BIS study looks at financial volatility prediction
The Monetary and Economic Department of the Bank for International Settlements has released a paper titled: A Comprehensive Look at Financial Volatility Prediction by Economic Variables.
In it, authors Charlotte Christiansen, Maik Schmeling and Andreas Schrimpf investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the economic drivers of financial volatility.
The paper finds that "proxies for credit risk and funding (il)liquidity
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