Title:Impact of speculation and economic uncertainty on commodity markets Author(s):ANDREASSON, Pierre; BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
- International review of financial analysis, 2016, Vol. 43, pp. 115-127
Type:ArticleAbstract:We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). ...
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 ...