Global financial stress index and long-term volatility forecast for international stock markets
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DOI: 10.1016/j.intfin.2023.101825
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More about this item
Keywords
COVID-19; Global financial stress index; VIX; EPU; Volatility forecast;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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