Conditional Value at Risk (ECoVaR) for an intraday asset return and the corresponding market return. In particular we analyze GAS …

-year bonds. We compare the performance of the model with ARCH and stochastic volatility models using predictive likelihoods. The …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid … average more capital towards holding high idiosyncratic stocks than they do towards low idiosyncratic risk stocks. Contrary to … the prediction that diversification concerns prevent arbitrageurs from holding high idiosyncratic risk stocks, we find …

equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility … model completed by liquidly traded options. Empirical market price of orthogonal risk and risk aversion surfaces as well as … their time series are obtained from traded option prices. It is found that implied risk aversion exhibits a smiling pattern …

uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …This paper presents predictability evidence of the implied-expected variance difference, or variance risk premium, for … financial market risk premia: (1) the variance difference measure predicts a positive risk premium across equity, bond, currency …

This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using … return volatility and economic policy uncertainty. The casualty test indicates that economic policy uncertainty Granger …-causes excess return volatility. The vector error correction model result shows that previous values of economic policy uncertainty …