Risk Premia and the VIX Term Structure
研究发现VIX期限结构的形状主要反映方差风险的价格，而非VIX的预期变化。第二主成分SLOPE能预测多种方差互换和期货的超额收益，且其预测能力超越标准资产定价模型。
The shape of the Chicago Board Options Exchange Volatility Index (VIX) term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. The second principal component, SLOPE, summarizes nearly all this information, predicting the excess returns of synthetic Standard & Poor’s (S&P) 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to the exclusion of the rest of the term structure. SLOPE’s predictability is incremental to other proxies for the conditional variance risk premia, economically significant, and inconsistent with standard asset pricing models.