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Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test
Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250
Persistent link: https://www.econbiz.de/10011591762
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …
Persistent link: https://www.econbiz.de/10011630054
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …
Persistent link: https://www.econbiz.de/10011646274
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
Persistent link: https://www.econbiz.de/10011670177
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of financial econometrics 22 (2024) 2, pp. 407-460
Persistent link: https://www.econbiz.de/10014526327
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Do terror attacks affect the dollar-pound exchange rate? : a nonparametric causality-in-quantiles analysis
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; … - In: The North American journal of economics and finance : a … 41 (2017), pp. 44-56
Persistent link: https://www.econbiz.de/10011878932
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Climate risks and realized volatility of major commodity currency exchange rates
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of financial markets 62 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014226734
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Does country risks predict stock returns and volatility? : evidence from a nonparametric approach
Suleman, Tahir; Gupta, Rangan; Balcilar, Mehmet - In: Research in international business and finance 42 (2017), pp. 1173-1195
Persistent link: https://www.econbiz.de/10011760918
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Small sample adjustments for the J-test
Godfrey, L. G.; Godfrey, L.G.; Pesaran, M.H. - 1983
Persistent link: https://www.econbiz.de/10000012596
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10010361374