Tails, Fears, and Risk Premia
研究发现罕见事件补偿占平均股权和方差风险溢价的大部分，通过跳跃尾部结构识别并估计了新的投资者恐惧指数，该指数反映了对灾难恐惧的时变补偿。
ABSTRACT We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time‐varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high‐frequency intraday data for estimating the expected jump tails under the statistical probability measure, and short maturity out‐of‐the‐money options and new model‐free implied variation measures for estimating the corresponding risk‐neutral expectations.