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The effect of uncertainty on stock market volatility and correlation
16 references·0 citing·48 second hop
The effect of uncertainty on stock market volatility and correlation (2023)The effect of uncertainty on stock market…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Asset-Pricing Implication…Measuring Uncertainty (2015)Measuring UncertaintyThe VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Liquidity risk management and credit supply in the financial crisis (2011)Liquidity risk management and…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…The Economic Value of Volatility Timing (2001)The Economic Value of Volatil…The Investor Fear Gauge (2000)The Investor Fear GaugeRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyA SENSITIVITY ANALYSIS OF CROSS-COUNTRY GROWTH REGRESSIONS (1991)A SENSITIVITY ANALYSIS OF CRO…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Some International Evidence on Output-Inflation Tradeoffs. (1973)Increasing Returns and Long-Run Growth (1986)A Contribution to the Empirics of Economic Growth (1992)Economic Reform and the Process of Global Integration (1995)INSTITUTIONS AND ECONOMIC PERFORMANCE: CROSS‐COUNTRY TESTS USING ALTERNATIVE INSTITUTIONAL MEASURES (1995)Africa's Growth Tragedy: Policies and Ethnic Divisions (1997)The equity premium: A puzzle (1985)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)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)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)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)Risk, Uncertainty and Profit (1921)An Intertemporal Capital Asset Pricing Model (1973)On Persistence in Mutual Fund Performance (1997)A Climate Stress-Test of the Financial System (2016)What Affects Innovation More: Policy or Policy Uncertainty? (2017)The Pollution Premium (2020)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)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)COVID-Induced Economic Uncertainty (2020)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1991A SENSITIVITY ANALYSIS OF CROSS-COUNTRY GROWTH REGRESSIONS6,035 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty1,352 cited
  • 2011Liquidity risk management and credit supply in the financial crisis1,201 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application

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