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International Stock Return Predictability: Is the Role of U.S. Time-Varying?
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
This study investigates the predictability of 11 industrialized stock returns with emphasis on the role of U.S. returns …
Persistent link: https://www.econbiz.de/10011272166
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Forecasting Aggregate Retail Sales: The Case of South Africa
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2013
Forecasting aggregate retail sales may improve portfolio investors’ ability to predict movements in the stock prices of the retailing chains. Therefore, this paper uses 26 (23 single and 3 combination) forecasting models to forecast South Africa’s aggregate seasonal retail sales. We use data...
Persistent link: https://www.econbiz.de/10010891728
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The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method
Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
whether EPU and EMU uncertainty measures incorporate critical predictability for oil market returns and volatility. Based on … predictability over the entire distribution of oil around the median, yet more importantly for volatility forecastability covers the … pattern over the distribution of oil returns and its volatility exists with respect to uncertainty predictability. …
Persistent link: https://www.econbiz.de/10011267815
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Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model
Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi N.; Aye, … - Department of Economics, Faculty of Economic and … - 2014
Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is … agents and/or policy makers. The inferred probabilities from the four-state MS-VAR model show evidence of a time …
Persistent link: https://www.econbiz.de/10011125860
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Forecasting South African Ination Using Non-linear Models: A Weighted Loss-based Evaluation
Bahramian, Pejman; Balcilar, Mehmet; Gupta, Rangan; … - Institut de Préparation à l'Administration et à la … - 2014
The conduct of in ation targeting is heavily dependent on accurate in ation forecasts. Non-linear models have increasingly featured, along with linear counterparts, in the forecasting literature. In this study, we focus on forecasting South African in ation by means of non-linear models and...
Persistent link: https://www.econbiz.de/10011161635
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Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation
Bahramian, Pejman; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2014
The conduct of inflation targeting is heavily dependent on accurate inflation forecasts. Non-linear models have increasingly featured, along with linear counterparts, in the forecasting literature. In this study, we focus on forecasting South African infl ation by means of non-linear models and...
Persistent link: https://www.econbiz.de/10011095462
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Dynamic Relationship between Oil Price and Inflation in South Africa
Balcilar, Mehmet; Uwilingiye, Josine; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
The oil price-inflation relationship has been at the center of attention among economists and policy makers, especially after 1970’s oil shocks that resulted to a significant increase in the inflation rate in number of countries around the world. In this study, we aim to investigate the...
Persistent link: https://www.econbiz.de/10010784810
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International stock return predictability : is the role of U.S. time-varying?
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan - In: Empirica : journal of european economics 44 (2017) 1, pp. 121-146
Persistent link: https://www.econbiz.de/10011741339
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U.S. monetary policy and the predictability of global economic synchronization patterns
Balcilar, Mehmet; Demirer, Rıza - In: Journal of economics and finance : JEF 46 (2022) 3, pp. 473-492
Persistent link: https://www.econbiz.de/10013442199
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Predicting BRICS Stock Returns Using ARFIMA Models
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012
This paper 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...
Persistent link: https://www.econbiz.de/10010765632