estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk … one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics … have a clearly distinct behavior that is, for example, compatible with the well-known leverage effect. …