In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a regime-switching price of variance-risk. While preserving tractability, this model allows us to capture the episodes of negative and positive variance risk premium. A two-state...

In this paper, we derive the statistical properties of a general family of Stochastic Volatility (SV) models with leverage effect which capture the dynamic evolution of asymmetric volatility in financial returns. We provide analytical expressions of moments and autocorrelations of...

We find strong evidence of a funding risk premium in the cross-section of asset returns. Our estimate for the price of funding risk is robust across Treasury bonds, corporate bonds, equities, and hedge funds. Funding shocks pose a risk to investors because they exacerbate the illiquidity and...