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Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

Forecasting US real private residential fixed investment using a large number of predictors

Aye, Goodness C.; Miller, Stephen M.; Gupta, Rangan; … - In: Empirical economics : a journal of the Institute for … 51 (2016) 4, pp. 1557-1580

Persistent link: https://www.econbiz.de/10011661835

The role of economic policy uncertainty in predicting U.S. recessions : a mixed-frequency Markov-switching vector autoregressive approach

Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016

This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...

Persistent link: https://www.econbiz.de/10011554324

Real estate returns predictability revisited : novel evidence from the US REITs market

Akinsomi, Omokolade; Aye, Goodness C.; Babalos, Vassilios; … - In: Empirical economics : a journal of the Institute for … 51 (2016) 3, pp. 1165-1190

Persistent link: https://www.econbiz.de/10011554410

Causality between US economic policy and equity market uncertainties : evidence from linear and nonlinear tests

Ajmi, Ahdi Noomen; Aye, Goodness C.; Balcilar, Mehmet; … - In: Journal of applied economics 18 (2015) 2, pp. 225-246

Persistent link: https://www.econbiz.de/10011554957

Evolution of the monetary transmission mechanism in the US : the role of asset returns

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - In: The journal of real estate finance and economics 52 (2016) 3, pp. 226-243

Persistent link: https://www.econbiz.de/10011591659

Temporal causality between house prices and output in the US : a bootstrap rolling-window approach

Nyakabawo, Wendy; Miller, Stephen M.; Balcilar, Mehmet; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 55-73

Persistent link: https://www.econbiz.de/10011534355

Regime switching model of US crude oil and stock market prices : 1859 to 2013

Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - In: Energy economics 49 (2015), pp. 317-327

Persistent link: https://www.econbiz.de/10011537104

The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US

Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - In: Applied economics 47 (2015) 22/24, pp. 2259-2277

Persistent link: https://www.econbiz.de/10010516653

Can economic uncertainty, financial stress and consumer sentiments predict US equity premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - In: Journal of international financial markets, … 33 (2014), pp. 367-378

Persistent link: https://www.econbiz.de/10011299816