A large literature on persistence finds that many modern outcomes strongly reflect characteristics of the same places in the distant past. These studies typically combine unusually high t statistics with severe spatial autocorrelation in residuals, suggesting that some findings may be artefacts...

We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus...