A substantial portion of the variation in the market variance risk premium can be explained by the conditional covariance between the market return and its variance, which we refer to as the leverage effect. This finding holds at different data frequencies and for various sample periods, and it...

We introduce a top-down no-arbitrage model for pricing structured products. The losses are described by Cox processes whose intensities depend on economic variables. The model provides economic insight into the impact of structured products on the risk exposure of financial institutions and...

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2012. We show that it...