Abstract:This paper provides novel insight into the growing literature on the policy uncertainty‐stock market volatility nexus by examining the out‐of‐sample predictive ability of the quality of political signals over stock market volatility at various forecast horizons. Specifically, we examine whether or not accounting for the signal quality in forecasting models within a mixed frequency framework can improve forecast performance and help achieve economic gains for investors. Both in‐ and out‐of‐sample tests, based o… Show more
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