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Testing output gap and economic uncertainty as an explicator of stock market returns

Ahmad, Wasim; Sharma, Sumit Kumar - In: Research in international business and finance 45 (2018), pp. 293-306

Persistent link: https://www.econbiz.de/10011983273

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

-switching autoregressive (MS-AR) model. The results show that the MF-MS-VAR fits the different recession regimes, and provides out …-of-sample forecasts of recession probabilities which are more accurate than those derived from the MS-VAR and MS-AR models. The results …

Persistent link: https://www.econbiz.de/10011443536

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

-switching autoregressive (MS-AR) model. Their results show that the MF-MS-VAR fits the different recession regimes, and provides out …-of-sample forecasts of recession probabilities which are more accurate than those derived from the MS-VAR and MS-AR models. The results …

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

Aggregate earnings and expected stock returns in emerging markets

Demirtas, K. Ozgur; Zirek, Duygu - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 4-22

Persistent link: https://www.econbiz.de/10009313732

Pro-cyclical effect of sovereign rating changes on stock returns : a fact or factoid?

Riaz, Yasir; Shehzad, Choudhry Tanveer; Umar, Zaghum - In: Applied economics 51 (2019) 15, pp. 1588-1601

Persistent link: https://www.econbiz.de/10012196579

Ex-ante risk factors and required structures of the implied correlation matrix

Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10013336218

Forecasting excess stock returns with crude oil market data

Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324

Persistent link: https://www.econbiz.de/10011533825

Predicting equity premium using news-based economic policy uncertainty : not all uncertainty changes are equally important

Nonejad, Nima - In: International review of financial analysis 77 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012805880

Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test

Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250

Persistent link: https://www.econbiz.de/10011591762

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