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Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model
This paper explores the effectiveness of predictors, including nine economic policy uncertainty indicators, four market sentiment indicators and two financial stress indices, in predicting the realized volatility of the S&P 500 index. We employ the MIDAS-RV framework and construct the MIDAS-LASS...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9039984/ https://www.ncbi.nlm.nih.gov/pubmed/35493692 http://dx.doi.org/10.1007/s10479-022-04716-1 |