Crump, Richard K.; Giannone, Domenico; Hundtofte, Sean - 2018
We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong …, most importantly, can be exploited in real time. Current realized volatility has the most information content on the … volatility is low, the predicted distribution of returns is less dispersed and probabilistic forecasts are sharper. Given this …
