A Comprehensive Look at Financial Volatility Prediction by Economic Variables

292 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

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Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting (2019, background): “Remarkably, there is a large body of research examining the role of macro-economic and financial variables in predicting the volatility of equities (e.g. Schwert, 1989, Paye, 2012) and other assets such as bonds, foreign exchange, and commodities (e.g. Christiansen et al., 2012).”
Forecasting US Recessions: The Role of Sentiment (2014, unknown): “…standard pretesting is necessary in order to reduce the dimensionality of the set of potential model combinations, e.g. Ludvigson and Ng (2009) and Christiansen, Schmeling, and Schrimpf (2012).2 We reduce the initial set of potential predictor variables by only considering variables with a…”
Stock return predictability from a mixed model perspective (2020, unknown): “2 , 1 , , , 1 1 (0, , ) , t i t i t i t i t j j r Median x r t        (10)”
Anticipating Long‐Term Stock Market Volatility (2014, unknown): “Finally, it is important to highlight that our results extent and complement the recent findings in Christiansen et al. (2012) and Paye (2012).”
An Intertemporal CAPM with Stochastic Volatility (2018, background): “Two recent papers, Paye (2012) and Christiansen et al. (2012), look at larger”