We propose an aggregate climate change concern index based on several indices from individual sources. In this paper, we define concern as attention to the risk of climate change and the negative consequences associated with that risk. Our results indicate that the aggregate climate change...

As economic growth and energy consumption are strongly correlated, this research proposes a novel set of energy consumption indices (ECI) that leverages the mixing-frequency method to predict GDP growth rates. The findings demonstrate that the newly developed indices have strong predictive...

This study develops a prevailing shrinkage method, LASSO with Markov regime-switching model (MRS-LASSO), to predict the US stock market volatility. Totally 17 famous macroeconomic and financial factors are used in this research. The out-of-sample results reveal the MRS-LASSO model can...

In this paper, we investigate the cross-correlation properties between West Texas Intermediate crude oil and the stock markets of the BRIC. We use not only the qualitative analysis of the cross-correlation test, but also take the quantitative analysis of the MF-DXA, confirming the...

In this paper, we forecast excess stock returns of S&P 500 index from January 1997 to December 2012 using both well-known traditional macroeconomic indicators and oil market variables. Based on a dynamic model selection approach, we find that the forecasting accuracy can be improved after adding...