英文文献：A Comprehensive Look at Financial Volatility Prediction by Economic Variables-一个综合看金融波动预测的经济变量
英文文献作者：Charlotte Christiansen,Maik Schmeling,Andreas Schrimpf
英文文献摘要：
What drives volatility on financial markets? This paper takes a comprehensive look at the predictability of financial market volatility by macroeconomic and financial variables. We go beyond forecasting stock market volatility (by large the focus in previous studies) and additionally investigate the predictability of foreign exchange, bond, and commodity volatility by means of a data-rich modeling methodology which is able to handle a potentially large number of predictor variables. In line with previous research, we find relatively little economically meaningful predictability of stock market volatility. By contrast, volatility in foreign exchange, bond, and commodity markets appears predictable by macro and financial predictors both in-sample and out-of-sample.

是什么导致了金融市场的波动?本文通过宏观经济和金融变量对金融市场波动的可预测性进行了全面的考察。我们超越了预测股票市场波动(主要集中在以前的研究)，并且通过一个数据丰富的建模方法，能够处理潜在的大量预测变量，进一步调查外汇，债券和商品波动的可预测性。与以往的研究一致，我们发现对股市波动的经济意义上的可预测性相对较少。相比之下，外汇、债券和大宗商品市场的波动似乎可以由样本内和样本外的宏观和金融预测者预测。