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Volatility and Time Series EconometricsEssays in Honor of Robert Engle$
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Tim Bollerslev, Jeffrey Russell, and Mark Watson

Print publication date: 2010

Print ISBN-13: 9780199549498

Published to Oxford Scholarship Online: May 2010

DOI: 10.1093/acprof:oso/9780199549498.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 22 September 2021

Macroeconomic Volatility and Stock Market Volatility, World‐Wide *

Macroeconomic Volatility and Stock Market Volatility, World‐Wide *

(p.97) 6 Macroeconomic Volatility and Stock Market Volatility, World‐Wide*
Volatility and Time Series Econometrics

Francis X. Diebold

Kamil Yilmaz

Oxford University Press

This chapter examines the cross-sectional relationship between stock market returns and volatility and a host of macroeconomic fundamentals. The exploration is motivated by financial economic theory, which suggests that the volatility of real activity should be related to stock market volatility. In addition, and crucially, the empirical approach exploits cross-sectional variation in fundamental and stock market volatilities, to uncover links that would likely be lost in a pure time series analysis.

Keywords:   stock market volatility, stock market returns, macroeconomic fundamentals

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