The DOI matches its Crossref record; 48 of the 48 references it cites were found in a registry or an index.
Stock Market Volatility and Macroeconomic Fundamentals
Abstract
We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements. We formulate models with the long-term component driven by inflation and industrial production growth that are in terms of pseudo out-of-sample prediction for horizons of one quarter at par or outperform more traditional time series volatility models at longer horizons. Hence, imputing economic fundamentals into volatility models pays off in terms of long-horizon forecasting. We also find that macroeconomic fundamentals play a significant role even at short horizons.
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Self-citationBy Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Moffitt, R. A. (2009) · American Economic Review · doi:10.1257/aer.99.2.660 · Cited by 4,694
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
Business conditions and expected returns on stocks and bonds
Fama, E. F., & French, K. R. (1989) · Journal of Financial Economics · doi:10.1016/0304-405x(89)90095-0 · Cited by 3,933
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J. Y., & Shiller, R. J. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.3.195 · Cited by 3,774
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
(1972) · American Economic Review · Cited by 2,982
On estimating the expected return on the market
Merton, R. C. (1980) · Journal of Financial Economics · doi:10.1016/0304-405x(80)90007-0 · Cited by 2,806
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Geopolitical risk and dynamic connectedness between commodity markets
Gong, X., & Xu, J. (2022) · Energy Economics · doi:10.1016/j.eneco.2022.106028 · Cited by 354
An intertemporal CAPM with stochastic volatility
Campbell, J. Y., Giglio, S., Polk, C., & Turley, R. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2018.02.011 · Cited by 331
Epistemic Communities under Active Inference
Albarracin, M., Demekas, D., Ramstead, M. J. D., & Heins, C. (2022) · Entropy · doi:10.3390/e24040476 · Cited by 60
Alam, M. S., Amendola, A., Candila, V., & Jabarabadi, S. D. (2024) · Econometrics · doi:10.3390/econometrics12010002 · Cited by 15
On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets
Candila, V., & Farace, S. (2018) · Risks · doi:10.3390/risks6040116 · Cited by 15
Metadata
- Authors
- Engle, R. F., Ghysels, E., & Sohn, B.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2013-07
- Volume
- 95
- Issue
- 3
- Pages
- 776-797
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2000303290
- Cited by
- 1,117
- References
- 48
- FWCI
- 36.62
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
