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 … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles … correlation of consumption and the equilibrium conditions for market return and risk-free rate, as well as the model …-implied predictability of the risk-free rate. We match analytical moments when possible and simulated moments when necessary and determine …

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles … U.S. data and provide a critical re-assessment of the long-run risk model's ability to reconcile the real economy and …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …

This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric … variance. We establish consistency and asymptotic normality of the estimates. The theory is non-standard due to the presence of … using non-parametric estimates, we find a positive and significant price of risk in our semi-parametric setting …

asset pricing models, with an emphasis on the Capital Asset Pricing Model (CAPM). An extension of the CAPM, the Multifactor …

calculate the risk premium in order to see whether the models could explain the empirically observed risk premium. For the … calculation of risk premia we use estimators generated by the General Method of Moments. -- consumption based capital pricing …