Search
Now showing items 1-10 of 22
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:Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.Date:2014Citation:
- Journal of banking and finance, 2014, Vol 39, pp. 117-134
Type:ArticleAbstract:The present study builds upon the seminal work of Engel and West (2005) and in particular on the relationship between exchange rates and fundamentals. The paper discusses the well-known puzzle that fundamental variables ...
Date:2014Citation:
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: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 ...
; GUPTA, Rangan; MAJUMDAR, AnandamayeeDate:2016Citation:
Title:Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
Title:Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/16Abstract:This paper compares different ways to estimate the current state of the economy using factor
models that can handle unbalanced datasets. Due to the different release lags of business cycle
indicators, data unbalancedness ...
; SCHUMACHER, ChristianDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/16Abstract:This paper compares different ways to estimate the current state of the economy using factor
models that can handle unbalanced datasets. Due to the different release lags of business cycle
indicators, data unbalancedness ...
Title:Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk Author(s):BANULESCU, Georgiana-Denisa; DUMITRESCU, Elena-IvonaDate:2013Type:Working PaperSeries/Number:EUI MWP; 2013/23Abstract:This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the firm characteristics. Developed ...
Date:2013Type:Working PaperSeries/Number:EUI MWP; 2013/23Abstract:This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the firm characteristics. Developed ...
Title:Forecasting Exchange Rates with a Large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Title:A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract:Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract:Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...