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Title:Granger-Causal Analysis of VARMA-GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/19Abstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...
Title:Testing Causality between Two Vectors in Multivariate GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/20Abstract:Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...
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 ...

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 ...

Title:Markov-Switching MIDAS Models Author(s):GUERIN, Pierre; MARCELLINO, Massimiliano
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/03Abstract:This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...

Title:Forecasting Government Bond Yields with Large Bayesian VARs Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...

Title:Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...

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, ...

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 ...

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 ...
