Search Results - subject:"Nonparametric causality-in-quantiles test"

Stock market volatility and multi-scale positive and negative bubbles

Gupta, Rangan; Nel, Jacobus; Nielsen, Joshua; … - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10015359814

Implied skewness of the treasury yield : a new predictor for stock market bubbles

Polat, Onur; Gupta, Rangan; Demirer, Rıza; Bouri, Elie - 2025

Persistent link: https://www.econbiz.de/10015467592

Supply constraints and conditional distribution predictability of inflation and its volatility : a non-parametric mixed-frequency causality-in-quantiles approach

Caporin, Massimiliano; Gupta, Rangan; Subramaniam, Sowmya; … - 2025

Persistent link: https://www.econbiz.de/10015440868

Climate risks and predictability of the conditional distributions of rare earth stock returns and volatility

Polat, Onur; Gupta, Rangan; Bouri, Elie; Brahim, Mariem - 2025

Persistent link: https://www.econbiz.de/10015398290

Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country : the case of India

Cepni, Oguzhan; Gupta, Rangan; Nel, Jacobus; Nielsen, Joshua - In: Financial innovation : FIN 11 (2025), pp. 1-25

We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using weekly data from November 2003 to December 2020. We use a nonparametric...

Persistent link: https://www.econbiz.de/10015560240