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Publications related to the research

Tails, Fears and Risk Premia



Tail Extraction from Options.

Tail Risk Premia and Return Predictability


Option-Based Tail Risk and Return Predictability, US Markets.

The Pricing of Tail Risk and the Equity Premium: Evidence from International Options Markets

Option-Based Tail Risk and Return Predictability, European Markets

Tail Risk and Return Predictability for the Japanese Equity Market

Option-Based Tail Risk, Currency and Equity Return Predictability for Japan.

Contact US

This research is a joint venture between Professor Torben G. Andersen and Professor Viktor Todorov.


  • Kellogg School of Management, Evanston
  • v-todorov@kellogg.northwestern.edu / 847-467-0694
  • t-andersen@kellogg.northwestern.edu / 847-467-1285

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