‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
Year of publication: |
2012
|
---|---|
Authors: | Paye, Bradley S. |
Published in: |
Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 106.2012, 3, p. 527-546
|
Publisher: |
Elsevier |
Subject: | Conditional volatility | Realized volatility | Granger causality | Forecast evaluation | Forecast combination |
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