We present a model to study the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face a constraint on raising equity capit
This replication package provides all data, code, and instructions required to reproduce the empirical results presented in the paper “Time-Varying Tails and the Tail Risk Premium”.
We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional covariances of returns on assets with the return on the market and other state varia
