Title:Directional predictability and time-varying spillovers between stock markets and economic cycles Author(s):BEKIROS, Stelios D.; HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; REHMAN, Mobeen U.Date:2018Citation:
- Economic modelling, 2018, Vol. 69, pp. 301-312
Type:ArticleAbstract:We examine the nonlinear dependence structure and causal nexus between business cycles, stock market returns and asset return volatility for the US economy. We implement two novel methodologies, namely quantile-on-quantile ...
Title:Risk transmitters and receivers in global currency markets Author(s):HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; BEKIROS, Stelios D.; REHMAN, Mobeen U.Date:2018Citation:
- Finance research letters, 2018, Vol. 25, pp. 1-9
Type:ArticleAbstract:We implement a robust multi-scenario cross-quantilogram network approach to examine the strength and direction of interdependencies and spillover transmission among 25 developed, emerging, Middle Eastern and North African ...
Title:The informational dynamics of meanvariance relationships in fertilizer markets : an entropic investigation Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2018Citation:
- Entropy, 2018, Vol. 20, No. 9, (677)
Type:ArticleAbstract:The riskreturn trade-off is a fundamental relationship that has received a large amount of attention in financial and economic analysis. Indeed, it has important implications for understanding linear dynamics in price ...