SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment
16 references·7 citing·42 second hopsampled
Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment (2021)Forecasting stock return volatility: The …Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyEconomic policy uncertainty and stock market volatility (2015)Economic policy uncertainty a…Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting the Equity Risk P…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Time Series Momentum (2011)Time Series MomentumOut-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…The distribution of realized stock return volatility (2001)The distribution of realized …Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Measuring the response of clean energy stock price volatility to extreme shocks (2023)Measuring the response of cle…Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model (2023)Forecasting global stock mark…Does carbon price uncertainty affect stock price crash risk? Evidence from China (2023)Does carbon price uncertainty…Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative (2022)Time-varying spillover effect…Factors Shaping Performance of Polish Biodiesel Producers Participating in the Farm Accountancy Data Network in the Context of the Common Agricultural Policy of the European Union (2022)Factors Shaping Performance o…Extreme Time-Varying Spillovers between High Carbon Emission Stocks, Green Bond and Crude Oil: Evidence from a Quantile-Based Analysis (2022)Extreme Time-Varying Spillove…Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors (2022)Dynamic risk spillover among …The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)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)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Tail risk premia and return predictability (2015)A Theory of Cognitive Dissonance (2017)Cryptocurrency: A New Investment Opportunity? (2017)Manager sentiment and stock returns (2018)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)The Role of Monetary Policy (1995)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)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)Does Academic Research Destroy Stock Return Predictability? (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2011Time Series Momentum1,470 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015Economic policy uncertainty and stock market volatility538 cited
  • Cited by

    • 2022Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative114 cited
    • 2023Does carbon price uncertainty affect stock price crash risk? Evidence from China93 cited
    • 2022Extreme Time-Varying Spillovers between High Carbon Emission Stocks, Green Bond and Crude Oil: Evidence from a Quantile-Based Analysis86 cited
    • 2022Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors80 cited
    • 2023Measuring the response of clean energy stock price volatility to extreme shocks34 cited
    • 2023Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model31 cited
    • 2022Factors Shaping Performance of Polish Biodiesel Producers Participating in the Farm Accountancy Data Network in the Context of the Common Agricultural Policy of the European Union18 cited