and has important implications for risk management, volatility forecasting and option pricing …The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility …

greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty …

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 …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each …

of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …