This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a … to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …

) risk premia in different frequency ranges. To achieve the identification, I employ the long-run projections and the … consumption risk premia in different frequency bands. I then perform the method on the US data across different asset classes. My …

estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the … principles. Empirically, we show that four factors explain the discount bond excess return curve and term structure premium. Cash …