Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance … swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …

patterns, (ii) reveal substantial intraday variability associated with (co-)variation risk, (iii) are strongly serially …

patterns, (ii) reveal substantial intraday variability associated with (co-)variation risk, (iii) are strongly serially …

, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … volatility distribution, whereas the relevance of established risk factors proposed in the literature is limited to specific …This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected … an input in the second step to estimate the parameters characterizing the risk-return tradeoff via a GMM approach. We …

regularizing appropriate groups of coefficients. The second pass delivers risk premia estimates to predict equity excess returns …