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The US zero-coupon yield spread as a predictor of excess daily stock market volatility

Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906

Persistent link: https://www.econbiz.de/10010410398

Essays in financial economics

Lu, Yinqiu - 2005

Persistent link: https://www.econbiz.de/10003553447

The role of stock markets vs. the term spread in forecasting macrovariables in Finland

Kuosmanen, Petri; Vataja, Juuso - In: The quarterly review of economics and finance : journal … 51 (2011) 2, pp. 124-132

Persistent link: https://www.econbiz.de/10009270178

The Term Structure of Interest Rates as Predictor of Stock Market Volatility

Megaritis, Anastasios; Kontonikas, Alexandros; … - 2022

We examine the forecasting power of the volatility of the slope of the US-Treasury yield curve on US stock …-market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of … interest rates has significant forecasting power on stock market volatility for forecasting horizon ranging from one up to …

Persistent link: https://www.econbiz.de/10013492394

The consumption-income ratio, entrepreneurial risk, and the U.S. stock market

Hoffmann, Mathias - In: Journal of money, credit and banking : JMCB 46 (2014) 6, pp. 1259-1292

Persistent link: https://www.econbiz.de/10010466585

International stock return predictability under model uncertainty

Schrimpf, Andreas (contributor) - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10003728591