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The Price of Variance Risk. (2015). Rodriguez, Marius ; Giglio, Stefano ; Dew-Becker, Ian ; Le, Anh .
In: NBER Working Papers.
RePEc:nbr:nberwo:21182.

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  1. VIX term structure: The role of jump propagation risks. (2021). Chen, JI ; Yang, Xinglin.
    In: Journal of Futures Markets.
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  2. The cross-section of currency volatility premia. (2021). Neuberger, Anthony ; Kozhan, Roman ; Della Corte, Pasquale.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:139:y:2021:i:3:p:950-970.

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  3. Pricing kernel monotonicity and term structure: Evidence from China. (2021). Guo, Shuxin ; Liu, Qiang ; Jiao, Yuhan.
    In: Journal of Banking & Finance.
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  4. Tracking performance of VIX futures ETPs. (2021). Zhang, Jin E ; Gehricke, Sebastian A.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:61:y:2021:i:c:p:103-117.

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  5. Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola.
    In: CERGE-EI Working Papers.
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  6. Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola.
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  7. Implied Dividend Volatility and Expected Growth. (2021). Martin, Ian ; Gormsen, Niels J.
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  8. A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K.
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  9. The Law of One Price in Equity Volatility Markets. (2020). Van Tassel, Peter.
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  10. What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur.
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  11. Dynamics of variance risk premium: Evidence from India. (2020). Ramachandran, Shankar ; Sankar, Ganesh ; Lukose, Jijo.
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  16. A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K.
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  17. The term structure of systematic and idiosyncratic risk. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese.
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  19. Hedging Macroeconomic and Financial Uncertainty and Volatility. (2019). Giglio, Stefano ; Kelly, Bryan T ; Dew-Becker, Ian.
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  20. Financial Market Risk Perceptions and the Macroeconomy. (2019). Pflueger, Carolin ; Sunderam, Adi ; Siriwardane, Emil.
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  21. Superstitious Investors. (2019). Wachter, Jessica ; Guo, Hongye.
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  22. Option Prices in a Model with Stochastic Disaster Risk. (2019). Wachter, Jessica A ; Seo, Sang Byung.
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  23. Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris.
    In: Journal of Financial Economics.
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  24. Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off. (2018). Chernov, Mikhail ; Lochstoer, Lars A.
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  25. Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets. (2018). Mehra, Rajnish ; Wahal, Sunil ; Aragon, George O.
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  26. Relative pricing and risk premia in equity volatility markets. (2018). Van Tassel, Peter.
    In: Staff Reports.
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  27. An Intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano.
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  28. Term structures of asset prices and returns. (2018). Boyarchenko, Nina ; Chernov, Mikhail ; Backus, David.
    In: Journal of Financial Economics.
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  29. Conditional dynamics and the multi-horizon risk-return trade-off. (2018). Chernov, Mikhail ; Lundeby, Stig ; Lochstoer, Lars .
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  30. Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan.
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  31. Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T.
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  32. Term Structure of Risk on Macrofinance Models. (2017). Zviadadze, Irina.
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  33. Uncertainty Shocks as Second-Moment News Shocks. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Berger, David.
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  34. The Term Structure of the Price of Variance Risk. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne ; Wang, Yichuan.
    In: 2017 Meeting Papers.
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  35. Global Variance Term Premia and Intermediary Risk Appetite. (2017). van Tassel, Peter.
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  36. Variance Risk Premia on Stocks and Bonds. (2017). Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul ; Sabtchevsky, Petar.
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  37. Bond Variance Risk Premiums. (2017). Choi, Hoyong ; Vedolin, Andrea ; Mueller, Philippe.
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  38. Uncertainty Shocks as Second-Moment News Shocks. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Berger, David.
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  39. Short and Long Run Uncertainty. (2017). bloom, nicholas ; Wright, Ian ; Barrero, Jose Maria .
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  40. The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian.
    In: Hannover Economic Papers (HEP).
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  41. Horizon-dependent risk aversion and the timing and pricing of uncertainty. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne.
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  42. Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue.
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  43. Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Wang, Yudong ; Pettenuzzo, Davide.
    In: Working Papers.
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  44. Variance swap payoffs, risk premia and extreme market conditions. (2017). Violante, Francesco ; Stentoft, Lars.
    In: CREATES Research Papers.
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  45. Term structures of asset prices and returns. (2016). Chernov, Mikhail ; Boyarchenko, Nina ; Backus, David.
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  46. Contractionary Volatility or Volatile Contractions?. (2016). Giglio, Stefano ; Dew-Becker, Ian ; Berger, David.
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  47. Higher-Order Effects in Asset-Pricing Models with Long-Run Risks. (2016). Schmedders, Karl ; Pohl, Walt ; Wilms, Ole .
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  48. Term Structures of Asset Prices and Returns. (2016). Chernov, Mikhail ; Boyarchenko, Nina ; Backus, David.
    In: NBER Working Papers.
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  49. Excess Volatility: Beyond Discount Rates. (2016). Giglio, Stefano ; Kelly, Bryan.
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  50. Global variance term premia and intermediary risk appetite. (2016). Vogt, Erik ; Van Tassel, Peter.
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  51. Term structures of asset prices and returns. (2016). Chernov, Mikhail ; Boyarchenko, Nina ; Backus, David.
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  52. Option-implied term structures. (2016). Vogt, Erik.
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  53. Term structures of asset prices and returns. (2016). Chernov, Mikhail ; Boyarchenko, Nina ; Backus, David.
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  54. Asset Pricing with Horizon-Dependent Risk Aversion. (2015). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne.
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  55. The Term Structure of Returns: Facts and Theory. (2015). van Binsbergen, Jules ; Ralph S. J. Koijen, .
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  56. The term structure of the price of variance risk. (2015). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne ; Wang, Yichuan.
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    RePEc:iza:izadps:dp13438.

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  6. Uncertainty and Forecasts of U.S. Recessions. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Christian, Pierdzioch.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:24:y:2020:i:4:p:20:n:1.

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  7. Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales. (2020). Choudhry, Taufiq.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:48:y:2020:i:2:p:504-529.

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  8. Effects of the agricultural commodity and the food price volatility on economic integration: an empirical assessment. (2019). Gözgör, Giray ; Gozgor, Giray .
    In: Empirical Economics.
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  9. The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model. (2019). Wohar, Mark ; Lau, Chi Keung ; GUPTA, RANGAN ; Marco, Chi Keung.
    In: Empirica.
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  10. Customer Capital, Markup Cyclicality, and Amplification. (2019). Hong, Sung Ki.
    In: Working Papers.
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  11. The Greek crisis: A story of self-reinforcing feedback mechanisms. (2018). juselius, katarina ; Dimelis, Sophia.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201865.

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  12. US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis. (2018). Shabi, Sarosh ; Hassan, Syed ; Choudhry, Taufiq.
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  13. A Measure of Risk Appetite for the Macroeconomy. (2018). Pflueger, Carolin ; Sunderam, Adi ; Siriwardane, Emil.
    In: NBER Working Papers.
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  14. Evolution of Modern Business Cycle Models: Accounting for the Great Recession. (2018). Pastorino, Elena ; Midrigan, Virgiliu ; Kehoe, Patrick.
    In: Staff Report.
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  15. Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty. (2018). Wohar, Mark ; GUPTA, RANGAN ; Risse, Marian ; Ma, Jun.
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  16. Aggregate uncertainty and sectoral productivity growth: The role of credit constraints. (2018). Furceri, Davide ; Choi, Sangyup ; Loungani, Prakash ; Huang, YI.
    In: Journal of International Money and Finance.
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  17. Does policy uncertainty affect mergers and acquisitions?. (2018). Bonaime, Alice ; Ion, Mihai ; Gulen, Huseyin .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:129:y:2018:i:3:p:531-558.

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  18. When Inequality Matters for Macro and Macro Matters for Inequality. (2017). Moll, Benjamin ; Kaplan, Greg ; Winberry, Thomas.
    In: 2017 Meeting Papers.
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  19. Financial Frictions, Volatility, and Skewness. (2017). Zeke, David.
    In: 2017 Meeting Papers.
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  20. Uncertainty and Forecasts of U.S. Recessions. (2017). Pierdzioch, Christian ; GUPTA, RANGAN.
    In: Working Papers.
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  21. When Inequality Matters for Macro and Macro Matters for Inequality. (2017). Ahn, Sehyoun ; Wolf, Christian ; Winberry, Thomas ; Moll, Benjamin ; Kaplan, Greg.
    In: NBER Chapters.
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  22. Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness. (2017). Massacci, Daniele.
    In: Management Science.
    RePEc:inm:ormnsc:v:63:y:2017:i:9:p:3072-3089.

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  23. Contractual externalities and systemic risk. (2017). Ozdenoren, Emre ; Yuan, Kathy.
    In: LSE Research Online Documents on Economics.
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  24. The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, Anh .
    In: Journal of Financial Economics.
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  25. News and Uncertainty Shocks. (2016). Galvão, Ana ; Cascaldi-Garcia, Danilo ; Galvao, Ana Beatriz.
    In: EMF Research Papers.
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  26. The Macro-Dynamics of Sorting between Workers and Firms. (2016). Robin, Jean-Marc ; Lise, Jeremy.
    In: Sciences Po publications.
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  27. Durable Expenditure Dynamics under Time-Varying Income Risk. (2016). Öberg, Erik ; Harmenberg, Karl .
    In: 2016 Meeting Papers.
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  28. The Tail that Wags the Economy: Belief-Driven Business Cycles and Persistent Stagnation. (2016). Veldkamp, Laura ; Venkateswaran, Venky ; Kozlowski, Julian.
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  29. International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences. (2016). Kollmann, Robert.
    In: MPRA Paper.
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  30. Business Uncertainty and the Effectiveness of Fiscal Policy in Germany. (2016). Berg, Tim.
    In: MPRA Paper.
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  31. On Persistence of Uncertainty Shocks. (2016). Egiev, Sergey .
    In: HSE Working papers.
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  32. Incomplete Information in Macroeconomics. (2016). , ; Lian, C.
    In: Handbook of Macroeconomics.
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  33. Modelling events: The short-term economic impact of leaving the EU. (2016). Meaning, Jack ; Kirby, Simon ; Carreras, Oriol ; Piggott, Rebecca ; Baker, Jessica .
    In: Economic Modelling.
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  34. Uncertainty-driven labor market fluctuations. (2016). Pries, Michael.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:73:y:2016:i:c:p:181-199.

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  35. International business cycles and risk sharing with uncertainty shocks and recursive preferences. (2016). Kollmann, Robert.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:72:y:2016:i:c:p:115-124.

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  36. International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences. (2016). Kollmann, Robert.
    In: Working Papers ECARES.
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  37. Financial market volatility, macroeconomic fundamentals and investor sentiment. (2016). Stoja, Evarist ; Harris, Richard ; Chiu, Ching-Wai (Jeremy).
    In: Bank of England working papers.
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  38. The Tail that Wags the Economy: Belief-Driven Business Cycles and Persistent Stagnation. (2015). Venkateswaran, Venky ; Kozlowski, Julian ; Veldkamp, Laura.
    In: Working Papers.
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  39. Measuring Economic Policy Uncertainty. (2015). Davis, Steven ; bloom, nicholas ; Baker, Scott.
    In: NBER Working Papers.
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  40. Measuring Economic Policy Uncertainty. (2015). Davis, Steven ; bloom, nicholas ; Baker, Scott.
    In: Economics Working Papers.
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  41. Measuring economic policy uncertainty. (2015). Davis, Steven ; bloom, nicholas ; Baker, Scott.
    In: LSE Research Online Documents on Economics.
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  42. The consequences of an unknown debt target. (2015). Throckmorton, Nathaniel ; Richter, Alexander.
    In: European Economic Review.
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  43. Riskiness, endogenous productivity dispersion and business cycles. (2015). Tian, Can .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:57:y:2015:i:c:p:227-249.

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  44. What does financial volatility tell us about macroeconomic fluctuations?. (2015). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Journal of Economic Dynamics and Control.
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  45. Measuring Economic Policy Uncertainty. (2015). Davis, Steven ; bloom, nicholas ; Baker, Scott.
    In: CEPR Discussion Papers.
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  46. Large Firm Dynamics and the Business Cycle. (2015). Grassi, Basile ; Carvalho, Vasco.
    In: CEPR Discussion Papers.
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  47. Measuring Economic Policy Uncertainty. (2015). Davis, Steven ; bloom, nicholas ; Baker, Scott.
    In: CEP Discussion Papers.
    RePEc:cep:cepdps:dp1379.

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  48. Large Firm Dynamics and the Business Cycle. (2015). Grassi, Basile ; Carvalho, Vasco.
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  49. Do plants freeze upon uncertainty shocks?. (2014). Meier, Matthias ; Mecikovsky, Ariel .
    In: EconStor Preprints.
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  50. The Greek crisis: A story of self-reinforcing feedback mechanisms. (). juselius, katarina ; Dimelis, Sophia.
    In: Discussion Papers.
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