Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

In this paper, we argue that certain recent findings concerning the predictive ability of tail risk exposure, defined as the extremal dependence between asset returns and market returns, are likely spurious. We argue that these results are related to biases in the estimation procedure of the...