Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?
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More about this item
Keywords
Stock market; Volatility; Forecasting; Moments; Economic policy uncertainty;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
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EUR-2024-04-22 (Microeconomic European Issues)
- NEP-FMK-2024-04-22 (Financial Markets)
- NEP-FOR-2024-04-22 (Forecasting)
- NEP-RMG-2024-04-22 (Risk Management)
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