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Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2010

"We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary … policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility …

Persistent link: https://www.econbiz.de/10008669382

Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2010

Persistent link: https://www.econbiz.de/10008807668

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - 2013

Persistent link: https://www.econbiz.de/10009744702

Does partisan conflict predict a reduction in US stock market (realized) volatility? : evidence from a quantile-on-quantile regression model

Gupta, Rangan; Pierdzioch, Christian; Selmi, Refk; … - In: The North American journal of economics and finance : a … 43 (2018), pp. 87-96

Persistent link: https://www.econbiz.de/10012036263

Do oil-price shocks predict the realized variance of U.S. REITs?

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Energy economics 104 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013364407

Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks

Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413542

Investor confidence and forecastability of US stock market realized volatility : evidence from machine learning

Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian - In: The journal of behavioral finance : a publication of … 24 (2023) 1, pp. 111-122

Persistent link: https://www.econbiz.de/10013547864

Forecasting the realized variance of oil-price returns using machine learning : is there a role for U.S. state-level uncertainty?

Çepni, Oğuzhan; Gupta, Rangan; Pienaar, Daniel; … - In: Energy economics 114 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013477404

Realized stock market volatility of the United States : the role of employee sentiment

Gupta, Rangan; Hall, Savanah; Pierdzioch, Christian - 2023

Persistent link: https://www.econbiz.de/10014317308

Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data

Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244

Persistent link: https://www.econbiz.de/10014326299