Feunou, Bruno; Jahan-Parvar, Mohammad; Okou, Cedric - Federal Reserve Board (Board of Governors of the … - 2015
difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside … variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor … between the skewness risk premium and the equity premium. Finally, we document the fact that the skewness risk premium fills …