Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of Economic Dynamics and Control 52 (2015) C, pp. 340-360
We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider …-sample predictive ability tests, we find that the stock volatility measures and the common factor significantly improve macroeconomic …