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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
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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
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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
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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
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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
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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
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Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty
Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25
While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...
Persistent link: https://www.econbiz.de/10015210403
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A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015
Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati; … - 2016
In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed within a time-frequency framework over a monthly period 1791:08–2015:05. Using the Empirical Mode Decomposition technique, the S&P 500 stock price index is divided into different frequencies known as...
Persistent link: https://www.econbiz.de/10011432431
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A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015
Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati; … - 2016
In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed within a time-frequency framework over a monthly period 1791:08-2015:05. Using the Empirical Mode Decomposition technique, the S&P 500 stock price index is divided into different frequencies known as...
Persistent link: https://www.econbiz.de/10011446051
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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