We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to … maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

construct managed portfolios of a risk-free asset and market index. …

of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …