scholarly journals Disentangling Continuous Volatility From Jumps in Long-Run Risk-Return Relationships

2013 ◽  
Author(s):  
Eric Jacquier ◽  
Cedric Okou
Keyword(s):  
Risk Return ◽  
Long Run ◽  
Continuous Volatility ◽  
Long Run Risk

Term Structure of Risk in Expected Returns

2021 ◽  
Author(s):  
Irina Zviadadze
Keyword(s):  
Asset Pricing ◽  
Term Structure ◽  
Expected Returns ◽  
Pricing Models ◽  
Structural Shocks ◽  
Risk Return ◽  
Asset Pricing Models ◽  
Long Run ◽  
Multiple Shocks ◽  
Long Run Risk

Abstract This paper develops a methodology to test structural asset pricing models based on their implications for the multiperiod risk-return trade-off. A new measure, the term structure of risk, captures the sensitivities of multiperiod expected returns to structural shocks. The level and slope of the term structure of risk can indicate misspecification in equilibrium models. I evaluate the performance of asset pricing models with long-run risk, consumption disasters, and variance shocks. I find that only a model with multiple shocks in the variance of consumption growth is consistent with the propagation of and compensation for risk in the aggregate stock market.

Long-run risk-return trade-offs

2008 ◽  
Vol 143 (2) ◽  
pp. 349-374 ◽  
Author(s):  
Federico M. Bandi ◽  
Benoıˆt Perron
Keyword(s):  
Risk Return ◽  
Trade Offs ◽  
Long Run ◽  
Long Run Risk
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