In this paper, we focus on the stochastic (chaotic) attributes of the US dollar-based exchange rates for Brazil, Russia, India, China and South Africa (BRICS) using a long-run monthly dataset covering 1812M01-2017M12, ...

Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270-2016 - the entire economic history of the U.K. Focusing on permanent and transitory shocks ...

This paper analyses the role of a news-based measure of economic policy uncertainty (EPU) in explaining time-varying co-movements in economic activity and volatility of 48 US states and 51 largest MSAs. In this regard, we, ...

The decision of the United Kingdom to leave the European Union (Brexit) after 43 years caused turmoil in exchange rate and global stock markets. More specifically, the pound relative to the dollar has lost close to 15 ...

We use a nonparametric causality-in-quantiles test to compare the predictive ability of the consumption-wealth ratio (cay) and the Markov Switching version (cayMS) for excess and real stock and housing returns and their ...

This paper analyses to what extent a selection of leading indicators is able to forecast U.S. recessions, by means of both dynamic probit models and Support Vector Machine (SVM) models, using monthly data from January 1871 ...

Much significant research has been done to study how terror attacks affect financial markets. We contribute to this research by studying whether terror attacks, in addition to standard predictors considered in earlier ...

Theory suggests that partisan conflict negatively affects the possibility of economic policy change, implying that financial markets tend to operate under lower policy risk. Given that stock-return volatility measures risk, ...

This paper examines the fundamental linkages between stock markets and safe haven assets by developing a two-factor, regime-based volatility spillover model with global and regional stock market shocks as risk factors. The ...

This paper provides empirical evidence to the theoretical claim that rare disaster risks have predictability for exchange rate returns and volatility using a nonparametric quantile-based methodology. Using dollar-based ...