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英文文献：Tail Risk Premia and Return Predictability-尾部风险溢价和回报可预测性
英文文献作者：Tim Bollerslev,Viktor Todorov,Lai Xu
英文文献摘要：
The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward aggregate market variation, helps predict future market returns. 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. Our results are consistent with the idea that the temporal variation in the separate diffusive and jump risk components of the variance risk premium may be associated with notions of time-varying economic uncertainty and changes in risk aversion, or market fears, respectively.
方差风险溢价，定义为远期总市场变化的实际预期和风险中和预期之间的差异，有助于预测未来市场回报。依靠新的基本无模型估计程序，我们表明，这种可预测性很大程度上可以归因于尾部形状的时间变化和投资者承担跳尾风险所需的补偿。我们的结果与方差风险溢价中分离的扩散和跳跃风险成分的时间变化可能分别与时变经济不确定性的概念和风险厌恶或市场恐惧的变化有关的观点是一致的。
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