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• W2147872003 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 suggests both large and time-varying compensations for fears of disasters. Our empirical investigations are essentially model-free, involving 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." @default.
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• W2147872003 date "2009-01-01" @default.
• W2147872003 modified "2023-10-01" @default.
• W2147872003 title "Tails, Fears and Risk Premia" @default.
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• W2147872003 doi "https://doi.org/10.2139/ssrn.1418488" @default.
• W2147872003 hasPublicationYear "2009" @default.
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