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Forecasting Aggregate Stock Market Volatility Using Financial and Macroeconomic Predictors: Which Models Forecast Best, When and Why?
16 references·16 citing·38 second hopsampled
Forecasting Aggregate Stock Market Volatility Using Financial and Macroeconomic Predictors: Which Models Forecast Best, When and Why? (2016)Forecasting Aggregate Stock Market Volati…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Bond Risk Premia (2005)Bond Risk PremiaEconometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Stock Return Predictability: Is it There? (2001)Stock Return Predictability: …Predictive regressions (1999)Predictive regressionsOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…What drives volatility in Bitcoin market? (2022)What drives volatility in Bit…Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility (2022)Global economic policy uncert…Geopolitical risk and oil price volatility: Evidence from Markov-switching model (2022)Geopolitical risk and oil pri…Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model (2022)Forecasting stock market vola…Forecasting crude oil market volatility using variable selection and common factor (2022)Forecasting crude oil market …Realized skewness and the short-term predictability for aggregate stock market volatility (2021)Realized skewness and the sho…Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment (2021)Forecasting stock return vola…Forecasting stock market volatility: Can the risk aversion measure exert an important role? (2021)Forecasting stock market vola…Forecasting stock market volatility using commodity futures volatility information (2021)Forecasting stock market vola…AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME‐SERIES ECONOMETRICS (2021)AN OVERVIEW OF DYNAMIC MODEL …Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching (2020)Forecasting the Chinese stock…Stock price forecasting model based on modified convolution neural network and financial time series analysis (2019)Stock price forecasting model…Economic policy uncertainty and the Chinese stock market volatility: Novel evidence (2019)Economic policy uncertainty a…Improving the predictability of stock returns with Bitcoin prices (2018)Improving the predictability …Forecasting the aggregate oil price volatility in a data-rich environment (2018)Forecasting the aggregate oil…Does US Economic Policy Uncertainty matter for European stock markets volatility? (2018)Does US Economic Policy Uncer…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Expected Stock Returns and Variance Risk Premia (2009)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)The Pricing of Options on Assets with Stochastic Volatilities (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1999Predictive regressions1,614 cited
  • 2005Bond Risk Premia1,546 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited

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Stock Return Predictability: Is it There?
897 cited

Cited by

  • 2019Economic policy uncertainty and the Chinese stock market volatility: Novel evidence167 cited
  • 2019Stock price forecasting model based on modified convolution neural network and financial time series analysis120 cited
  • 2022Forecasting crude oil market volatility using variable selection and common factor113 cited
  • 2022Geopolitical risk and oil price volatility: Evidence from Markov-switching model102 cited
  • 2018Forecasting the aggregate oil price volatility in a data-rich environment93 cited
  • 2018Improving the predictability of stock returns with Bitcoin prices83 cited
  • 2018Does US Economic Policy Uncertainty matter for European stock markets volatility?78 cited
  • 2022Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility75 cited
  • 2022What drives volatility in Bitcoin market?57 cited
  • 2021Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment53 cited
  • 2022Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model49 cited
  • 2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching46 cited
  • 2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME‐SERIES ECONOMETRICS36 cited
  • 2021Forecasting stock market volatility: Can the risk aversion measure exert an important role?25 cited
  • 2021Realized skewness and the short-term predictability for aggregate stock market volatility24 cited
  • 2021Forecasting stock market volatility using commodity futures volatility information24 cited