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 ...