The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over 250 years of data
Rangan Gupta, Marian Risse, David A. Volkman, Mark E. Wohar
| Year of publication: |
2019
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|---|---|
| Authors: | Gupta, Rangan ; Risse, Marian ; Volkman, David A. ; Wohar, Mark E. |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 47.2019, p. 391-405
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| Subject: | Conditional term spreads | Nonparametric causality-in-quantiles test | Stock returns | Volatility | Yield curve changes | Zinsstruktur | Yield curve | Volatilität | Kapitaleinkommen | Capital income | Großbritannien | United Kingdom | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.05.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012117890