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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: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: