Search Results - subject:"Directional predictability"

Does international oil volatility have directional predictability for stock returns? : evidence from BRICS countries based on cross-quantilogram analysis

Zhou, Zhongbao; Jiang, Yong; Liu, Yang; Lin, Ling; Liu, Qing - In: Economic modelling 80 (2019), pp. 352-382

Persistent link: https://www.econbiz.de/10012200710

Uncovering the nonlinear predictive causality between natural gas and electricity prices

Uribe, Jorge; Guillén, Montserrat; Mosquera-López, … - In: Energy economics 74 (2018), pp. 904-916

Persistent link: https://www.econbiz.de/10011972999

Directional predictability of implied volatility : from crude oil to developed and emerging stock markets

Bouri, Elie; Lien, Da-hsiang Donald; Roubaud, David; … - In: Finance research letters 27 (2018), pp. 65-79

Persistent link: https://www.econbiz.de/10012006745

Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis

Labidi, Chiaz; Rahman, Md Lutfur; Hedström, Axel; … - In: International review of financial analysis 59 (2018), pp. 179-211

Persistent link: https://www.econbiz.de/10012006941

Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries : evidence from rolling windows and crossquantilogram analysis

Shahzad, Syed Jawad Hussain; Naifar, Nader; Hammoudeh, … - In: Energy economics 68 (2017), pp. 327-339

Persistent link: https://www.econbiz.de/10011905787

Re-assessing international stock return predictability : evidence from directional accuracy and excess profitability tests

Siliverstovs, Boriss - In: Applied economics letters 24 (2017) 1/3, pp. 1-3

Persistent link: https://www.econbiz.de/10011703719

The intraday directional predictability of large Australian stocks : a cross-quantilogram analysis

Todorova, Neda - In: Economic modelling 64 (2017), pp. 221-230

Persistent link: https://www.econbiz.de/10011760907

Interest rate movements and US consumers' inflation forecast errors : is there a link?

Baghestani, Hamid - In: Journal of economics and finance 40 (2016) 3, pp. 623-630

Persistent link: https://www.econbiz.de/10011659058

International sign predictability of stock returns : the role of the United States

Nyberg, Henri; Pönkä, Harri - In: Economic modelling 58 (2016), pp. 323-338

Persistent link: https://www.econbiz.de/10011647427

Forecasting the direction of the US stock market with dynamic binary probit models

Nyberg, Henri - In: International Journal of Forecasting 27 (2011) 2, pp. 561-578

Several empirical studies have documented that the signs of excess stock returns are, to some extent, predictable. In this paper, we consider the predictive ability of the binary dependent dynamic probit model in predicting the direction of monthly excess stock returns. The recession forecast...

Persistent link: https://www.econbiz.de/10011051464