create a website

Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza.
In: Working Papers.
RePEc:pre:wpaper:202308.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 48

References cited by this document

Cocites: 36

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Analyzing volatility patterns in the Chinese stock market using partial mutual information-based distances. (2023). Feng, Ziyun ; Khoojine, Negar Sioofy ; Shadabfar, Mahboubeh.
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:96:y:2023:i:12:d:10.1140_epjb_s10051-023-00628-6.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acemoglu, D., Akcigit, U., Celik, M. A. (2022). Radical and Incremental Innovation: The Roles of Firms, Managers and Innovators. American Economic Journal: Macroeconomics 1 (3), 199249.

  2. Aghion, P. and Howitt, P. (1992). A Model of Growth through Creative Destruction. Econometrica 60 (2), 323–351.

  3. Akcigit, U., Kerr, W. (2018). Growth through Heterogeneous Innovations. Journal of Political Economy 126 (4), 1374-1443.

  4. Asgharian, H., Hou, A.J., and Javed, F. (2013). The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH MIDAS Approach. Journal of Forecasting, 32, 600–612.

  5. Bartelsman, E. J and Doms M. (2000). Understanding Productivity: Lessons from Longitudinal Microdata. Journal of Economic Literature, 569–594.

  6. Ben Nasr, A., Ajmi, A.N., and Gupta, R. (2014). Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model. Applied Financial Economics, 24(14), 993–1004.

  7. Ben Nasr, A., Lux, T., Ajmi, A.N., and Gupta, R. (2016). Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching. International Review of Economics and Finance, 45, 559–571.

  8. Berk, J., Green, R. C. & Naik, V. (1999). Optimal investment, growth options, and security returns.

  9. Bernanke, B. S. (1983). Nonmonetary effects of the financial crises in the propagation of the Great Depression. American Economic Review, 73, 257–276.

  10. Callot, L.A.F., Kock, A.B., and Medeiros, M.C. (2017). Modeling and forecasting large realized covariance matrices and portfolio choice. Journal of Applied Econometrics, 32, 140–158.

  11. Cao, C., Simin, T., Zhao, J., 2008. Can growth options explain the trend in idiosyncratic risk? Review of Financial Studies 21, 2599-2633.

  12. Carlson, M., Fisher, A., Giammarino, R. (2004). Corporate investment and asset price dynamics: Implications for the cross section of returns, Journal of Finance 59, 2577–2603.

  13. Chen, Z., Petkova, R., 2012. Does Idiosyncratic Volatility Proxy for Risk Exposure? Review of Financial Studies 25 (9), 2745-2787.

  14. Clements, M.P., and Galvão, A. B. (2008). Macroeconomic forecasting with mixed-frequency data. Journal of Business and Economic Statistics, 26(4), 546–554.

  15. Colacito, R., Engle, R.F., and Ghysels, E. (2011). A component model for dynamic correlations. Journal of Econometrics, 164(1), 45–59.

  16. Conrad, C., and Loch, K. (2015). Anticipating Long term Stock Market Volatility. Journal of Applied Econometrics, 30, 1090–1114.

  17. Das, S., Demirer, R., Gupta, R., and Mangisa, S. (2019). The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis. Structural Change and Economic Dynamics, 50, 132–147.

  18. Diebold, F.X., and Mariano, R.S. (1995). Comparing Predictive Accuracy. Journal of Business and Economic Statistics, 13, 253–263.

  19. Engle, R.F., and Rangel, J.G. (2008). The Spline-GARCH model for low frequency volatility and its global macroeconomic causes. Review of Financial Studies, 21(3), 1187–1222.

  20. Engle, R.F., Ghysels, E., and Sohn, B. (2013). Stock Market Volatility and Macroeconomic Fundamentals. The Review of Economics and Statistics, 95(3), 776–797.

  21. Fang, T., Lee, T-H., and Su, Z. (2020). Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. Journal of Empirical Finance, 58, 36–49.

  22. Foster, L., Haltiwanger, J.C., Krizan, C.J. (2001). Aggregate Productivity Growth: Lessons from Microeconomic Evidence, in “New Developments in Productivity Analysis,” University of Chicago Press, 303–372.

  23. Garleanu, N., Kogan, L., and Panageas, S. (2012a). The demographics of innovation and asset returns. Journal of Financial Economics, 105, 491–510.
    Paper not yet in RePEc: Add citation now

  24. Garleanu, N., Panageas, S., Yu, J., 2012b. Technological growth and asset pricing. Journal of Finance, 67, 1265–1292.

  25. Gupta, R., Nel, J., and Pierdzioch, C. (2022). Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning. Journal of Behavioral Finance, 24(1), 111–122.
    Paper not yet in RePEc: Add citation now

  26. Harvey, D., Leybourne, S., and Newbold, P. (1997). Testing the equality of prediction mean squared errors. International Journal of Forecasting, 13(2), 281–291.

  27. Hirshleifer, D., Hsu, P.-H., and Li, D. (2013). Innovative efficiency and stock returns. Journal of Financial Economics, 107, 632–654.

  28. Hirshleifer, D., Hsu, P.-H., and Li, D. (2018). Innovative originality, profitability and stock returns.

  29. Hsu, P.-H. (2009). Technological innovations and aggregate risk premiums. Journal of Financial Economics, 94, 264–279.

  30. Hsu, P.-H., and Huang, D. (2010). Technology prospects and the cross-section of stock returns. Journal of Empirical Finance, 17, 39–53.

  31. Jiang, X. (2010). Return dispersion and expected returns. Financial Markets and Portfolio Management, 24, 107–135.

  32. Klette, T., J., Kortum, S. (2004). Innovating Firms and Aggregate Innovation. Journal of Political Economy 112 (5), 986–1018.

  33. Kogan, L., and Papanikolaou, D. (2014). Growth opportunities, technology shocks, and asset prices. Journal of Finance, 69 (2), 675–718.

  34. Kung, H., and Schmid, L. (2015). Innovation, growth and asset prices. Journal of Finance, 70, 1001–1037.

  35. Lentz, R., Mortensen, D. (2008). An Empirical Model of Growth through Product Innovation.

  36. Liu, J., Ma, F., Tang, Y. and Zhang, Y. (2019). Geopolitical risk and oil volatility: A new insight. Energy Economics, 84, 104548.

  37. Liu, R., and Gupta, R. (2022). Investors' Uncertainty and Forecasting Stock Market Volatility.

  38. Papanikolaou, D. (2011). Investment shocks and asset prices. Journal of Political Economy, 119, 639–685.

  39. Pastor, L. & Veronesi, P. (2009). Technological revolutions and stock prices. American Economic Review, 99, 1451–1483.

  40. Poon, S-H, and Granger, C.W.J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478–539.

  41. Rangel, J.G., and Engle, R.F. (2011). The Factor-Spline-GARCH Model for High and Low Frequency Correlations. Journal of Business & Economic Statistics, 30(1), 109–124.

  42. Rapach, D.E., Strauss, J.K., and Wohar, M.E. (2008). Forecasting stock return volatility in the presence of structural breaks, in Forecasting in the Presence of Structural Breaks and Model Uncertainty. In D.E. Rapach and M.E. Wohar (Eds.), Vol. 3 of Frontiers of Economics and Globalization (pp. 381–416), Bingley, United Kingdom: Emerald. Salisu, A. A., Demirer, R., and Gupta, R. (Forthcoming). Policy uncertainty and stock market volatility revisited: the predictive role of signal quality. Journal of Forecasting.
    Paper not yet in RePEc: Add citation now

  43. Salisu, A.A., Gupta, R., and Ogbonna, A.E. (2022). A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data. International Journal of Finance & Economics, 27(1), 384–400.

  44. Schwert, G.W. (1989). Why does stock market volatility change over time. Journal of Finance, 44, 1115–1153.
    Paper not yet in RePEc: Add citation now
  45. Segnon, M., Gupta, R., and Wilfling, B. (2023). Forecasting stock market volatility with regimeswitching GARCH-MIDAS: the role of geopolitical risks. International Journal of Forecasting.
    Paper not yet in RePEc: Add citation now

  46. Sharma, S.S., and Narayan, P.K. (2022). Technology shocks and stock returns: A long-term perspective. Journal of Empirical Finance, 68, 67–83.

  47. Shiller, R.J. (1981a). Do stock prices move too much to be justified by subsequent changes in dividends. American Economic Review, 75, 421–36. Shiller, R.J. (l981b). The use of volatility measures in assessing market efficiency. Journal of Finance, 36, 291–304.

  48. Welch, I., and Goyal, A. (2008). A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. Review of Financial Studies, 21(4), 1455–1508.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Does Digital Financial Inclusion Have an Impact on High-Quality Development of Trade? Evidence from China. (2025). Huo, Weidong ; Zhu, Ling ; Zhou, Yacheng ; Yang, Shiyue ; Liu, Feiyu.
    In: Journal of the Knowledge Economy.
    RePEc:spr:jknowl:v:16:y:2025:i:1:d:10.1007_s13132-024-02015-7.

    Full description at Econpapers || Download paper

  2. University Intermediation and Regional Agglomeration in Academic Entrepreneurship: Evidence from panel data in Japan. (2025). Fukugawa, Nobuya.
    In: Discussion papers.
    RePEc:eti:dpaper:25044.

    Full description at Econpapers || Download paper

  3. The effect of corporate agglomeration networks on breakthrough innovation—Evidence from China. (2025). Yang, Chunhong ; Wu, Delin ; Huo, Dong.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:212:y:2025:i:c:s0040162525000113.

    Full description at Econpapers || Download paper

  4. Concept and creativity: Proof-of-concept demonstration and aviation innovation in the United States, 1894–1913. (2025). Sohn, Eunhee ; Sands, Daniel B ; Seamans, Robert.
    In: Research Policy.
    RePEc:eee:respol:v:54:y:2025:i:5:s0048733325000599.

    Full description at Econpapers || Download paper

  5. CEO career horizon and innovation: A u-shaped tale of short-term profits and long-term legacy. (2025). Georgakakis, Dimitrios ; Sidhu, Jatinder S ; Joo, Youngbin.
    In: Research Policy.
    RePEc:eee:respol:v:54:y:2025:i:5:s0048733325000459.

    Full description at Econpapers || Download paper

  6. Accounting backgrounds and technological innovation: Are accountant CEOs inferior innovators?. (2025). Luo, Xin ; Li, Mingxiang ; Chen, Feng ; Cao, Jian.
    In: Research Policy.
    RePEc:eee:respol:v:54:y:2025:i:3:s0048733325000046.

    Full description at Econpapers || Download paper

  7. Resource orchestration, socioemotional wealth, and radical innovation in family firms: Do multifamily ownership and generational involvement matter?. (2025). Chirico, Francesco ; Pittino, Daniel ; Sanchez-Famoso, Valeriano ; Ireland, Duane R.
    In: Research Policy.
    RePEc:eee:respol:v:54:y:2025:i:1:s0048733324001550.

    Full description at Econpapers || Download paper

  8. How does FinTech enable the expansion of green innovation boundaries: Evidence from the interventions of Chinas environmental protection tax law. (2025). Lu, Meiting ; Yang, Lisi ; Shi, Lei ; Liu, NA.
    In: Energy Economics.
    RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001914.

    Full description at Econpapers || Download paper

  9. The impact of digital-real integration on energy productivity under a multi-governance framework: The mediating role of AI and embodied technological progress. (2025). Zhong, Min ; Liu, Junnan ; Wang, Yafei ; Shi, Ming ; Ran, Rong.
    In: Energy Economics.
    RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008764.

    Full description at Econpapers || Download paper

  10. Creative destruction through innovation bursts. (2025). Berlingieri, Giuseppe ; Rigo, Davide ; Lashkari, Danial ; de Ridder, Maarten.
    In: CEP Discussion Papers.
    RePEc:cep:cepdps:dp2095.

    Full description at Econpapers || Download paper

  11. Integration into the Industrial Chain and Enterprise Innovation: A Novel Approach of Industrial Chain Measurement Using Firm Data. (2025). Xiwen, Zhang ; Zhen, Chen ; Lin, Chen ; Fei, Long.
    In: China Finance and Economic Review.
    RePEc:bpj:cferev:v:14:y:2025:i:2:p:3-23:n:1001.

    Full description at Econpapers || Download paper

  12. Measurement of disruptive innovation and its validity based on improved disruption index. (2024). Zhang, Ziyan ; Wang, Pushi.
    In: Scientometrics.
    RePEc:spr:scient:v:129:y:2024:i:11:d:10.1007_s11192-024-05134-9.

    Full description at Econpapers || Download paper

  13. Understanding the impact of human capital on radical and incremental innovation: the role of entrepreneurial passion and alertness. (2024). Anwar, Saliah ; Ashrif, Ali Noman ; Abid, Muhammad Adeel ; Mohsin, Muhammad ; Rafique, Tayyaba.
    In: Future Business Journal.
    RePEc:spr:futbus:v:10:y:2024:i:1:d:10.1186_s43093-024-00318-4.

    Full description at Econpapers || Download paper

  14. The emergence of chaos in productivity distribution dynamics. (2024). Gomes, Orlando.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:47:y:2024:i:2:d:10.1007_s10203-023-00419-9.

    Full description at Econpapers || Download paper

  15. Pay structure and firm technological innovation: comparative research based on three pay gaps. (2024). Lin, Zhiyuan ; Wang, Song.
    In: Palgrave Communications.
    RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02820-0.

    Full description at Econpapers || Download paper

  16. Analysing decentralised autonomous organisations (DAOs): limits and perspective. (2024). Sevilla, Jos Zapata.
    In: Journal of Banking Regulation.
    RePEc:pal:jbkreg:v:25:y:2024:i:4:d:10.1057_s41261-024-00236-z.

    Full description at Econpapers || Download paper

  17. THE IMPACT OF INNOVATION ON FIRM SUSTAINABLE COMPETITIVE ADVANTAGE IN SME FROM THE WEST REGION OF ROMANIA. (2024). Biri, Cristian-Dan.
    In: Annals of Faculty of Economics.
    RePEc:ora:journl:v:2:y:2024:i:2:p:26-37.

    Full description at Econpapers || Download paper

  18. How public education investment and advanced human capital structure affect regional innovation: A spatial econometric analysis from the perspective of innovation value chain. (2024). Liu, Zijun ; Tang, Tingting ; Chen, Sheng ; Guan, Qinghao ; Luo, Hang.
    In: Socio-Economic Planning Sciences.
    RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123003129.

    Full description at Econpapers || Download paper

  19. Motivating innovation: The impact of prestigious talent funding on junior scientists. (2024). Wang, Yang ; Li, Meiling ; Du, Haifeng ; Bai, Aruhan.
    In: Research Policy.
    RePEc:eee:respol:v:53:y:2024:i:9:s0048733324001306.

    Full description at Econpapers || Download paper

  20. Clean sweep: Electricity liberalization and the direction of technological change in the electricity sector. (2024). Romagnoli, Matteo.
    In: Research Policy.
    RePEc:eee:respol:v:53:y:2024:i:8:s0048733324001045.

    Full description at Econpapers || Download paper

  21. Haste makes waste? Quantity-based subsidies under heterogeneous innovations. (2024). Li, Guangwei ; Cao, Linyi ; Zhu, Lijun ; Jiang, Helu.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001046.

    Full description at Econpapers || Download paper

  22. Technological shocks and stock market volatility over a century. (2024). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000951.

    Full description at Econpapers || Download paper

  23. How consumers’ digital engagement affects regional innovation capacity in China?. (2024). Yang, Xiuyun ; Liang, Shanshan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001895.

    Full description at Econpapers || Download paper

  24. Optimal planning of technological options and productivity distribution dynamics. (2024). Gomes, Orlando.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004054.

    Full description at Econpapers || Download paper

  25. Holdup, Knowledge Transferability, and Productivity: Theory and Evidence from Knowledge Workers. (2024). Ekinci, Emre ; Wehrheim, David.
    In: Journal of Industrial Economics.
    RePEc:bla:jindec:v:72:y:2024:i:1:p:193-252.

    Full description at Econpapers || Download paper

  26. Learning by Necessity: Government Demand, Capacity Constraints, and Productivity Growth. (2024). Ilzetzki, Ethan.
    In: American Economic Review.
    RePEc:aea:aecrev:v:114:y:2024:i:8:p:2436-71.

    Full description at Econpapers || Download paper

  27. Analysis of factors influencing youth entrepreneurial decisions in Yogyakarta Special Regency. (2023). Boru, Suci Hidayati.
    In: Asian Management and Business Review.
    RePEc:uii:jrambr:v:3:y:2023:i:1:p:74-89:id:26487.

    Full description at Econpapers || Download paper

  28. Agency Frictions, Managerial Compensation, and Disruptive Innovations. (2023). Celik, Murat ; Tian, XU.
    In: Review of Economic Dynamics.
    RePEc:red:issued:22-118.

    Full description at Econpapers || Download paper

  29. Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza.
    In: Working Papers.
    RePEc:pre:wpaper:202308.

    Full description at Econpapers || Download paper

  30. Determinants of Commercialization Modes of Science: Evidence from panel data of university technology transfer in Japan. (2023). Nobuya, Fukugawa.
    In: Discussion papers.
    RePEc:eti:dpaper:23053.

    Full description at Econpapers || Download paper

  31. R&D tax credits, technology spillovers, and firms product convergence. (2023). Byun, Seong K ; Oh, Jong-Min ; Xia, Han.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000561.

    Full description at Econpapers || Download paper

  32. Economic Growth Theory in the Twenty-First Century. (2023). Gomes, Orlando.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2023:v:24:i:1:gomes.

    Full description at Econpapers || Download paper

  33. Assessment of the innovation potential of the regions of Latvia, Lithuania and Belarus. (2022). Gladevich, Jevgenij.
    In: Entrepreneurship and Sustainability Issues.
    RePEc:ssi:jouesi:v:10:y:2022:i:1:p:293-327.

    Full description at Econpapers || Download paper

  34. Business performance in IT. A multivariate regression analysis. (2022). Tofan, Ionela ; Condrea, Elena.
    In: Ovidius University Annals, Economic Sciences Series.
    RePEc:ovi:oviste:v:xxii:y:2022:i:2:p:217-226.

    Full description at Econpapers || Download paper

  35. Can electricity liberalisation foster the development of radical clean-energy technologies?. (2022). Romagnoli, Matteo.
    In: Working Papers.
    RePEc:fem:femwpa:2022.44.

    Full description at Econpapers || Download paper

  36. Can electricity liberalisation foster the development of radical clean-energy technologies?. (2022). Romagnoli, Matteo.
    In: FEEM Working Papers.
    RePEc:ags:feemwp:329738.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-23 04:10:16 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.