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Does news tone help forecast oil? In this paper, we study the relationship between news tone and crude oil prices and … evaluate the role news tone plays in the ability to forecast oil prices. Specifically, we use the oil-specific dictionary and … evidence that news tone constructed by the oil dictionary helps forecast monthly oil prices out-of-sample over short horizons …
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for risk assets, have been wildly discussed since the day Bitcoin was created in 2008. However, no studies have explored … whether cryptocurrency market uncertainties can help to explain and forecast volatilities in precious metal markets. By using …
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This study analyses the prediction power of uncertainty measures, especially the cryptocurrency uncertainty indices on the long-term volatility of the gold markets. By utilising a mixed data sampling model, GARCH-MIDAS, we show that various uncertainty measures may capture different types of...
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country currencies. One such paper (Frankel and Poonawala 2010) has further suggested that this phenomenon may contradict risk … currencies than for developing country currencies and consequently does not establish grounds to challenge risk premium theory …
Persistent link: https://www.econbiz.de/10013101525
This paper examines quantile coherency in bonds, commodities, currencies, and equities usinga novel quantile coherency approach. While recent literature has explored single-frequencytail - and time-frequency dependence in asset returns, we provide fresh evidence on asset returndependence across...
Persistent link: https://www.econbiz.de/10013289211
In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...
Persistent link: https://www.econbiz.de/10013406460
This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period.Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including...
Persistent link: https://www.econbiz.de/10012148495