Volatility risk premium in equities
46 papers on volatility risk premium in equities as a systematic trading strategy. Volatility risk premium papers on single stocks and equity indices: 46 of the 102 in volatility risk premium. 17 name a method, most often classical time series (8). The most cited is Expected Stock Returns and Variance Risk Premia (2009).
Papers462006–2026
Share of the family45 %46 of 102
| cited by | method | ||
|---|---|---|---|
| Expected Stock Returns and Variance Risk Premia by Bollerslev and Zhou | 103 | 2009 | |
| Tactical Target Date Funds by Gomes et al. | 27 | 2022 | |
| Moment Risk Premia and Stock Return Predictability by Fan et al. | 20 | 2020 | |
| Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium by Duarte et al. | 18 | 2022 | |
| A Long-Run Risks Model with Long- and Short-Run Volatilities: Explaining Predictability and Volatility Risk Premium by Zhou and Zhu | 13 | Linear factor models | 2010 |
| Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence by Bollerslev et al. | 12 | Linear factor models | 2011 |
| Variance Risk Premiums in Emerging Markets by Qiao et al. | 10 | 2018 | |
| Variance Risk Premium Demystified by Vilkov | 10 | 2006 | |
| Volatility of Volatility, Expected Stock Return and Variance Risk Premium by Wang et al. | 6 | Classical time series | 2013 |
| The Variance Risk Premium and Fundamental Uncertainty by Conrad and Loch | 4 | Classical time series | 2015 |
| Covering the World: Global Evidence on Covered Calls by Israelov et al. | 3 | 2017 | |
| Covered Calls Uncovered by Israelov and Nielsen | 3 | 2014 | |
| Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns by Nyberg and Vilhelmsson | 2 | Linear factor models | 2008 |
| Variance Risk Premium and Return Predictability: Evidence from the Chinese SSE 50 ETF Options by Cui et al. | 1 | 2019 | |
| Modelling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion by Granelli and Veraart | 1 | Mathematical derivation | 2014 |
| Option Returns and Disagreement Risk by Buraschi et al. | 1 | Linear factor models | 2008 |
| Compression of the Variance Risk Premium: Demand Pressure or a Repricing of Variance Carry? by Clark and Dickson | 0 | 2026 | |
| Does Relative Options Activity Predict the Variance Risk Premium? A Cross-sectional Test of a Martingale Restriction in U.S. Equity Options by Tucker | 0 | Linear factor models +1 | 2026 |
| Engineering Tail-Risk in Volatility Carry: Evidence from TSLA (2025) and Index Expiration Structure by Mohazzabi | 0 | 2026 | |
| Harvesting the Variance Risk Premium in Nuclear and Energy Equities: A Short-Put Portfolio Derisking Strategy by Miao and Sorokina | 0 | Classical time series | 2026 |
| Harvesting the Volatility Risk Premium: A Learning-to-Rank Approach by Wysocki | 0 | Tree ensembles | 2026 |
| Maturity Alignment Matters: The Predictive Power of the Variance Risk Premium by Plíhal and Mampouya | 0 | Classical time series | 2026 |
| One-Day Volatility Indices and the Variance Risk Premium in European Equity Markets by Wilkens | 0 | 2026 | |
| Optimism and the Variance Risk Premium by Azimi et al. | 0 | 2026 | |
| The Reconfiguration Premium: Co-movement Structure as an Unspanned Dimension of the Variance Risk Premium by Carvalho | 0 | Linear factor models | 2026 |
| The Structural Upward Bias in Equity Markets: A First-Principles Examination of Options Dealer Hedging, Gamma Convexity, and the Volatility Risk Premium Paradox by Balan | 0 | 2026 | |
| The Term Structure of Crash Insurance and Equity Return Predictability by Choi | 0 | 2026 | |
| The Variance Risk Premium in Nifty 50: A Structural Anatomy Across Nine Empirical Filters by Agarwal | 0 | Classical time series | 2026 |
| Trading the Volatility Risk Premium on Nifty 50: Strategy Backtest with Realistic Frictions by Pillai | 0 | 2026 | |
| Variance and Skewness Risk Premium and Expected Equity Returns by Ito | 0 | 2026 | |
| The Predictive Power of the Oil Variance Risk Premium by McMillan and Ziadat | 0 | 2022 | |
| Asset Pricing under Knightian Uncertainty: A Case for Optimism by Ghazi and Schneider | 0 | 2021 | |
| Time-varying uncertainty and variance risk premium by Ruan and Zhang | 0 | 2017 | |
| Variance Risk in Aggregate Stock Returns and Time-Varying Return Predictability by Pyun | 0 | 2016 | |
| Expected Returns and the Geometry of Volatility by Baltas and Karyampas | 0 | 2013 | |
| Free (Almost) Variance Insurance by Xu and Zhang | 0 | Linear factor models | 2013 |
| Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics by Jin | 0 | 2013 | |
| The Pricing of Variance of Variance Risk in Cross-Sectional Equity Premium and Variance Premium by Chen and Chung | 0 | Linear factor models | 2013 |
| An Empirical Investigation of Long-Run Risks Models Using Stock and Derivative Data by Jin | 0 | Classical time series | 2012 |
| The Pricing of Market Risks in Equity Options: Evidence from Individual Variance Risk Premiums by Du | 0 | 2012 | |
| The Decline of the Variance Risk Premium: Evidence from Traded and Synthetic Options by Dew-Becker and Giglio | 2025 | ||
| Adaptative predictability of stock market returns | 2020 | ||
| Stock Return Predictability and Variance Risk Premia around the ZLB | 2020 | ||
| Cross-stock market spillovers through variance risk premiums and equity flows by Hattori et al. | 2018 | ||
| Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns | 2018 | ||
| Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium | Classical time series | 2018 |
Papers on volatility risk premium in equities from other families
10 papers| filed under | ||
|---|---|---|
| Dynamic Hedging in ETFs and Income Generation through Protective Puts and Covered Calls by Sharma et al. | Options trading strategies | 2026 |
| Put-funded Tail Hedging and Drawdown-responsive Leverage in Covered Call Strategies: Evidence from NIFTY Weekly Options, 2019-2024 by Singh | Options trading strategies | 2026 |
| Covered Calls on the S&P 500: Resolution of an Anomaly by Brooks et al. | Options trading strategies | 2018 |
| Covered Call Writing in a Cumulative Prospect Theory Framework by Nardon and Pianca | Options trading strategies | 2016 |
| Adaptive Covered Call Writing for NASDAQ Stocks: The Turtle Strategy by Donninger | Options trading strategies | 2014 |
| Covered Call Strategies: One Fact and Eight Myths by Israelov and Nielsen | Options trading strategies | 2014 |
| Buy-Write or Put-Write: An Active Index Writing Portfolio to Strike it Right by Yang | Options trading strategies | 2011 |
| The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches by Abid et al. | Options trading strategies | 2010 |
| The Anomalous Behavior of the S&P Covered Call Closed End Fund by Simon | Options trading strategies | 2008 |
| Systematic Variance Risk and Firm Characteristics in the Equity Options Market by di Pietro and Vainberg | Value investing | 2007 |