Macroeconomic Volatility and Stock Market Volatility, Worldwide

Francis X. Diebold, Kamil Yilmaz

NBER Working Paper No. 14269
Issued in August 2008

---- Acknowledgements -----

We gratefully dedicate this paper to Rob Engle on the occasion of his 65th birthday. The research was supported by the Guggenheim Foundation, the Humboldt Foundation, and the National Science Foundation. For outstanding research assistance we thank Chiara Scotti and Georg Strasser. For helpful comments we thank the Editor and Referee, as well as Joe Davis, Aureo DePaula, Jonathan Wright, and participants at the Penn Econometrics Lunch, the Econometric Society 2008 Winter Meetings in New Orleans, and the Engle Festschrift Conference. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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