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Anticipating Long-Term Stock Market Volatility

Published:2014-08-12 Issue:7 Volume:30 Page:1090-1114
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

Conrad Christian¹,Loch Karin¹

Affiliation:

1. Department of Economics; Heidelberg University; Germany

Funder

State of Baden-Wï¿½rttemberg

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference32 articles.

1. Modelling volatility by variance decomposition;Amado;Journal of Econometrics,2013

2. Modelling changes in the unconditional variance of long stock return series;Amado;Journal of Empirical Finance,2014

3. What does the yield curve tell us about GDP growth?;Ang;Journal of Econometrics,2006

4. Fundamental uncertainty and stock market volatility;Arnold;Applied Financial Economics,2008

5. The importance of the macroeconomic variables in forecasting stock return variance: a GARCH-MIDAS approach;Asgharian;Journal of Forecasting,2013

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