This study supplies new evidence regarding the predictive power of jumps for conditional market returns and volatilities. We change the constant jump intensity as in the Liu et al. and Du models with time-varying intensity following an autoregressive conditional jump intensity process and a...

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...