Craig, Ben R.; Glatzer, Ernst; Keller, Joachim G.; … - 2003 - [Elektronische Ressource]
range of information about the price forecast. The volatility, or second
moment of the forecast, measures its dispersion … of returns. The litera-
ture contains many studies on the information content of the (risk-neutral) variance
extracted … from option prices. As the detailed review by Figlewski (1997) shows,
there is valuable information in the implied …