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Title:Oil price forecastability and economic uncertainty Author(s):BEKIROS, Stelios D.
; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
- Economics letters, 2015, Vol. 132, pp. 125–128
Type:ArticleAbstract:Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model ...
; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
Title:Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.Date:2014Citation:
- Journal of banking and finance, 2014, Vol 39, pp. 117-134
Type:ArticleAbstract:The present study builds upon the seminal work of Engel and West (2005) and in particular on the relationship between exchange rates and fundamentals. The paper discusses the well-known puzzle that fundamental variables ...
Date:2014Citation:
Title:A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; KYEI, ClementDate:2016Citation:
- Applied economics, 2016, Vol. 48, No. 31, pp. 2895-2898
Type:ArticleAbstract:The popular sentiment-based investor index SBW introduced by Baker and Wurgler (2006, 2007) is shown to have no predictive ability for stock returns. However, Huang et al. (2015) developed a new investor sentiment index, ...
; GUPTA, Rangan; KYEI, ClementDate:2016Citation:
Title:The role of news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method Author(s):BEKIROS, Stelios D.; BALCILAR, Mehmet; GUPTA, RanganDate:2017Citation:
- Empirical economics : Journal of the Institute for Advanced Studies, 2017, Vol. 53, No. 3, pp. 879–889
Type:ArticleAbstract:A recent strand in the literature emphasizes the role of news-based economic policy uncertainty (EPU) and equity market uncertainty (EMU) as drivers of oil price movements. Against this backdrop, this paper uses a kth-order ...
; BALCILAR, Mehmet; GUPTA, RanganDate:2017Citation:
Title:Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; MAJUMDAR, AnandamayeeDate:2016Citation:
- Finance research letters, 2016, Vol. 18, pp. 291-296
Type:ArticleAbstract:Information on economic policy uncertainty does matter in predicting the US equity premium, especially when accounting for structural instabilities and omitted nonlinearities in their relationship, via a quantile predictive ...
; GUPTA, Rangan; MAJUMDAR, AnandamayeeDate:2016Citation:
Title:Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...
Title:Forecasting Government Bond Yields with Large Bayesian VARs Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...
Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Title:MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/32Abstract:This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-
VAR) approaches to model speci cation in the presence of mixed-frequency data, e.g.,
monthly and quarterly series. MIDAS leads to parsimonious ...
; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/32Abstract:This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-
VAR) approaches to model speci cation in the presence of mixed-frequency data, e.g.,
monthly and quarterly series. MIDAS leads to parsimonious ...