Do misalignments predict aggregated stock-market volatility?

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 100
Issue: 2
Pages: 317-320

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:100:y:2008:i:2:p:317-320
Journal Field
General
Author Count
3
Added to Database
2026-01-24