developments. Evaluations of the model show that it yields low forecast errors in terms of RMSE. The estimation results indicate …

of stock market volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate … profits, and the unemployment rate have the highest predictive ability for long-term stock market volatility. While the term … spread and housing starts are leading variables with respect to stock market volatility, for industrial production and the …

volatility. Among the various macro variables in our dataset the term spread, housing starts, corporate profits and the … unemployment rate have the highest predictive ability for stock market volatility . While the term spread and housing starts are … leading variables with respect to stock market volatility, for corporate profits and the unemployment rate expectations data …

We compared forecasts of stock market volatility based on real-time and revised …

and demand shocks have a cointegration relationship with sectoral stock market returns. Third, the study explored the …This study explores the asymmetric impact of oil supply and demand shocks on the sectoral stock market returns of … asymmetric impact of oil supply shocks (OSS) and oil-specific demand shocks (OSDS) on sectoral returns of commercial banking and …

2). Monthly level data representing macroeconomic volatility has been incorporated from the trading economics website …