Do misalignments predict aggregated stock-market volatility?
AbstractThis paper considers forecasting regressions of "realized volatility" on a misalignment measure. Results show that this misalignment measure is useful to predict in and out-of-sample stock-market volatility at monthly horizons. The analysis also suggests a threshold effect.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 100 (2008)
Issue (Month): 2 (August)
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