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Title:Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance Author(s):ARGENTESI, Elena; LUETKEPOHL, Helmut
; MOTTA, MassimoDate:2010Citation:
- German Economic Review, 2010, 11, 3, 381-396
Type:ArticleAbstract:This paper deals with the determinants of agents' acquisition of information. Our econometric evidence shows that the general index of Italian share-prices and the series of Italy's financial newspaper sales are cointegrated, ...
; MOTTA, MassimoDate:2010Citation:
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. 83-85
Type: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 ...
; GUPTA, RanganDate:2015Citation:
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). ...
; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
Title:Oil price forecastability and economic uncertainty Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
- Economics letters, 2015, Vol. 132, pp. 125–128
Type:ArticleAbstract:Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model ...
; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
Title:Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs Author(s):BEKIROS, Stelios D.; CARDANI, Roberta; PACCAGNINI, Alessia; VILLA, StefaniaDate:2016Citation:
- Journal of financial stability, 2016, Vol. 26, pp. 216-227
Type:ArticleAbstract:In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awareness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial ...
; CARDANI, Roberta; PACCAGNINI, Alessia; VILLA, StefaniaDate:2016Citation:
Title:A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; KYEI, ClementDate:2016Citation:
- Applied economics, 2016, Vol. 48, No. 31, pp. 2895-2898
Type:ArticleAbstract:The popular sentiment-based investor index SBW introduced by Baker and Wurgler (2006, 2007) is shown to have no predictive ability for stock returns. However, Huang et al. (2015) developed a new investor sentiment index, ...
; GUPTA, Rangan; KYEI, ClementDate:2016Citation:
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. 879–889
Type: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 ...
; BALCILAR, Mehmet; GUPTA, RanganDate:2017Citation:
Title:Beggar-thy-neighbor? : the international effects of ECB unconventional monetary policy measures Author(s):BLUWSTEIN, Kristina; CANOVA, FabioDate:2016Citation:
- International journal of central banking (IJCB), 2016, Vol. 12, No. 3, pp. 69-120
Type:ArticleAbstract:This paper examines the effects of unconventional monetary policy measures by the European Central Bank on nine European countries not adopting the euro with a novel Bayesian mixed-frequency structural vector autoregressive ...
; CANOVA, FabioDate:2016Citation:
Title:Black swan events and safe havens : the role of gold in globally integrated emerging markets Author(s):BEKIROS, Stelios D.; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
- Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334
Type:ArticleAbstract:There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification ...
; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
Title:Portfolio optimization with investor utility preference of higher-order moments : a behavioral approach Author(s):BEKIROS, Stelios D.; LOUKERIS, Nikolaos; ELEFTHERIADIS, IordanisDate:2017Citation:
- Review of behavioral economics, 2017, Vol. 4, No. 2, pp. 83-106
Type:ArticleAbstract:We incorporate advanced higher moments of individual or institutional investors in a new approach dealing with the portfolio selection problem, formulated under a multi-criteria optimization framework. The “integrated ...
; LOUKERIS, Nikolaos; ELEFTHERIADIS, IordanisDate:2017Citation: