On the Nature of (Jump) Skewness Risk Premia
Published Online:9 May 2023https://doi.org/10.1287/mnsc.2023.4734
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The replication files for this article are available HERE.
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Pages v-vi, 671-1342, iii-iv
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- Received:February 08, 2021
- Accepted:May 16, 2022
- Published Online:May 09, 2023
Copyright © 2023, INFORMS
Cite as
Piotr Orłowski, Paul Schneider, Fabio Trojani, (2023) On the Nature of (Jump) Skewness Risk Premia. Management Science 70(2):1154-1174.
https://doi.org/10.1287/mnsc.2023.4734
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This paper was previously presented as “Big risk?” The authors thank three anonymous referees, Tim Bollerslev, Oleg Bondarenko (discussant), Francesca Carrieri, Mathieu Fournier, Alexandre Jeanneret, Dmitry Muravyev, Valeri Sokolovski, Viktor Todorov, Nikola Vasiljević (discussant), and the participants of the 2015 Swiss Finance Institute Research Days, the 11th Annual Society for Financial Econometrics Conference in Lugano, and the Quantitative Finance Seminars at Kellogg School of Management for valuable comments and suggestions.
