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Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects
16 references·4 citing·46 second hop
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References

  • 1985Does the Stock Market Overreact?7,569 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
  • 2009Bank lending during the financial crisis of 20082,777 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
  • 2002Stock market volatility, excess returns, and the role of investor sentiment700 cited
  • 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
  • 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size404 cited
  • 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
  • 2011Investor attention, psychological anchors, and stock return predictability

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378 cited
  • 2011Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search377 cited
  • Cited by

    • 2021Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump24 cited
    • 2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model23 cited
    • 2021Forecasting stock return volatility using a robust regression model23 cited
    • 2021Contagion risk: cases of Islamic and emerging market banks19 cited