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A comprehensive look at financial volatility prediction by economic variables

  1. Charlotte Christiansen1,
  2. Maik Schmeling2,
  3. Andreas Schrimpf3,*

Article first published online: 11 AUG 2012

DOI: 10.1002/jae.2298

Issue

Journal of Applied Econometrics

Journal of Applied Econometrics

Special Issue: Themes on Modelling Volatility

Volume 27, Issue 6, pages 956–977, September/October 2012

Additional Information

How to Cite

Christiansen, C., Schmeling, M. and Schrimpf, A. (2012), A comprehensive look at financial volatility prediction by economic variables. J. Appl. Econ., 27: 956–977. doi: 10.1002/jae.2298

Author Information

  1. 1

    CREATES, Department of Economics and Business, Business and Social Sciences, Aarhus University, Denmark

  2. 2

    Department of Economics, Leibniz Universität Hannover, Germany

  3. 3

    Bank for International Settlements (BIS) and CREATES, Basel, Switzerland

*Andreas Schrimpf, Bank for International Settlements (BIS) and CREATES, Basel, Switzerland. E-mail: andreas.schrimpf@bis.org

Publication History

  1. Issue published online: 18 SEP 2012
  2. Article first published online: 11 AUG 2012
  3. Manuscript Revised: 29 MAY 2012
  4. Manuscript Received: 18 MAY 2011

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