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Forecasting global equity market volatilities
16 references·16 citing·38 second hopsampled
Forecasting global equity market volatilities (2020)Forecasting global equity market volatili…Manager sentiment and stock returns (2018)Manager sentiment and stock r…Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting the Equity Risk P…International Stock Return Predictability: What Is the Role of the United States? (2013)International Stock Return Pr…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …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…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…The empirical risk–return relation: A factor analysis approach☆ (2006)The empirical risk–return rel…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Global financial stress index and long-term volatility forecast for international stock markets (2023)Global financial stress index…Macroeconomic attention, economic policy uncertainty, and stock volatility predictability (2022)Macroeconomic attention, econ…Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market (2022)Investor sentiment based on s…Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent (2022)Information connectedness of …Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility (2022)Global economic policy uncert…Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies (2022)Forecasting volatility during…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 …Forecasting crude oil futures market returns: A principal component analysis combination approach (2022)Forecasting crude oil futures…The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models (2021)The role of US implied volati…Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US (2021)Return connectedness among co…Multi-Perspective Crude Oil Price Forecasting with a New Decomposition-Ensemble Framework (2021)Multi-Perspective Crude Oil P…Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility? (2021)Is investor sentiment stronge…Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information (2021)Global equity market volatili…Which predictor is more predictive for Bitcoin volatility? And why? (2020)Which predictor is more predi…The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic (2020)The role of the IDEMV in pred…The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Forecasting Using Principal Components From a Large Number of Predictors (2002)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Measuring Uncertainty (2015)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Comparing Predictive Accuracy (1994)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)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)Option pricing when underlying stock returns are discontinuous (1976)Expected Stock Returns and Variance Risk Premia (2009)Extreme Correlation of International Equity Markets (2001)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 2018Manager sentiment and stock returns733 cited

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2013
International Stock Return Predictability: What Is the Role of the United States?
702 cited
  • 2006The empirical risk–return relation: A factor analysis approach☆666 cited
  • Cited by

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    • 2022Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent98 cited
    • 2021Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US89 cited
    • 2020The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic83 cited
    • 2021Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information82 cited
    • 2022Forecasting crude oil futures market returns: A principal component analysis combination approach80 cited
    • 2022Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility75 cited
    • 2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?74 cited
    • 2023Global financial stress index and long-term volatility forecast for international stock markets68 cited
    • 2022Macroeconomic attention, economic policy uncertainty, and stock volatility predictability55 cited
    • 2020Which predictor is more predictive for Bitcoin volatility? And why?50 cited
    • 2022Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model49 cited
    • 2021The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models47 cited
    • 2021Multi-Perspective Crude Oil Price Forecasting with a New Decomposition-Ensemble Framework46 cited
    • 2022Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market37 cited
    • 2022Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies35 cited