References Amengual, D. (2009), The Term Structure of Variance Risk Premia, Working Paper, CEMFI. Amihud, Y. (2002), Illiquidity and Stock Returns: Cross-Section and Time-Series Effects, Journal of Financial Markets 5, 31-56. Antón, M. (2010), The Price of Correlation Risk. Theory and Evidence, Working Paper, London School of Economics. Bollerslev, T. and V. Todorov (2010), Tails, Fears, and Risk Premia, Working Paper, Duke University. Bondareko, O. (2004), Market Price of Variance Risk and Performance of Hedge Funds, Working Paper, University of Illinois. Brennan, M., X. Liu, and Y. Xia (2006), Option Pricing Kernels and the ICAPM, Working Paper, The Anderson School, UCLA. Brennan, M., A. Wang, and Y. Xia (2004), Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing, Journal of Finance 59, 1743-1775. Carr, P. and L. Wu (2009), Variance Risk Premia, Review of Financial Studies 22, 1311-1341. Chabi-Yo, F. (2008), Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence, Review of Financial Studies 21, 181-231. Chabi-Yo, F. (2009), Pricing Kernels with Coskewness and Volatility Risk, Working Paper, Fisher College of business, Ohio State University. Cochrane, J. (2005), Asset Pricing, Princeton University Press. Driessen, J., P. Maenhout, and G. Vilkov (2009), The Price of Correlation Risk: Evidence from Equity Options, Journal of Finance 64, 1377-1406. Egloff, D., M. Leippold, and L. Wu (2010), The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments, Forthcoming in the Journal of Financial and Quantitative Analysis. Fama, E., and J. MacBeth (1973), Risk, Return, and Equilibrium: Empirical Tests, Journal of Political Economy 71, 607-636. Hahn, J., and H. Lee (2006), Yield Spreads as Alternative Risk Factors for Size and Book-to-Market, Journal of Financial and Quantitative Analysis 41, 245-269. Hansen, L., and R. Jagannathan (1997), Assessing Specification Errors in Stochastic Discount Factors Models, Journal of Finance 52, 557-590. Malkhozov, A. (2009), Stochastic Volatility and Long-run Risk in Endowment and Production Economies, Working Paper, McGill University. Merton, R. (1973), An Intertemporal Capital Asset Pricing Model, Econometrica 41, 867-887. Nieto, B., A. Novales, and G. Rubio (2010), Why do Variance Swaps Exist?, Working Paper, University CEU Cardenal Herrera. Petkova, R. (2006), Do the Fama-French Factors Proxy for Innovations in Predictive Variables? Journal of Finance 61, 581-612. Shanken, J. (1992), On the Estimation of Beta Pricing Models, Review of Financial Studies 5, 1-34. Todorov, V. (2010), Variance Risk Premia Dynamics: The Role of Jump, Review of Financial Studies 23, 345-383. Vilkov, G. (2008), Variance Risk Premium Demystified, Working Paper, INSEAD.