Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
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More about this item
Keywords
Economic policy uncertainty; Signal quality; Market Volatility; Forecasting;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
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DEM-2022-07-18 (Demographic Economics)
- NEP-FMK-2022-07-18 (Financial Markets)
- NEP-FOR-2022-07-18 (Forecasting)
- NEP-RMG-2022-07-18 (Risk Management)
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