Efficient predictability of stock return volatility: The role of stock market implied volatility
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DOI: 10.1016/j.najef.2020.101174
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More about this item
Keywords
Stock volatility; Stock market implied volatility; Predictive regression; Out-of-sample performance;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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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