Papers & Reviews

  • 13 December 2017
On the tail risk premium in the oil market

Bank topics: Asset pricing; Econometric and statistical methods; Financial markets.

Leer más
  • 11 December 2017
Taxonomy of global risk, uncertainty, and volatility measures

Keywords: risk, uncertainty, volatility, monetary policy, geopolitical risk, equities, interest rates, exchange rates, commodities, inflation, variance risk premium.

Leer más
  • 04 December 2017
Monitoring risk in the mortgage market

Conference panel presentation: New research on mortgage risk and pricing.

Leer más
  • 01 December 2017
Too good to be true? Fallacies in evaluating risk factor models

Keywords: asset pricing, spurious risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, goodness-of-fit, rank test.

Leer más
  • 27 Septiembre 2017
Reducing sequence risk using trend following and the CAPE ratio

Reducing sequence risk with adjusted price-to-earnings (CAPE) ratio.

Leer más