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The existence and source of stock return predictability : evidence from dividend, output and consumption ratios
McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208
Persistent link: https://www.econbiz.de/10011413295
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Testing stock market convergence : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - In: Empirica : journal of european economics 42 (2015) 3, pp. 481-498
Persistent link: https://www.econbiz.de/10011485529
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Does partisan conflict predict a reduction in US stock market (realized) volatility? : evidence from a quantile-on-quantile regression model
Gupta, Rangan; Pierdzioch, Christian; Selmi, Refk; … - In: The North American journal of economics and finance : a … 43 (2018), pp. 87-96
Persistent link: https://www.econbiz.de/10012036263
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Stock return predictability : using the cyclical component of the price ratio
McMillan, David G. - In: Research in international business and finance 48 (2019), pp. 228-242
Persistent link: https://www.econbiz.de/10012135904
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The role of partisan conflict in forecasting the U.S. equity premium : a nonparametric approach
Gupta, Rangan; Muteba Mwamba, John; Wohar, Mark E. - In: Finance research letters 25 (2018), pp. 131-136
Persistent link: https://www.econbiz.de/10012003489
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Differences of opinion and stock market volatility : evidence from a nonparametric causality-in-quantiles approach
Balcilar, Mehmet; Demirer, Rıza; Gupta, Rangan; Wohar, … - In: Journal of economics and finance 42 (2018) 2, pp. 339-351
Persistent link: https://www.econbiz.de/10012031009
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Structural breaks in volatility : the case of Chinese stock returns
Ni, Jinlan; Wohar, Mark E.; Wang, Beichen - In: The Chinese economy 49 (2016) 2, pp. 81-93
Persistent link: https://www.econbiz.de/10011619799
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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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Modelling time-variation in the stock return-dividend yield predictive equation
McMillan, David G. - In: Financial markets, institutions & instruments 23 (2014) 5, pp. 273-302
Persistent link: https://www.econbiz.de/10010516099
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Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106
Persistent link: https://www.econbiz.de/10011311193