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The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis
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The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis (2019)The economic sources of China's CSI 300 s…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Anticipating Long-Term Stock Market Volatility (2014)Anticipating Long-Term Stock …The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach (2013)The Importance of the Macroec…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2011)Deja Vol: Predictive Regressi…A component model for dynamic correlations (2009)A component model for dynamic…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Testing and Valuing Dynamic Correlations for Asset Allocation (2006)Testing and Valuing Dynamic C…Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (2005)Speculative Trading and Stock…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility (2001)The Dynamic Relation Between …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stock Prices and Volume (1992)Stock Prices and VolumeHeteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Drivers of green bond market growth: The importance of Nationally Determined Contributions to the Paris Agreement and implications for sustainability (2019)Forecasting: theory and practice (2022)Comparing Predictive Accuracy (1994)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)Empirical properties of asset returns: stylized facts and statistical issues (2001)The distribution of realized stock return volatility (2001)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Testing for a Unit Root in Time Series Regression (1988)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Does realized skewness predict the cross-section of equity returns? (2015)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Fluctuations in Uncertainty (2014)Really Uncertain Business Cycles (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)The Impact of Uncertainty Shocks (2009)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)
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References

  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1992Stock Prices and Volume1,295 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,140 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes910 cited
  • 2011Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables486 cited
  • 2001The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility347 cited
  • 2006Testing and Valuing Dynamic Correlations for Asset Allocation324 cited
  • 2005Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia322 cited
  • 2009A component model for dynamic correlations301 cited
  • 2013The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach

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254 cited
  • 2014Anticipating Long-Term Stock Market Volatility246 cited
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