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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 …
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We estimate the evolution of the conditional joint distribution of economic and financial conditions in the United States, documenting a novel empirical fact: while the joint distribution is approximately Gaussian during normal periods, sharp tightenings of financial conditions lead to the...
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