Intuition and leading equilibrium models are at odds with the empirical evidence that expected returns are weakly related to volatility at the market level. This paper proposes a closed-form general equilibrium model, which connects the investors’ expectations of fundamentals with those...

In this work we propose a new approach to build multivariate pure jump processes. We introduce linear and nonlinear dependence, without restrictions on marginal properties, by imposing a multi-factorial structure separately on both positive and negative jumps. Such a new approach provides higher...

In this work we propose a new multivariate pure jump model. We fully characterize a multivariate Lévy process with finite- and infinite-activity components in positive and negative jumps. This process generalizes the variance gamma process, featuring a ‘stochastic volatility’ effect due to...

In this work we propose a new and general approach to build dependence in multivariate Lévy processes. We fully characterize a multivariate Lévy process whose margins are able to approximate any Lévy type. Dependence is generated by one or more common sources of jump intensity separately in...

This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876-2015). Our approach circumvents the scarcity of large macroeconomic crises by using observable predictive variables in a large international panel. This method does not require to use...