Stochastic BasisThis book is essential reading for quantitative analysts, risk managers and risk controllers, model validation …

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to "good news," but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

patterns, such as the size of market risk premium, level of interest rate, degree of dividend yield predictability, and the … term structure of variance risk premiums, of both the equity and option data …

This paper characterizes time variation in the link between macroeconomic risk and variation in the yield curve. Based …

policy, economic growth, and separately, shocks to risk premia. Our approach exploits high-frequency comovement of stocks and …