priced. These results present a challenge to most structural models of the variance risk premium, such as the intertemporal … CAPM, recent models with Epstein-Zin preferences and long-run risks, and models where institutional investors have value-at-risk …

priced. These results present a challenge to most structural models of the variance risk premium, such as the intertemporal … CAPM, recent models with Epstein-Zin preferences and long-run risks, and models where institutional investors have value-at-risk …

assets determines how well different factor risk premia can be identified: if only few assets are exposed to a factor, that … assets from a universe of test assets and estimate the risk premium of a factor of interest, as well as the entire stochastic … discount factor, that explicitly accounts for weak factors and test assets with highly correlated risk exposures. We refer to …

priced. These results present a challenge to most structural models of the variance risk premium, such as the intertemporal … CAPM, recent models with Epstein-Zin preferences and long-run risks, and models where institutional investors have value-at-risk …