Essays in household finance and Asset Pricing.

Summary This doctoral dissertation consists of three independent papers on household finance and asset pricing. The first two papers are closely related, use similar data, and study the role of labor income risk in portfolio choice. The third paper studies a volatility model based on the multifractal Markov-switching model. The first paper is entitled "Countercyclical Income Risk and Portfolio Choices" (with Sylvain Catherine and Paolo Sodini). Using Swedish administrative panel data on wages and portfolio choices of individuals, we show that countercyclical income risk reduces households' willingness to invest in the financial market. The second paper is titled "Seeking Skewness". Using detailed Swedish administrative household data on portfolio and labor income, this paper examines the behavior of demand-skewness investors in their portfolio choice. The third paper is "Multifractal Volatility with Shot-noise Component" (with Laurent Calvet). Based on the Markov Switching Multifractal (MSM) model of Calvet and Fisher (2004), we develop in this paper a discrete time multifractal volatility model to capture jumps and declines in the volatility process.