Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …-dated options. Finally, we discuss new avenues for future research …