the term structure of interest rates and yield volatilities. Consistent with the theory, empirical measures of interest …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …