almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance …

investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility … volatilities. As corporate bond prices are generally attributable to both credit risk and illiquidity as discussed in Huang and …, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …

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 …

disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …

In a consumption based asset pricing model one can calculate the volatility of (log-)consumption-growth from the … expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure … ambiguity about consumption volatility. Using a long dataset we show that this measure explains up to 69% of post-war variation …