Recent research has noted that the change in the shape of the yield curve can serve as a proxy for economic activity and contains economic information not present in other explanatory variables. This article extends previous research by examining the combined effect of changes in the shape of...

Evidence in favour of long memory has recently been questioned by tests that allow for structural breaks. This article tests for periodic breaks in the unconditional variance of stock return data on eight UK sectors, as well as the market index. Using the modified Iterative Cumulative Sum of...

This article examines the issue of stock returns forecasting and in particular extends the analysis of the recently introduced sum of the parts modelling technique. The sum of the parts technique undertakes a first-stage regression analysis where the predictor variables themselves are estimated...

This article examines the nature of time variation within the stock return predictive regression for the United Kingdom. We consider six predictor variables but find significant in-sample evidence of predictive power for only three: the bond--equity yield ratio, the dividend yield and the...

In this article we examine the persistent nature of the 3-month UK real interest rate for the period 1957:Q2 to 2008:Q2. We employ unit root and cointegration tests, confidence intervals for the sum of the Autoregressive (AR) coefficient, fractional integration tests, structural break tests and...

Using data spanning 200 years we examine the nature of the long-run cointegrating behaviour between real output and real stock prices. A standard cointegration framework demonstrates that such a long-run relationship exists with both variables exhibiting significant equilibrium reversion, albeit...

Appropriate modelling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of...

This study employs 14 global economic and financial variables to predict the return of the Islamic stock market as identified by the Dow Jones Islamic Stock Market (DJIM). It implements alternative forecasting methods and allows for nonlinearity in the multivariate predictive regressions by...

This article examines the existence of long memory in daily stock market returns from Brazil, Russia, India, China and South Africa (BRICS) countries and also attempts to shed light on the efficacy of autoregressive fractionally integrated moving average (ARFIMA) models in predicting stock...