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Machine-learning stock market volatility: Predictability, drivers, and economic value
16 references·0 citing·41 second hop
Machine-learning stock market volatility: Predictability, drivers, and economic value (2024)Machine-learning stock market volatility:…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskEmpirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyFRED-MD: A Monthly Database for Macroeconomic Research (2015)FRED-MD: A Monthly Database f…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…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)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)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)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)Common risk factors in the returns on stocks and bonds (1993)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)Estimation and Inference of Impulse Responses by Local Projections (2005)Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine (2022)Russia–Ukraine crisis: The effects on the European stock market (2022)The impact of the Russian-Ukrainian war on global financial markets (2023)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)COVID-Induced Economic Uncertainty (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)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

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 1995Comparing Predictive Accuracy5,214 cited
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  • 2022Measuring Geopolitical Risk3,788 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
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  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
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  • 2014Forecasting the Equity Risk Premium: The Role of Technical Indicators1,001 cited
  • 2015FRED-MD: A Monthly Database for Macroeconomic Research908 cited

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  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
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