We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk … model-free implied variation measures for estimating the corresponding risk neutral expectations …

market volatility, but the risk premium for tail events cannot solely be explained by the level of the volatility. Our …We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in … corresponding jump tail density. Our estimates for the risk-neutral expectations are based on short maturity out-of-the money …

implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … evidence that the expected return variation and the variance risk premium positively forecast both short-horizon returns and … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …