A comprehensive look at financial volatility prediction by economic variables
نویسندگان
چکیده
منابع مشابه
A Comprehensive Look at Financial Volatility Prediction by Economic Variables, March 2012
We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data-rich forecast methodology to handle a large set of potential predictors in a Bayesian Model Averaging approach, and, second, we take a look at multiple asse...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2012
ISSN: 0883-7252
DOI: 10.1002/jae.2298