degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year … to generate systemic under-predictions of future realized volatility. …