Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time
44 Pages Posted: 8 Jun 2016
Date Written: 2006
Abstract
We compared forecasts of stock market volatility based on real-time and revised
Keywords: Forecasting stock market volatility, Real-time macroeconomic data, Evaluation of forecasting accuracy
JEL Classification: G11, E44, C53
Suggested Citation: Suggested Citation
Döpke, Jörg and Hartmann, Daniel and Pierdzioch, Christian, Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time (2006). Bundesbank Series 2 Discussion Paper No. 2006,01, Available at SSRN: https://ssrn.com/abstract=2793975 or http://dx.doi.org/10.2139/ssrn.2793975
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