funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

reformulation of risk reward concepts in these terms. It is shown the exponential variation replaces the mean as a reward concept …. Risk is measured by the shaves and add-ons implicit in the bid and ask prices of two price economies. An analysis of … markets reveals that these two sided risk measures significantly impact rewards in the markets for stocks, stock spreads, and …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

beyond the equity option market. In particular, we find volatility noise to constitute a priced risk factor in returns of …