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Do misalignments predict aggregated stock-market volatility?

Christophe Boucher (), Bertrand Maillet and Thierry Michel
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Christophe Boucher: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This paper considers forecasting regressions of "realized volatility" on a misalignment measure. Results show that this misalignment measure is useful to predict in and out-of-sample stock-market volatility at monthly horizons. The analysis also suggests a threshold effect.

Keywords: Realized volatility; Volatility forecasting; Asymmetry (search for similar items in EconPapers)
Date: 2008-08
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00307783
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Published in Economics Letters, Elsevier, 2008, 100 (2), pp.317-320. <10.1016/j.econlet.2008.02.019>

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