Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - 2004
proposes a method for constructing a volatility risk premium, or investor
risk aversion, index. The method is intuitive and … signi cant temporal depen-
dencies in the estimated stochastic volatility risk premium, which we in turn relate to a set
of … underlying macro- nance state variables. We also nd that the extracted volatility risk
premium helps predict future stock market …