A comprehensive look at financial volatility prediction by economic variables
Author:
Affiliation:
1. CREATES, Department of Economics and Business, Business and Social Sciences; Aarhus University; Denmark
2. Department of Economics; Leibniz Universität Hannover; Germany
3. Bank for International Settlements (BIS) and CREATES; Basel; Switzerland
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/jae.2298/fullpdf
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5. The cross-section of volatility and expected returns;Ang;Journal of Finance,2006
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