Tail Risk Premia and Return Predictability
A 2014 paper by Bollerslev, Todorov and Xu on the volatility risk premium: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Relying on new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the shape of the tails and compensation demanded by investors for bearing jump tail risk.”
StrategyVolatility risk premiummachine learning
InputsOptions-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
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