Narrow search
Showing 1 - 10 of 443
Cover Image
Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach
Balcilar, Mehmet - 2017
the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective … volatility of Bitcoin returns at any point of the conditional distribution …
Persistent link: https://www.econbiz.de/10012960531
Cover Image
On the Predictability of Stock Market Bubbles : Evidence from LPPLS ConfidenceTM Multi-Scale Indicators
Demirer, Riza - 2018
We examine the predictive power of market-based indicators over the positive and negative stock market bubbles via an application of the LPPLS Confidence TM Multi-scale Indicators to the S&P 500 index. We find that the LPPLS framework is able to successfully capture, ex-ante, some of the...
Persistent link: https://www.econbiz.de/10012931948
Cover Image
Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Department of Economics, Faculty of Economic and … - 2013
This article attempts to examine whether the equity premium in the United States can be predicted from a com-prehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010936606
Cover Image
Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Institut de Préparation à l'Administration et à la … - 2013
This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...
Persistent link: https://www.econbiz.de/10010754801
Cover Image
Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...
Persistent link: https://www.econbiz.de/10011674010
Cover Image
Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018
In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...
Persistent link: https://www.econbiz.de/10011812671
Cover Image
Volatility spillovers between interest rates and equity markets of developed economies
Donzwa, Wilson; Gupta, Rangan; Wohar, Mark E. - In: Journal of central banking theory and practice 8 (2019) 3, pp. 39-50
(2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK …, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates … causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as …
Persistent link: https://www.econbiz.de/10012101454
Cover Image
Can volume predict Bitcoin returns and volatility? : a quantiles-based approach
Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: Economic modelling 64 (2017), pp. 74-81
Persistent link: https://www.econbiz.de/10011756479
Cover Image
The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate : A Nonlinear Approach
Gogas, Periklis - 2017
The difficulty in modelling inflation and the significance in discovering the underlying data generating process of inflation is expressed in an ample literature regarding inflation forecasting. In this paper we evaluate nonlinear machine learning and econometric methodologies in forecasting the...
Persistent link: https://www.econbiz.de/10012953784
Cover Image
Climate risks and predictability of the trading volume of gold : evidence from an INGARCH model
Karmakar, Sayar; Gupta, Rangan; Ҫepni, Oğuzhan; … - 2022
Persistent link: https://www.econbiz.de/10013366552