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Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data
16 references·0 citing·49 second hopsampled
Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data (2022)Climate risks and U.S. stock‐market tail …Climate Finance (2020)Climate FinanceHedging Climate Change News (2019)Hedging Climate Change NewsOil prices, US stock return, and the dependence between their quantiles (2015)Oil prices, US stock return, …Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesRare Disasters, Asset Prices, and Welfare Costs (2009)Rare Disasters, Asset Prices,…Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? (2008)Biases in Macroeconomic Forec…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Estimation and Testing of Forecast Rationality under Flexible Loss (2005)Estimation and Testing of For…Stock market returns: A note on temperature anomaly (2004)Stock market returns: A note …CAViaR (2004)CAViaRValue-at-Risk and Extreme Returns (2000)Value-at-Risk and Extreme Ret…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The equity risk premium a solution (1988)The equity risk premium a sol…Economic Forces and the Stock Market (1986)Estimating Production Functions Using Inputs to Control for Unobservables (2003)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Forecasting Economic Time Series (2000)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Presidential Address: Discount Rates (2011)Short- Term Interest Rates as Predictors of Inflation (2021)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Introductory Econometrics for Finance (2008)Volatility forecast comparison using imperfect volatility proxies (2010)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Measuring Systemic Risk (2016)American Economic Review (2019)Measuring Geopolitical Risk (2022)Dividend yields and expected stock returns (1988)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Do Investors Care about Carbon Risk? (2019)The Importance of Climate Risks for Institutional Investors (2019)Sustainable investing in equilibrium (2020)Theory of Rational Option Pricing (1973)The Economics of Climate Change (2007)Climate Change Concerns and the Performance of Green Versus Brown Stocks (2020)Dissecting green returns (2022)Firm‐Level Climate Change Exposure (2023)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2004CAViaR2,210 cited
  • 1997Testing the equality of prediction mean squared errors2,123 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,763 cited
  • 2019Hedging Climate Change News1,532 cited
  • 2015Oil prices, US stock return, and the dependence between their quantiles1,457 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2020Climate Finance1,011 cited
  • 2009Rare Disasters, Asset Prices, and Welfare Costs856 cited
  • 2014Tail Risk and Asset Prices825 cited
  • 2004Stock market returns: A note on temperature anomaly541 cited
  • 2005Estimation and Testing of Forecast Rationality under Flexible Loss343 cited
  • 2000Value-at-Risk and Extreme Returns331 cited
  • 2008Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?

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