realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate …

, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including … the Chinese stock market index. Overall, this empirical evidence is of interest for researchers, financial risk managers …