"Déjà vol" revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios
Year of publication: |
2018
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Authors: | Conrad, Christian ; Glas, Alexander |
Publisher: |
Heidelberg : University of Heidelberg, Department of Economics |
Subject: | Realized volatility | Survey of Professional Forecasters | forecast evaluation | predictive regressions |
Series: | Discussion Paper Series ; 655 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1034107755 [GVK] hdl:10419/207631 [Handle] |
Classification: | E17 - Forecasting and Simulation ; E37 - Forecasting and Simulation ; G11 - Portfolio Choice ; G17 - Financial Forecasting |
Source: |
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Conrad, Christian, (2018)
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On economic evaluation of directional forecasts
Blaskowitz, Oliver J., (2009)
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On economic evaluation of directional forecasts
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