Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index
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DOI: 10.1016/j.ribaf.2023.101983
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More about this item
Keywords
Volatility forecasting; Industry volatility; Spillover index; Investor sentiment; Portfolio exercise;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
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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