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 …

We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset … straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

period from 01/1990 to 12/2009. We find that the market variance risk is priced, its risk premium is negative and … economically very large. The variance risk premium cannot be explained by the known risk factors and option returns …

significantly positively associated with future realized stock returns and also significantly correlates with commonly used risk …

equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility … model completed by liquidly traded options. Empirical market price of orthogonal risk and risk aversion surfaces as well as … their time series are obtained from traded option prices. It is found that implied risk aversion exhibits a smiling pattern …

volatility model completed by liquidly traded put options. We demonstrate with these equilibrium relations that the risk neutral … between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic … also show that in this completed market stochastic volatility cannot explain the documented empirical pricing kernel puzzle …

volatility model completed by liquidly traded put options. We demonstrate with these equilibrium relations that the risk neutral … between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic …). We also show that in this completed market stochastic volatility cannot explain the documented empirical pricing kernel …

greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty …

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk … factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk …