Picking the best cherries: Analysing the use of macro-nance variables in predicting monthly realized volatility
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- Type
- article
- Published
- 2014-08-08
- Cited by
- 0
- References
- 42
- OpenAlex
- https://openalex.org/W191185905
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:150501956
Keywords
Predictability, Econometrics, Volatility (finance), Macro, Economics
References
- Mining Big Data Using Parsimonious Factor and Shrinkage Methods
- Market risk analysis I: quantitative methods in finance
- Elements of Financial Risk Management
- Realized Volatility: A Review
- Macroeconomic News and Bond Market Volatility
- Breaks and persistency: macroeconomic causes of stock market volatility
- Comparing Sharpe ratios: So where are the p-values?
- Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
- Common risk factors in the returns on stocks and bonds
- CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
- Performance Hypothesis Testing with the Sharpe and Treynor Measures
- Forecasting economic time series using targeted predictors
- Regularization Parameter Selections via Generalized Information Criterion
- Threshold heteroskedastic models
- Economic Significance of Predictable Variations in Stock Index Returns
- A Simple Nonparametric Test of Predictive Performance
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Sur les fonctions convexes et les inégalités entre les valeurs moyennes
- Asymmetric stock market volatility and the cyclical behavior of expected returns
- Stock Return Predictability: Is it There?
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