Expected Stock Returns and Variance Risk Premia

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Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “Moreover, previous studies have shown that the VRP fluctuates over time and predicts future stock market returns at the short/medium horizon (Bollerslev, Tauchen, and Zhou (2009) and Drechsler and Yaron (2008)).”
The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “…variables and shocks, and it inherits an intricate shock distribution with time-varying higher-order moments, including a time-varying volatility of volatility (Bollerslev et al. 2009) that may be spiky and skewed, mimicking the jumps in consumption growth volatility in Drechsler and Yaron (2011).”
Downside Variance Risk Premium (2015, unknown): “The variance risk premium (henceforth, V RP ) formalized and studied by Bollerslev, Tauchen, and Zhou (2009) (henceforth, BTZ) as the difference between option-implied and realized variances is a measure of risk compensation that reflects investors’ appraisal of changes in future volatility.”
Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil (2019, methodology): “To calculate RVt, we collect and clean high-frequency tick-level data for oil futures from TickData and then follow the procedure of Bollerslev et al. (2009). Specifically, daily realized variance is the sum of five-minute squared returns covering normal trading hours.”