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Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022
Persistent link: https://www.econbiz.de/10013166706
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Disaggregated oil shocks and stock-market tail risks : evidence from a panel of 48 economics
Gupta, Rangan; Sheng, Xin; Pierdzioch, Christian; Ji, Qiang - In: Research in international business and finance 58 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10013287890
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Climate risks and realized volatility of major commodity currency exchange rates
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of financial markets 62 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014226734
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Climate risk and the volatility of agricultural commodity price fluctuations : a prediction experiment
Gupta, Rangan; Pierdzioch, Christian - In: Behavioral Finance and Asset Prices : The Influence of …, (pp. 23-44). 2023
Persistent link: https://www.econbiz.de/10014282545
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Climate risks and predictability of commodity returns and volatility : evidence from over 750 years of data
Nel, Jacobus; Gupta, Rangan; Wohar, Mark E.; … - 2022
Persistent link: https://www.econbiz.de/10013387607
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The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002
This paper presents evidence on the accuracy of press reports regarding the foreign exchange market interventions conducted by the Bank of Japan (BoJ) between January 1995 and December 1999. We find that the reports of interventions in the financial press are a relatively inaccurate indicator...
Persistent link: https://www.econbiz.de/10014117201
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The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002
This paper presents evidence on the accuracy of press reports regarding the foreign exchange market interventions conducted by the Bank of Japan (BoJ) between January 1995 and December 1999. We find that the reports of interventions in the financial press are a relatively inaccurate indicator...
Persistent link: https://www.econbiz.de/10010260509
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Business cycle volatility in Germany
Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002
Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …
Persistent link: https://www.econbiz.de/10011475861
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The Effects of Foreign Exchange Market Interventions of the Bank of Japan on the $/Yen Exchange Rate Volatility
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002
Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993 - 2000 that were … released only recently by the BoJ and find that interventions of the BoJ increased the volatility of the $/yen exchange rate …
Persistent link: https://www.econbiz.de/10014117200
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Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244
Persistent link: https://www.econbiz.de/10014326299