Do misalignments predict aggregated stock-market volatility?
Christophe Boucher (),
Bertrand Maillet and
Economics Letters, 2008, vol. 100, issue 2, 317-320
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.
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Working Paper: Do misalignments predict aggregated stock-market volatility? (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:100:y:2008:i:2:p:317-320
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