Downside Variance Risk Premium

Research, Preprint OPEN
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Okou, Cédric;
(2015)
  • Publisher: Bank of Canada Ottawa
  • Related identifiers: doi: 10.17016/FEDS.2015.020
  • Subject: Downside variance risk premium; realized volatility; risk-neutral volatility; skewness risk premium; upside variance risk premium | G12 | G1 | Asset pricing
    • jel: jel:G12
      ddc: ddc:330

We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium ... View more
  • References (18)
    18 references, page 1 of 2

    Segal, G., I. Shaliastovich, and A. Yaron. 2015. Good and bad uncertainty: Macroeconomic and nancial market implications. Journal of Financial Economics, forthcoming .

    Weil, P. 1989. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24:401{21. k s e n

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