This paper systematically investigates the sources of differential out-of-sample predictive accuracy of heuristic frameworks based on internet search frequencies and a large set of econometric models. The volume of internet searches helps gauge the degree of investors' time-varying interest in...

We model the complex global dependencies in international financial markets using spatial techniques. Our methodology allows us to go beyond conventional correlation analyses and volatility-spillover models confined to studying pairwise relationships, and improves the accuracy of return...