@techreport{NBERw14269,
 title = "Macroeconomic Volatility and Stock Market Volatility, Worldwide",
 author = "Francis X. Diebold and Kamil Yilmaz",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "14269",
 year = "2008",
 month = "August",
 URL = "http://www.nber.org/papers/w14269",
 abstract = {Notwithstanding its impressive contributions to empirical financial economics, there remains a significant gap in the volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries. We find a clear link between macroeconomic fundamentals and stock market volatilities, with volatile fundamentals translating into volatile stock markets.},
}