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Global financial cycle and the predictability of oil market volatility : evidence from a GARCH-MIDAS model
Salisu, Afees A.
;
Gupta, Rangan
;
Demirer, Riza
(
Elsevier
,
2022-04
)
Time-varying risk aversion and the profitability of carry trades : evidence from the cross-quantilogram
Demirer, Riza
;
Gupta, Rangan
;
Hassani, Hossein
;
Huang, Xu
(
MDPI
,
2020-03
)
Time-varying risk aversion and the predictability of bond premia
Cepni, Oguzhan
;
Demirer, Riza
;
Gupta, Rangan
;
Pierdzioch, Christian
(
Elsevier
,
2020-05
)
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Riza
;
Demos, Guilherme
;
Gupta, Rangan
;
Sornette, Didier
(
Routledge
,
2019
)
Gold, platinum and the predictability of bond risk premia
Bouri, Elie
;
Demirer, Riza
;
Gupta, Rangan
;
Wohar, Mark E.
(
Elsevier
,
2021-01
)
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Demirer, Riza (5)
Gupta, Rangan (5)
Bouri, Elie (1)
Cepni, Oguzhan (1)
Demos, Guilherme (1)
Hassani, Hossein (1)
Huang, Xu (1)
Pierdzioch, Christian (1)
Salisu, Afees A. (1)
Sornette, Didier (1)
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Predictability (5)
Bond premia (2)
Out-of-sample forecasts (2)
Carry trade strategy (1)
Correlogram (1)
Cross-quantilogram (1)
Dependence (1)
Financial bubble indicators (1)
GARCH-MIDAS (1)
Generalized autoregressive conditional heteroskedasticity (GARCH) (1)
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2020 (2)
2019 (1)
2021 (1)
2022 (1)
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