This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets. We use daily stock market returns for G7 countries (the United States, the United Kingdom, Germany, Japan, Canada, France, Italy) and generate the realized variance and VaR...

We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when...

This paper examines the behaviour of the ‘VXO', previously called the ‘VIX', and ‘VXN' measures of the volatility implied by stock index options. From the mid-1990s to the end of 2002, the volatility measures seem to reflect both sentiment associated with market declines (‘fear') and...