"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables
Bradley S. Paye
| Year of publication: |
2012
|
|---|---|
| Authors: | Paye, Bradley S. |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 106.2012, 3, p. 527-546
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| Subject: | Conditional volatility | Realized volatility | Granger causality | Forecast evaluation | Forecast combination | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kausalanalyse | Causality analysis | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Börsenkurs | Share price | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Prognose | Forecast |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009710165