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Uncertainty index and stock volatility prediction: evidence from international markets
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Uncertainty index and stock volatility prediction: evidence from international markets (2022)Uncertainty index and stock volatility pr…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Measuring economic policy uncertainty in China (2019)Measuring economic policy unc…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyInvestor 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…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …In Search of Attention (2011)In Search of AttentionAn empirical analysis of herd behavior in global stock markets (2010)An empirical analysis of herd…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …The distribution of realized stock return volatility (2001)The distribution of realized …Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …The Combination of Forecasts (1969)Combining forecasts: A review and annotated bibliography (1989)The M3-Competition: results, conclusions and implications (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Forecasting: theory and practice (2022)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)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)Generalized impulse response analysis in linear multivariate models (1998)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)An Economic Theory of Democracy. (1958)Distributive Politics and Economic Growth (1994)The Impact of Uncertainty Shocks (2009)Political uncertainty and risk premia (2013)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Carbon Tail Risk (2018)The Role of Monetary Policy (1995)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)A five-factor asset pricing model (2014)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Machine learning in the Chinese stock market (2021)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2011In Search of Attention3,088 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
  • 2010An empirical analysis of herd behavior in global stock markets880 cited
  • 2019Measuring economic policy uncertainty in China717 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2005

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Volatility Spillover Effects in European Equity Markets
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