principal who …

is a new risk factor for enterprises taking part in this system. In this paper, we analyze how risk emerging from … loss account accounting for uncertainties and dependencies. Consequently, this model provides a basis for risk assessment …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

even if the risk-free asset return is correlated with other risky assets' returns. However, equivalence fails to hold on an …

This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non … macroeconometric model of the Bundesbank for Germany. Forecast intervals that integrate judgement on risk and uncertainty are obtained. …