Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model
Download full text from publisherTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
References listed on IDEAS
- Cheng, Chak Hung Jack & Hankins, William B. & Chiu, Ching-Wai (Jeremy), 2016. "Does US partisan conflict matter for the Euro area?," Economics Letters, Elsevier, vol. 138(C), pages 64-67.
- Lubos Pástor & Pietro Veronesi, 2012.
"Uncertainty about Government Policy and Stock Prices,"
Journal of Finance,
American Finance Association, vol. 67(4), pages 1219-1264, August.
- Lubos Pastor & Pietro Veronesi, 2010. "Uncertainty about Government Policy and Stock Prices," NBER Working Papers 16128, National Bureau of Economic Research, Inc.
- Pietro Veronesi & Lubos Pastor, 2011. "Uncertainty about Government Policy and Stock Prices," 2011 Meeting Papers 86, Society for Economic Dynamics.
- Pástor, Luboš & Veronesi, Pietro, 2010. "Uncertainty about Government Policy and Stock Prices," CEPR Discussion Papers 7897, C.E.P.R. Discussion Papers.
- Lubos Pastor & Pietro Veronesi, 2010. "Uncertainty about Government Policy and Stock Prices," Working Papers 2010-008, Becker Friedman Institute for Research In Economics.
- repec:eee:finlet:v:25:y:2018:i:c:p:131-136 is not listed on IDEAS
- Azzimonti, Marina, 2018. "Partisan conflict and private investment," Journal of Monetary Economics, Elsevier, vol. 93(C), pages 114-131.
- Ma, Lingjie & Koenker, Roger, 2006.
"Quantile regression methods for recursive structural equation models,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 471-506, October.
- Lingjie Ma & Roger Koenker, 2004. "Quantile regression methods for recursive structural equation models," CeMMAP working papers CWP01/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Pástor, Ľuboš & Veronesi, Pietro, 2013.
"Political uncertainty and risk premia,"
Journal of Financial Economics,
Elsevier, vol. 110(3), pages 520-545.
- Lubos Pastor & Pietro Veronesi, 2011. "Political Uncertainty and Risk Premia," NBER Working Papers 17464, National Bureau of Economic Research, Inc.
- Pástor, Luboš & Veronesi, Pietro, 2011. "Political Uncertainty and Risk Premia," CEPR Discussion Papers 8601, C.E.P.R. Discussion Papers.
- Lubos Pastor & Pietro Veronesi, 2011. "Political Uncertainty and Risk Premia," Working Papers 2011-007, Becker Friedman Institute for Research In Economics.
- Dopke, Jorg & Pierdzioch, Christian, 2006.
"Politics and the stock market: Evidence from Germany,"
European Journal of Political Economy,
Elsevier, vol. 22(4), pages 925-943, December.
- Pierdzioch, Christian & Döpke, Jörg, 2004. "Politics and the Stock Market: Evidence from Germany," Kiel Working Papers 1203, Kiel Institute for the World Economy (IfW).
- Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
- Pedro Santa-Clara & Rossen Valkanov, 2003. "The Presidential Puzzle: Political Cycles and the Stock Market," Journal of Finance, American Finance Association, vol. 58(5), pages 1841-1872, October.
- Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
- Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
- Gupta, Rangan & Mwamba, John W. Muteba & Wohar, Mark E., 2018.
"The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach,"
Finance Research Letters,
Elsevier, vol. 25(C), pages 131-136.
- Rangan Gupta & John W. Muteba Mwamba & Mark E. Wohar, 2016. "The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach," Working Papers 201686, University of Pretoria, Department of Economics.
- Martin T. Bohl & Jörg Döpke & Christian Pierdzioch, 2008. "Real-Time Forecasting and Political Stock Market Anomalies: Evidence for the United States," The Financial Review, Eastern Finance Association, vol. 43(3), pages 323-335, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018.
"Measuring the response of gold prices to uncertainty: An analysis beyond the mean,"
- Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Post-Print hal-01817067, HAL.
More about this item
KeywordsPartisan Conflict; Realized Volatility; Quantile Regressions;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-06-18 (All new papers)
- NEP-MAC-2017-06-18 (Macroeconomics)
- NEP-ORE-2017-06-18 (Operations Research)
- NEP-RMG-2017-06-18 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201744. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rangan Gupta). General contact details of provider: http://edirc.repec.org/data/decupza.html .