Forecasting stock market volatility conditional on macroeconomic conditions
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More about this item
KeywordsVolatility; macroeconomic data; forecast; spline; GARCH.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-23 (All new papers)
- NEP-ECM-2007-06-23 (Econometrics)
- NEP-ETS-2007-06-23 (Econometric Time Series)
- NEP-FOR-2007-06-23 (Forecasting)
- NEP-MAC-2007-06-23 (Macroeconomics)
- NEP-RMG-2007-06-23 (Risk Management)
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