Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

Comparing Predictive Accuracy

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Public Health, Economics, Causal Inference +15

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Ivo Welch, Amit Goyal · Review of Financial Studies · 2007 · 4.1K citations

Business, Economics, Finance +14

Why Does Stock Market Volatility Change Over Time?

G. William Schwert · The Journal of Finance · 1989 · 3.6K citations

Business, Economics, History +16

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

Business, Economics, Finance +17