Uncertainty, Time-Varying Fear, and Asset Prices: Uncertainty, Time-Varying Fear, and Asset Prices

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Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis (2020, background): “Drechsler (2013) associates the VP with Knightian uncertainty.”
Systemic Co-Jumps (2017, background): “…to fundamentals (sometimes referred to as disasters) have a substantial impact on risk premia; see, e.g. Barro (2006); Gabaix (2012) and Drechsler and Yaron (2011); Drechsler (2013) for economic models directly focusing on the relation between jumps in fundamentals and the variance risk premium.”
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, unknown): “In particular, Epstein and Schneider (2008), Leippold et al. (2008), Sbuelz and Trojani (2008) and Drechsler (2013) consider the effect of time varying ambiguity on asset prices.”
The Risk Premia Embedded in Index Options (2015, background): “…of the risk in the asset price process will be related to underlying fundamentals in specific ways; examples include Drechsler and Yaron (2011) and Drechsler (2013). the average realized volatility over the sample is about 17.9%, this implies a large volatility risk premium, as also widely…”