{"id":"https://openalex.org/W2147872003","doi":"https://doi.org/10.2139/ssrn.1418488","title":"Tails, Fears and Risk Premia","display_name":"Tails, Fears and Risk Premia","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W2147872003","doi":"https://doi.org/10.2139/ssrn.1418488","mag":"2147872003"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.1418488","doi":"https://doi.org/10.2139/ssrn.1418488","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1418488","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1418488","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5102799463","display_name":"Tim Bollerslev","orcid":"https://orcid.org/0000-0003-2743-3087","observed_orcids":["https://orcid.org/0000-0003-2743-3087","https://orcid.org/0000-0919-0660-1846"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I170897317","display_name":"Duke University","ror":"https://ror.org/00py81415","country_code":"US","type":"education","lineage":["https://openalex.org/I170897317"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Tim Bollerslev","raw_affiliation_strings":["Duke University - Department of Economics, 213 Social Sciences Building, Box 90097, Durham, NC 27708-0204, United States","Duke University - Finance, Durham, NC 27708-0120, United States","National Bureau of Economic Research (NBER), 1050 Massachusetts Avenue, Cambridge, MA 02138, United States","Duke University - Department of Economics","Duke University - Finance","National Bureau of Economic Research (NBER)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Duke University - Department of Economics, 213 Social Sciences Building, Box 90097, Durham, NC 27708-0204, United States","institution_ids":["https://openalex.org/I170897317"]},{"raw_affiliation_string":"Duke University - Finance, Durham, NC 27708-0120, United States","institution_ids":["https://openalex.org/I170897317"]},{"raw_affiliation_string":"National Bureau of Economic Research (NBER), 1050 Massachusetts Avenue, Cambridge, MA 02138, United States","institution_ids":["https://openalex.org/I1321305853"]},{"raw_affiliation_string":"Duke University - Department of Economics","institution_ids":["https://openalex.org/I170897317"]},{"raw_affiliation_string":"Duke University - Finance","institution_ids":["https://openalex.org/I170897317"]},{"raw_affiliation_string":"National Bureau of Economic Research (NBER)","institution_ids":["https://openalex.org/I1321305853"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5078291617","display_name":"Viktor Todorov","orcid":"https://orcid.org/0000-0002-2360-7812","observed_orcids":["https://orcid.org/0000-0002-2360-7812"]},"institutions":[{"id":"https://openalex.org/I111979921","display_name":"Northwestern University","ror":"https://ror.org/000e0be47","country_code":"US","type":"education","lineage":["https://openalex.org/I111979921"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Viktor Todorov","raw_affiliation_strings":["Northwestern University, 2001 Sheridan Road, Evanston, IL 60208, United States","Northwestern University"],"raw_orcid":"https://orcid.org/0000-0002-2360-7812","affiliations":[{"raw_affiliation_string":"Northwestern University, 2001 Sheridan Road, Evanston, IL 60208, United States","institution_ids":["https://openalex.org/I111979921"]},{"raw_affiliation_string":"Northwestern University","institution_ids":["https://openalex.org/I111979921"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5102799463"],"corresponding_institution_ids":["https://openalex.org/I1321305853","https://openalex.org/I170897317"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":67,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.70169997215271,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.70169997215271,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.14090000092983246,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.10360000282526016,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/tail-risk","display_name":"tail risk","score":0.7369999885559082},{"id":"https://openalex.org/keywords/risk-premium","display_name":"risk premium","score":0.5699999928474426},{"id":"https://openalex.org/keywords/equity-premium","display_name":"equity premium","score":0.703000009059906},{"id":"https://openalex.org/keywords/variance-risk-premium","display_name":"variance risk premium","score":0.972000002861023},{"id":"https://openalex.org/keywords/rare-events","display_name":"rare events","score":0.9340000152587891},{"id":"https://openalex.org/keywords/extreme-value-theory","display_name":"extreme value theory","score":0.6380000114440918},{"id":"https://openalex.org/keywords/out-of-the-money-options","display_name":"out-of-the-money options","score":0.8009999990463257},{"id":"https://openalex.org/keywords/model-free-implied-volatility","display_name":"model-free implied volatility","score":0.6600000262260437},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.8159999847412109},{"id":"https://openalex.org/keywords/market-volatility","display_name":"market volatility","score":0.6809999942779541},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.6039999723434448}],"concepts":[{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.5356622934341431},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.42759162187576294},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3653952181339264},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3631066083908081}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.1418488","doi":"https://doi.org/10.2139/ssrn.1418488","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1418488","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1418488","doi":"https://doi.org/10.2139/ssrn.1418488","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1418488","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/13","score":0.7099999785423279,"display_name":"Climate action"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":90,"referenced_works":["https://openalex.org/W1636237932","https://openalex.org/W1751500752","https://openalex.org/W1859883690","https://openalex.org/W1859995934","https://openalex.org/W1894905729","https://openalex.org/W1953913088","https://openalex.org/W1966926926","https://openalex.org/W1979878470","https://openalex.org/W1995522593","https://openalex.org/W2005009181","https://openalex.org/W2009169570","https://openalex.org/W2016195689","https://openalex.org/W2027063727","https://openalex.org/W2031817855","https://openalex.org/W2034241492","https://openalex.org/W2049177169","https://openalex.org/W2051235503","https://openalex.org/W2052611462","https://openalex.org/W2068138154","https://openalex.org/W2068456731","https://openalex.org/W2073136697","https://openalex.org/W2081133178","https://openalex.org/W2081877251","https://openalex.org/W2084931349","https://openalex.org/W2092529376","https://openalex.org/W2098612888","https://openalex.org/W2102710339","https://openalex.org/W2106154424","https://openalex.org/W2106540119","https://openalex.org/W2106757932","https://openalex.org/W2113704261","https://openalex.org/W2121580505","https://openalex.org/W2128985728","https://openalex.org/W2129220488","https://openalex.org/W2130570312","https://openalex.org/W2133334225","https://openalex.org/W2135177937","https://openalex.org/W2138842879","https://openalex.org/W2141185104","https://openalex.org/W2146134639","https://openalex.org/W2146399390","https://openalex.org/W2150163453","https://openalex.org/W2151581476","https://openalex.org/W2151726729","https://openalex.org/W2154989692","https://openalex.org/W2158512712","https://openalex.org/W2162465782","https://openalex.org/W2163191305","https://openalex.org/W2163683534","https://openalex.org/W2164380597","https://openalex.org/W2165679209","https://openalex.org/W2166536772","https://openalex.org/W2166898606","https://openalex.org/W2168308822","https://openalex.org/W2171436969","https://openalex.org/W2179356764","https://openalex.org/W2240968826","https://openalex.org/W2291303819","https://openalex.org/W2502254989","https://openalex.org/W2553992319","https://openalex.org/W2890218202","https://openalex.org/W2890380864","https://openalex.org/W2890661232","https://openalex.org/W2891159187","https://openalex.org/W2895562402","https://openalex.org/W2977330347","https://openalex.org/W3006305702","https://openalex.org/W3021522772","https://openalex.org/W3121388661","https://openalex.org/W3121471611","https://openalex.org/W3122390195","https://openalex.org/W3122467650","https://openalex.org/W3122586954","https://openalex.org/W3122817125","https://openalex.org/W3122920299","https://openalex.org/W3123004041","https://openalex.org/W3123261697","https://openalex.org/W3123321876","https://openalex.org/W3123332101","https://openalex.org/W3124016026","https://openalex.org/W3124055529","https://openalex.org/W3124171706","https://openalex.org/W3124475197","https://openalex.org/W3124615953","https://openalex.org/W3124731170","https://openalex.org/W3124800962","https://openalex.org/W3124804082","https://openalex.org/W3125102330","https://openalex.org/W4251828876","https://openalex.org/W4312521548"],"related_works":["https://openalex.org/W1502198272","https://openalex.org/W2017540542","https://openalex.org/W2006758266","https://openalex.org/W2104764082","https://openalex.org/W2073254488","https://openalex.org/W4313389613","https://openalex.org/W1967885144","https://openalex.org/W2270382009","https://openalex.org/W1956244680","https://openalex.org/W3122448762"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":9},{"year":2015,"cited_by_count":7},{"year":2014,"cited_by_count":7},{"year":2013,"cited_by_count":10},{"year":2012,"cited_by_count":14}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2025-10-10T00:00:00"}