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Forecasting Chinese Stock Market Volatility With Economic Variables
16 references·2 citing·41 second hop
Forecasting Chinese Stock Market Volatility With Economic Variables (2015)Forecasting Chinese Stock Market Volatili…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables (2012)‘Déjà vol’: Predictive regres…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…The empirical risk–return relation: A factor analysis approach☆ (2006)The empirical risk–return rel…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Correcting the Errors: Volati…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Conditioning Variables and the Cross Section of Stock Returns (1999)Conditioning Variables and th…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyThe Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model (2023)Forecasting stock volatility …Forecasting the KOSPI200 spot volatility using various volatility measures (2018)Forecasting the KOSPI200 spot…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Presidential Address: Discount Rates (2011)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Manager sentiment and stock returns (2018)The Cross-Section of Expected Stock Returns (1992)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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  • 2004Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities316 cited
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    • 2023Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model52 cited
    • 2018Forecasting the KOSPI200 spot volatility using various volatility measures18 cited