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Browsing Research Articles (Economics) by Author "Bekiros, Stelios"
Now showing items 1-8 of 8
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Segnon, Mawuli; Gupta, Rangan; Bekiros, Stelios; Wohar, Mark E. (Wiley, 2018-08)A large number of models have been developed in the literature to analyze and forecast changes in output dynamics. The objective of this paper was to compare the predictive ability of univariate and bivariate models, in ...
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Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee (Elsevier, 2016-08)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 ...
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Bekiros, Stelios; Gupta, Rangan; Kyei, Clement Kweku (Routledge, 2016-07)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, and Huang et al. (2015) developed a new investor sentiment ...
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Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia (Elsevier, 2015-07)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 ...
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Bekiros, Stelios; Gupta, Rangan; Kyei, Clement Kweku (Elsevier, 2016-04)This paper uses a k-th order nonparametric Granger causality test to analyze whether firmlevel, economic policy and macroeconomic uncertainty indicators predict movements in real stock returns and their volatility. Linear ...
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Bekiros, Stelios; Gupta, Rangan (Elsevier, 2015-06)Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (cayMS), developed to account for structural breaks, is a better predictor ...
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Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan (Springer, 2017-11)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 ...
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Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan (Springer, 2017-11)A recent 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 k-th order nonparametric ...
Now showing items 1-8 of 8