相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method
Xiaozhu Guo et al.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2023)
Predicting volatility in natural gas under a cloud of uncertainties
Juan Chen et al.
RESOURCES POLICY (2023)
Scaled PCA: A New Approach to Dimension Reduction
Dashan Huang et al.
MANAGEMENT SCIENCE (2022)
Uncertainty and oil volatility: Evidence from shrinkage method
Jiqian Wang et al.
RESOURCES POLICY (2022)
Forecasting the Chinese Stock Market Volatility with G7 Stock Market Volatilities: A Scaled PCA Approach
Yongsheng Yi et al.
EMERGING MARKETS FINANCE AND TRADE (2022)
Forecasting US stock market returns by the aggressive stock-selection opportunity
Yan Li et al.
FINANCE RESEARCH LETTERS (2022)
Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics
Srikanta Kundu et al.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2022)
Forecasting Pakistan stock market volatility: Evidence from economic variables and the uncertainty index
Maria Ghani et al.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2022)
Macroeconomic attention, economic policy uncertainty, and stock volatility predictability
Feng Ma et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2022)
Economic policy uncertainty and stock returns among OPEC members: evidence from feasible quasi-generalized least squares
Oluwatomisin J. Oyewole et al.
FUTURE BUSINESS JOURNAL (2022)
The impact of economic policy uncertainty on stock volatility: Evidence from GARCH-MIDAS approach
Xiaoling Yu et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2021)
A comprehensive look at stock return predictability by oil prices using economic constraint approaches
Feng Ma et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2021)
Economic policy uncertainty and stock market returns: New evidence
Yongan Xu et al.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE (2021)
Forecasting crude oil prices: A scaled PCA approach
Mengxi He et al.
ENERGY ECONOMICS (2021)
Forecasting US stock market volatility: How to use international volatility information
Yaojie Zhang et al.
JOURNAL OF FORECASTING (2021)
Good variance, bad variance, and stock return predictability
Yaojie Zhang et al.
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS (2021)
Impact of the global financial crisis on the crude oil market
Kyohun Joo et al.
ENERGY STRATEGY REVIEWS (2020)
Predicting stock returns in the presence of COVID-19 pandemic: The role of health news
Afees A. Salisu et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2020)
The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
Yan Li et al.
FINANCE RESEARCH LETTERS (2020)
Forecasting the aggregate stock market volatility in a data-rich world
Li Liu et al.
APPLIED ECONOMICS (2020)
Consumption Fluctuations and Expected Returns
Victoria Atanasov et al.
JOURNAL OF FINANCE (2020)
Economic policy uncertainty and the Chinese stock market volatility: Novel evidence
Tao Li et al.
ECONOMIC MODELLING (2020)
Forecasting stock returns with cycle-decomposed predictors
Yongsheng Yi et al.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2019)
The effect of European and global uncertainty on stock returns of travel and leisure companies
Oguz Ersan et al.
TOURISM ECONOMICS (2019)
Average skewness matters
Eric Jondeau et al.
JOURNAL OF FINANCIAL ECONOMICS (2019)
Intraday momentum and stock return predictability: Evidence from China
Yaojie Zhang et al.
ECONOMIC MODELLING (2019)
The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea
Mehmet Balcilar et al.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2019)
Oil price increases and the predictability of equity premium
Yudong Wang et al.
JOURNAL OF BANKING & FINANCE (2019)
Economic policy uncertainty in the US and China and their impact on the global markets
Dayong Zhang et al.
ECONOMIC MODELLING (2019)
Economic policy uncertainty and the Chinese stock market volatility: new evidence
Yu Li et al.
APPLIED ECONOMICS (2019)
Forecasting the US stock volatility: An aligned jump index from G7 stock markets
Feng Ma et al.
PACIFIC-BASIN FINANCE JOURNAL (2019)
Momentum of return predictability
Yudong Wang et al.
JOURNAL OF EMPIRICAL FINANCE (2018)
Economic Impacts of the Possible China-US Trade War
Chunding Li et al.
EMERGING MARKETS FINANCE AND TRADE (2018)
Can economic policy uncertainty help to forecast the volatility: A multifractal perspective
Zhicao Liu et al.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2017)
Economic policy uncertainty in China and stock market expected returns
Jian Chen et al.
ACCOUNTING AND FINANCE (2017)
Hot money and cross-section of stock returns during the global financial crisis
Daehwan Kim et al.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2017)
Machine Learning: An Applied Econometric Approach
Sendhil Mullainathan et al.
JOURNAL OF ECONOMIC PERSPECTIVES (2017)
PROGRAM EVALUATION AND CAUSAL INFERENCE WITH HIGH-DIMENSIONAL DATA
A. Belloni et al.
ECONOMETRICA (2017)
Measuring Economic Policy Uncertainty
Scott R. Baker et al.
QUARTERLY JOURNAL OF ECONOMICS (2016)
Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis
Stelios Bekiros et al.
FINANCE RESEARCH LETTERS (2016)
The forecast combination puzzle: A simple theoretical explanation
Gerda Claeskens et al.
INTERNATIONAL JOURNAL OF FORECASTING (2016)
Short interest and aggregate stock returns
David E. Rapach et al.
JOURNAL OF FINANCIAL ECONOMICS (2016)
The three-pass regression filter: A new approach to forecasting using many predictors
Bryan Kelly et al.
JOURNAL OF ECONOMETRICS (2015)
Credit conditions and stock return predictability
Sudheer Chava et al.
JOURNAL OF MONETARY ECONOMICS (2015)
Forecasting excess stock returns with crude oil market data
Li Liu et al.
ENERGY ECONOMICS (2015)
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Dashan Huang et al.
REVIEW OF FINANCIAL STUDIES (2015)
Forecasting the Equity Risk Premium: The Role of Technical Indicators
Christopher J. Neely et al.
MANAGEMENT SCIENCE (2014)
Uncertainty about Government Policy and Stock Prices
Lubos Pastor et al.
JOURNAL OF FINANCE (2012)
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
David E. Rapach et al.
REVIEW OF FINANCIAL STUDIES (2010)
The dog that did not bark: A defense of return predictability
John H. Cochrane
REVIEW OF FINANCIAL STUDIES (2008)
Predicting excess stock returns out of sample: Can anything beat the historical average?
John Y. Campbell et al.
REVIEW OF FINANCIAL STUDIES (2008)
A comprehensive look at the empirical performance of equity premium prediction
Ivo Welch et al.
REVIEW OF FINANCIAL STUDIES (2008)
Approximately normal tests for equal predictive accuracy in nested models
Todd E. Clark et al.
JOURNAL OF ECONOMETRICS (2007)
Time-varying risk premia and the cross section of stock returns
Hui Guo
JOURNAL OF BANKING & FINANCE (2006)
Combination forecasts of output growth in a seven-country data set
JH Stock et al.
JOURNAL OF FORECASTING (2004)
The equity share in new issues and aggregate stock returns
M Baker et al.
JOURNAL OF FINANCE (2000)