contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realised variance and realised … asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory which is applicable in … practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory. …

We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in … market volatility, but the risk premium for tail events cannot solely be explained by the level of the volatility. Our … probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the …

The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward … demanded by investors for bearing jump tail risk. Our results are consistent with the idea that the temporal variation in the … separate diffusive and jump risk components of the variance risk premium may be associated with notions of time …

risk management decisions. …

. The theory underlying our estimates are based on in-fill asymptotic arguments for directly identifying the systematic and … idiosyncratic jumps, together with conventional long-span asymptotics and Extreme Value Theory (EVT) approximations for consistently …