Motivated by the implications from a stylized self-contained general equilibrium model
incorporating the effects of time-varying economic uncertainty, we show that the difference …

This article reviews the predictability evidence on the variance risk premium:(a) It predicts
significant positive risk premia across equity, bond, currency, and credit markets;(b) the …

We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the …

This paper proposes a method for constructing a volatility risk premium, or investor risk
aversion, index. The method is intuitive and simple to implement, relying on the sample …

This chapter surveys the methods available for extracting information from option prices that
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …

We provide evidence on the relationship between aggregate uncertainty and the
macroeconomy. Identifying uncertainty shocks using methods from the news shocks …

We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX
index returns and option prices and analyze the contribution of VIX options to the model's in …

We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …

We investigate whether there are predictable patterns in the dynamics of higher-order risk-
neutral moments (RNMs) extracted from the market prices of Standard & Poor's (S&P) 500 …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk
premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk …