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Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions

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  • Nima Nonejad

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  • Nima Nonejad, 2017. "Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(6), pages 718-740, September.
    • Handle: RePEc:wly:jforec:v:36:y:2017:i:6:p:718-740
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    Cited by:

    1. Nonejad, Nima, 2023. "Modeling the out-of-sample predictive relationship between equity premium, returns on the price of crude oil and economic policy uncertainty using multivariate time-varying dimension models," Energy Economics, Elsevier, vol. 126(C).
    2. Onno Kleen, 2024. "Scaling and measurement error sensitivity of scoring rules for distribution forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 833-849, August.

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