This paper analyzes the S&P 500 index return variance dynamics and the variance risk premium by combining information in variance swap rates constructed from options and quadratic variation estimators constructed from tick data on S&P 500 index futures. Estimation shows that the index return...

We investigate the sources of skewness in aggregate risk factors and the cross section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market...