bad) stock market volatility, we show that incorporating the information in lagged industry returns can help improve out …-of sample forecasts of aggregate stock market volatility. While the predictive contribution of industry level returns is not … crisis, highlighting the informational value of real economic activity on stock market volatility dynamics. Finally, we show …

forecast gold returns and its volatility, usinga method involving block means of residuals obtained from the popular …,can accurately forecast gold returns at short- to medium-term, and also time-varyingestimates of gold returns volatility to a lesser …

forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets …