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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 ...
; HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; REHMAN, Mobeen U.Date:2018Citation: