Browsing ECO Articles by Subject "Volatility"
Now showing items 1-5 of 5
-
Title:Disturbances and complexity in volatility time series Author(s):LAHMIRI, Salim; BEKIROS, Stelios D.Date:2017Citation:Chaos, solitons & fractals, 2017, Vol. 105, pp. 38-42Type:ArticleAbstract:Recent works in econophysics have quantitatively shown that the latest global financial crisis has considerably affected nonlinear dynamics in markets worldwide. In the current study, we focus on complexity in volatility ...
-
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. 879–889Type: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 ...
-
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. 83-85Type: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:Macroeconomic fluctuations and the labor market Author(s):MORTENSEN, Dale; NAGYPAL, Éva; GUERRIERI, Veronica; REITER, Michael; QUADRINI, Vincenzo; TRIGARI, Antonella; RAVN, Morten O.; SIMONELLI, Saverio; YASHIV, Eran; MOSCARINI, Giuseppe; THOMSSON, Kaj; ROCHETEAU, Guillaume; RUPERT, Peter; WRIGHT, Randall; DANTHINE, Jean-Pierre; KURMANN, André; BOONE, Johnathan; WATSON, JoelDate:2007Citation:Scandinavian journal of economics, 2007, 109, 4, 645-903Type:Article
-
Title:Special issue on modern econometric analysis - surveys on recent developments Author(s):HÜBLER, Olaf; FROHN, Joachim; CHEN, Pu; BREITUNG, Jörg; EICKMEIER, Sandra; WOLTERS, Jürgen; HASSLER, Uwe; LUETKEPOHL, Helmut; HERWARTZ, Helmut; FITZENBERGER, Bernd; WILKE, Ralf A.; HÜBLER, Olaf; KAUERMANN, Göran; RONNING, Gerd; BOES, Stefan; WINKELMANN, Rainer; SCHNEEWEISS, Hans; AUGUSTIN, Thomas; CALIENDO, Marco; HUJER, Reinhard; RäSSLER, Susanne; RIPHAHN, Regina T.Date:2006Citation:Allgemeines statistisches Archiv, 2006, 90, 1, 1-232Type:Article