We propose a model to capture the dynamics of asset returns, with periods of crises that are
characterized by contagion. In the model, a jump in one region of the world increases the …

We use equity index options to quantify the distribution of consumption growth disasters. The
challenge lies in connecting the risk‐neutral distribution of equity returns implied by options …

We investigate how individual equity prices respond to continuous and jumpy market price
moves and how these different market price risks, or betas, are priced in the cross section of …

This paper reports some of the recent developments in the econometric analysis of
semimartingales estimated using high frequency financial returns. It describes a simple yet …

I extend the Epstein–Zin-lognormal consumption-based asset-pricing model to allow for
general iid consumption growth. Information about the higher moments—equivalently …

This paper reviews portfolio selection models and provides perspective on some open
issues. It starts with a review of the classic Markowitz mean-variance framework. It then …

We introduce a novel class of term structure models for variance swaps. The multivariate
state process is characterized by a quadratic diffusion function. The variance swap curve is …

We develop estimators and asymptotic theory to decompose the quadratic covariation
between two assets into its continuous and jump components, in a manner that is robust to …

We consider the problem of optimal investment and consumption in a class of
multidimensional jump-diffusion models in which asset prices are subject to mutually …

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for
the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests …