Outliers in the data impair traditional estimators of location, variance, and regression parameters so researchers tend …

We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These …

This paper provides novel insights into the dynamic properties of variance and semivariance premia. Considering nine … international stock market indices, we find consistent evidence of significantly negative total and downside (semi)variance premia … the total variance premium is upward sloping for all of the considered indices. The slope is driven by upside semivariance …