Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124791446> ?p ?o ?g. }
- W3124791446 endingPage "546" @default.
- W3124791446 startingPage "527" @default.
- W3124791446 abstract "Aggregate stock return volatility is both persistent and countercyclical. This paper tests whether it is possible to improve volatility forecasts at monthly and quarterly horizons by conditioning on additional macroeconomic variables. I find that several variables related to macroeconomic uncertainty, time-varying expected stock returns, and credit conditions Granger cause volatility. It is more difficult to find evidence that forecasts exploiting macroeconomic variables outperform a univariate benchmark out-of-sample. The most successful approaches involve simple combinations of individual forecasts. Predictive power associated with macroeconomic variables appears to concentrate around the onset of recessions." @default.
- W3124791446 created "2021-02-01" @default.
- W3124791446 creator A5047172130 @default.
- W3124791446 date "2012-12-01" @default.
- W3124791446 modified "2023-10-16" @default.
- W3124791446 title "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables" @default.
- W3124791446 cites W1573041115 @default.
- W3124791446 cites W1789808336 @default.
- W3124791446 cites W1918248777 @default.
- W3124791446 cites W1963787328 @default.
- W3124791446 cites W1966268097 @default.
- W3124791446 cites W1981440879 @default.
- W3124791446 cites W1992893498 @default.
- W3124791446 cites W2016851953 @default.
- W3124791446 cites W2020364121 @default.
- W3124791446 cites W2047775520 @default.
- W3124791446 cites W2061160212 @default.
- W3124791446 cites W2064651043 @default.
- W3124791446 cites W2069202382 @default.
- W3124791446 cites W2072799098 @default.
- W3124791446 cites W2097580026 @default.
- W3124791446 cites W2098347405 @default.
- W3124791446 cites W2108731026 @default.
- W3124791446 cites W2132717186 @default.
- W3124791446 cites W2136241359 @default.
- W3124791446 cites W2140585983 @default.
- W3124791446 cites W2144031751 @default.
- W3124791446 cites W2144570112 @default.
- W3124791446 cites W2166598069 @default.
- W3124791446 cites W2747620798 @default.
- W3124791446 cites W3021318637 @default.
- W3124791446 cites W3022041122 @default.
- W3124791446 cites W3023246137 @default.
- W3124791446 cites W3121364726 @default.
- W3124791446 cites W3121630491 @default.
- W3124791446 cites W3121790069 @default.
- W3124791446 cites W3122070388 @default.
- W3124791446 cites W3122091423 @default.
- W3124791446 cites W3122351404 @default.
- W3124791446 cites W3122555292 @default.
- W3124791446 cites W3123270401 @default.
- W3124791446 cites W3123414738 @default.
- W3124791446 cites W3123842146 @default.
- W3124791446 cites W3123952677 @default.
- W3124791446 cites W3124690764 @default.
- W3124791446 cites W3124806669 @default.
- W3124791446 cites W3124916467 @default.
- W3124791446 cites W3125021083 @default.
- W3124791446 cites W3125239845 @default.
- W3124791446 cites W3125396854 @default.
- W3124791446 cites W3126027153 @default.
- W3124791446 cites W4247747078 @default.
- W3124791446 cites W4298332856 @default.
- W3124791446 doi "https://doi.org/10.1016/j.jfineco.2012.06.005" @default.
- W3124791446 hasPublicationYear "2012" @default.
- W3124791446 type Work @default.
- W3124791446 sameAs 3124791446 @default.
- W3124791446 citedByCount "320" @default.
- W3124791446 countsByYear W31247914462012 @default.
- W3124791446 countsByYear W31247914462013 @default.
- W3124791446 countsByYear W31247914462014 @default.
- W3124791446 countsByYear W31247914462015 @default.
- W3124791446 countsByYear W31247914462016 @default.
- W3124791446 countsByYear W31247914462017 @default.
- W3124791446 countsByYear W31247914462018 @default.
- W3124791446 countsByYear W31247914462019 @default.
- W3124791446 countsByYear W31247914462020 @default.
- W3124791446 countsByYear W31247914462021 @default.
- W3124791446 countsByYear W31247914462022 @default.
- W3124791446 countsByYear W31247914462023 @default.
- W3124791446 crossrefType "journal-article" @default.
- W3124791446 hasAuthorship W3124791446A5047172130 @default.
- W3124791446 hasBestOaLocation W31247914462 @default.
- W3124791446 hasConcept C105795698 @default.
- W3124791446 hasConcept C111472728 @default.
- W3124791446 hasConcept C127413603 @default.
- W3124791446 hasConcept C138885662 @default.
- W3124791446 hasConcept C139719470 @default.
- W3124791446 hasConcept C149782125 @default.
- W3124791446 hasConcept C151730666 @default.
- W3124791446 hasConcept C161584116 @default.
- W3124791446 hasConcept C162324750 @default.
- W3124791446 hasConcept C195742910 @default.
- W3124791446 hasConcept C199163554 @default.
- W3124791446 hasConcept C204036174 @default.
- W3124791446 hasConcept C2778136018 @default.
- W3124791446 hasConcept C2780299701 @default.
- W3124791446 hasConcept C2780762169 @default.
- W3124791446 hasConcept C33923547 @default.
- W3124791446 hasConcept C78519656 @default.
- W3124791446 hasConcept C86803240 @default.
- W3124791446 hasConcept C91602232 @default.
- W3124791446 hasConceptScore W3124791446C105795698 @default.
- W3124791446 hasConceptScore W3124791446C111472728 @default.
- W3124791446 hasConceptScore W3124791446C127413603 @default.
- W3124791446 hasConceptScore W3124791446C138885662 @default.
- W3124791446 hasConceptScore W3124791446C139719470 @default.
- W3124791446 hasConceptScore W3124791446C149782125 @default.