Buraschi is with the University of Chicago, Booth School of Business and Imperial College London, Business School. Trojani is with the University of Lugano and a Research Fellow at the Swiss Finance Institute. Vedolin is with the London School of Economics. We thank the Editor, Cam Harvey, an Associate Editor, an anonymous referee, John Cochrane, Jérôme Detemple, Bernard Dumas, John Heaton, Christian Heyerdahl-Larsen, Ian Martin, Chay Ornthanalai, Rodolfo Prieto, Dimitri Vayanos, Paul Whelan, and the participants at the European Finance Association Meeting, American Finance Association Meeting, Western Finance Association Meeting, University of Chicago, Booth School of Business, Imperial College, London School of Economics, Università Ca' Foscari, and EdHec for valuable comments. Trojani gratefully acknowledges the financial support of the Swiss National Science Foundation (NCCR FINRISK and Grants 101312–103781/1 and 100012–105745/1) and the Swiss Finance Institute (Project “Term Structures and Cross-Sections of Asset Risk Premia”). Vedolin acknowledges the financial support of the Swiss National Science Foundation (Grant PBSG1–119230).
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
Version of Record online: 7 JAN 2014
© 2013 the American Finance Association
The Journal of Finance
Volume 69, Issue 1, pages 101–137, February 2014
How to Cite
BURASCHI, A., TROJANI, F. and VEDOLIN, A. (2014), When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia. The Journal of Finance, 69: 101–137. doi: 10.1111/jofi.12095
- Issue online: 7 JAN 2014
- Version of Record online: 7 JAN 2014
- Accepted manuscript online: 17 SEP 2013 12:00AM EST
- Manuscript Accepted: 26 JUL 2013
- Manuscript Received: 11 APR 2011
- Swiss National Science Foundation. Grant Numbers: NCCR FINRISK and Grants 101312–103781/1, 100012–105745/1, PBSG1–119230
- Swiss Finance Institute
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
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