We propose a Markov Switching Graphical Seemingly Unrelated Regression (MS-GSUR) model to investigate time-varying systemic risk based on a range of multi-factor asset pricing models. Methodologically, we develop a Markov Chain Monte Carlo (MCMC) scheme in which latent states are identified on...

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on economic fundamentals. I incorporate this link within a...

I investigate the relationship between carry trades and tail risk for a panel of commodity futures contracts. Unlike other asset classes, carry in commodities is highly volatile both in the time series and in the cross section. By using a panel quantile regression with commodity fixed effect, I...

We pit individual theoretical predictors of the equity premium against a variety of data-driven statistical methods. Theoretically motivated predictive regressions outperform conventional penalised regressions but have similar out-of-sample R2 and lower economic gains relative to more agnostic...

The 2007-2008 financial crises has made it painfully obvious that markets may quickly turn illiquid. Moreover, recent experience has taught us that distress and lack of active trading can jump "around" between seemingly unconnected parts of the financial system contributing to transforming...

We use a simple partial adjustment econometric framework to investigate the effects of the crisis on the dynamic properties of a number of yield spreads. We find that the crisis has caused substantial disruptions revealed by changes in the persistence of the shocks to spreads as much as by in...

The 2007-2008 financial crises has made it painfully obvious that markets may quickly turn illiquid. Moreover, recent experience has shown that distress and lack of active trading can jump "around" between seemingly unconnected parts of the financial system contributing to transforming isolated...