Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009
market volatility, but the risk premium for tail events cannot solely be explained by the level of the volatility. Our … volatility, but
the risk premium for tail events cannot solely be explained by the level of the volatil-
ity. Our empirical …, extreme value
theory, equity risk premium, variance risk premium.
JEL classiflcation: C13, C14, G10, G12.
⁄We would like to …