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Monetary volatility and real output volatility : an empirical model of the financial transmission mechanism in Australia

Kearney, Colm - In: International review of financial analysis 6 (1997) 2, pp. 77-95

Persistent link: https://www.econbiz.de/10001246655

Asset price volatility, price markups, and macroeconomic fluctuations

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Realwirtschaftliche Folgen von Vermögenspreisschwankungen : eine Kointegrationsanalyse für die Bundesrepublik Deutschland

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Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we … used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We … used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is …