Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2014
that priced left tail risk cannot be spanned by market volatility (and its components) and introduce a new tail factor …. This tail factor has no incremental predictive power for future volatility and jump risks, beyond current and past … volatility, but is critical in predicting future market equity and variance risk premia. Our findings suggest a wide wedge …