A unified framework jointly explaining business conditions, stock returns, volatility and “volatility feedback news” effects
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DOI: 10.1515/snde-2016-0151
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More about this item
Keywords
expected returns; macroeconomic factors; market volatility; regime-switching; “volatility feedback news” effects;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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