This paper estimates the variance risk premium (VRP) and the skew risk premium (SRP) for the individual stocks and indexes in the US financial markets, and then further analyzes the determinants of the cross-sectional variations of (i) the VRP and SRP for 40 indexes and stocks, (ii) the average...

In this paper, we develop an equilibrium asset pricing model for the market excess return, variance and the third cumulant by using a jump-diffusion process with stochastic variance and jump intensity in Cox, Ingersoll and Ross' (1985) production economy. Empirical evidence with S&P 500 index...

In this paper, we extend the variance risk premium (VRP) in Bollerslev and Tauchen and Zhou (2009) into the moment spreads. Rather than analyzing the times-series market returns predictability, we newly investigate the predictability of market moment spreads in the cross section of expected...

Bakshi, Panayotov, and Skoulakis (2011) show that forward variances are predictive of real economic activity and asset returns. In this paper, we study this relation by using CBOE VIX term structure data between January 1992 and August 2009. We find that certain combinations of the 3-, 6-, and...