In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a … downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … liquidity risk. In addition to documenting the existence of large and time-varying liquidity premia in nominal and real bond … anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger and more …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates …

risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory …

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 …

demand economically and statistically significant risk premiums to hold financial assets performing poorly during market …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …