This study explores the relationship between realized variance jump risk and conditional equity risk premium. Using high frequency records of the Standard & Poor's 500 index, we construct a realized variance measure and estimate its jump component using a Heterogeneous Autoregressive model...

We provide theoretical and empirical justifications for linking the realised co-skewness between the VIX and the S&P 500 to conditional equity premiums. The realised co-skewness, as a measure of hedging benefits, shows a significant (and independent to that of the variance risk premium) negative...

This study explores the relationship between realized variance jump risk and conditional equity risk premium. Using high frequency records of the Standard & Poor’s 500 index, we construct a realized variance measure and estimate its jump component using a Heterogeneous Autoregressive...