Climate risks and state-level stock market realized volatility

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian

dc.contributor.author	Bonato, Matteo
dc.contributor.author	Cepni, Oguzhan
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Pierdzioch, Christian
dc.date.accessioned	2023-10-05T06:55:26Z
dc.date.available	2023-10-05T06:55:26Z
dc.date.issued	2023-11
dc.description	DATA AVAILABILITY : Data will be made available on request.	en_US
dc.description.abstract	We analyze the predictive value of climate risks for state-level realized stock market volatility, computed, along with other realized moments, based on high-frequency intra-day U.S. data (September, 2011 to October, 2021). A model-based bagging algorithm recovers that climate risks have predictive value for realized volatility at intermediate and long (one and two months) forecast horizons. This finding also holds for upside (“good”) and downside (“bad”) realized volatility. The benefits of using climate risks for predicting state-level realized stock market volatility depend on the shape and (as-)symmetry of a forecaster’s loss function.	en_US
dc.description.department	Economics	en_US
dc.description.librarian	hj2023	en_US
dc.description.uri	http://www.elsevier.com/locate/finmar	en_US
dc.identifier.citation	Bonato, M., Cepni, O., Gupta, R. et al. 2023, 'Climate risks and state-level stock market realized volatility', Journal of Financial Markets, vol. 66, art. 100854, pp. 1-18, doi : 10.1016/j.finmar.2023.100854.	en_US
dc.identifier.issn	1386-4181
dc.identifier.other	10.1016/j.finmar.2023.100854
dc.identifier.uri	http://hdl.handle.net/2263/92716
dc.language.iso	en	en_US
dc.publisher	Elsevier	en_US
dc.rights	© 2023 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in Journal of Financial Markets, vol. 66, art. 100854, pp. 1-18, doi : 10.1016/j.finmar.2023.100854.	en_US
dc.subject	Prediction models	en_US
dc.subject	Climate-related predictors	en_US
dc.subject	Realized stock market volatility	en_US
dc.subject	Finance state-level data	en_US
dc.subject	SDG-13: Climate action	en_US
dc.subject	SDG-08: Decent work and economic growth	en_US
dc.title	Climate risks and state-level stock market realized volatility	en_US
dc.type	Preprint Article	en_US