In our study, we tested for chaos in the historical daily and monthly datasets spanning over one century of stock returns for G7 countries. Applying the 0–1 test proposed by Gottwald and Melbourne (2005) and the recent ...

This paper examines the dependence structure and dynamics between gold and oil prices. Specifically, we study the hedge and safe haven ability of gold for oil prices using daily gold prices and West Texas Intermediate ...

In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed within a time-frequency framework over a monthly period 1791:08–2015:05. Using the Empirical Mode Decomposition technique, ...

This paper provides a novel perspective in determining the Granger causality of sentiment across the US, Latin America, Eurozone, Japan and Asia (excluding Japan), based on monthly data covering the period of January ...

We analyze the dependence structure of economic policy uncertainty in four Latin American economies (Brazil, Chile, Colombia, Mexico) using vine copula modeling with various forms of tail dependence. Our results suggest ...

This paper analyzes the oil price-inflation pass-through by studying the relationship between oil prices and U.S. Consumer Price Index (CPI) over the period January 1871–June 2018, at different frequencies, using a wavelet ...

In this work we offer new insight into the relationship between interest rates and uncertainty for several advanced economies (Canada, Euro Area, Japan, UK, US) for the period 2003−2018. For this purpose, we utilize wavelets, ...

This paper investigates the multifractality and efficiency of stock markets in eight developed (Canada, France, Germany, Italy, Japan, Switzerland, UK and USA) and two emerging (India and South Africa) countries for which ...

In the pure time-series sense, weak-form of efficiency of the housing market would imply unpredictability of housing returns. Given this, utilizing a daily dataset of aggregate housing market returns of the United States, ...

In this study, we examine the time-varying correlations between output and prices, while controlling for the impact of the monetary policy stance and output and inflation uncertainties over the period 1800–2014. The results ...