Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/120084
Title: | Measuring uncertainty in the stock market |
Author: | Chuliá Soler, Helena Guillén, Montserrat Uribe Gil, Jorge Mario |
Keywords: | Incertesa Valors Càlcul de variacions Uncertainty Securities Calculus of variations |
Issue Date: | Mar-2017 |
Publisher: | Elsevier |
Abstract: | We propose a daily index of time-varying stock market uncertainty. The index is constructed after first removing the common variations in the series, based on recent advances in the literature that emphasize the difference between risk (expected variation) and uncertainty (unexpected variation). To this end, we draw on data from 25 portfolios sorted by size and book to-market value. This strategy considerably reduces information requirements and modeling design costs, compared to previous proposals. We also compare our index with indicators of macro-uncertainty and estimate the impact of an uncertainty shock on the dynamics of macroeconomic variables. |
Note: | Versió postprint del document publicat a: https://doi.org/10.1016/j.iref.2016.11.003 |
It is part of: | International Review of Economics & Finance, 2017, vol. 48, num. March, p. 18-33 |
URI: | http://hdl.handle.net/2445/120084 |
Related resource: | https://doi.org/10.1016/j.iref.2016.11.003 |
ISSN: | 1059-0560 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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