| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061898 | Economics Letters | 2008 | 4 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Christophe Boucher, Bertrand Maillet, Thierry Michel,