Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effect of time, age, the interaction of the latter two terms and finally a term for possible shocks that introduce additional uncertainty. We consider for our analysis models that use Legendre...

The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this...

This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...

We adopt a time series approach to investigate the historical relation between unemployment, life expectancy, and mortality rates. We fit Vector-autoregressions for the overall US population and for groups identified based on gender and race. We use our results to assess the long-run effects of...

We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy...