We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds,
featuring time variation in both risk aversion and economic uncertainty. The joint dynamics …

Understanding the transmission of volatility across markets is essential for managing risk
and financial stability, especially under crisis periods during which an extreme event …

We document the phenomenon that average excess returns of out-of-the-money puts and
calls on bond futures are negative, both unconditionally and conditionally on economic …

The option-implied oil price volatility is a strong negative predictor of economic growth
beyond traditional uncertainty measures. A rise in oil volatility also predicts an increase in oil …

This study utilizes data from the US options market and constructs a VIX-style measure of
forward-looking volatility about Treasury yields to capture uncertainty about interest rates …

We study the effects of carbon price uncertainty on firms' decisions to decarbonize their
operations. We first use information on the pricing of options on emission allowances in the …

This paper documents the existence of a persistent component in consumption growth. We
take a novel approach using news coverage to capture investor concern about economic …

We study the international spillover effects of US bond and stock market volatility using a
panel data set of seventeen developed countries. We find significant spillover impacts of US …

Forecasting international stock market volatility using the oil volatility risk premium (OVRP) is
important for asset allocation and financial risk management. In previous literature, the issue …

This paper analyzes the connectedness and spillover transmission mechanism in the US
Treasury yields with different maturities than previous studies which focused on the spread …