Title:Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach Author(s):BEKIROS, Stelios D.; GUPTA, RanganDate:2015Citation:
- Economics letters, 2015, Vol. 131, pp. 83-85
Type:ArticleAbstract:Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (View the MathML source), developed to account for structural breaks, is a ...
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 ...