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Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
16 references·0 citing·48 second hopsampled
Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century (2023)Climate Risks and Forecasting Stock Marke…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskWhat do you think about climate finance? (2021)What do you think about clima…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Climate Finance (2020)Climate FinanceHedging Climate Change News (2019)Hedging Climate Change NewsAttention to Global Warming (2019)Attention to Global WarmingMeasuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Rare Disasters, Asset Prices, and Welfare Costs (2009)Rare Disasters, Asset Prices,…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…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…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The equity risk premium a solution (1988)The equity risk premium a sol…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The variation of certain speculative prices (1997)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Presidential Address: Discount Rates (2011)Measuring Systemic Risk (2016)American Economic Review (2019)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Efficient Tests for an Autoregressive Unit Root (1996)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Dividend yields and expected stock returns (1988)Comparing Predictive Accuracy (1994)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)Industry costs of equity (1997)The Impact of Uncertainty Shocks (2009)Measuring Economic Policy Uncertainty* (2016)Russia–Ukraine crisis: The effects on the European stock market (2022)Advancing green finance: a review of sustainable development (2023)The impact of the Russian-Ukrainian war on global financial markets (2023)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2022Measuring Geopolitical Risk4,303 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 Markets3,380 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,891 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,690 cited
  • 2019Hedging Climate Change News1,532 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,488 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2019Attention to Global Warming1,131 cited
  • 2020Climate Finance1,011 cited
  • 2009Rare Disasters, Asset Prices, and Welfare Costs856 cited

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  • 2021What do you think about climate finance?735 cited
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