Understanding the relationship between macroeconomic variables and the stock market is important because macroeconomic variables have a systematic effect on stock market returns. This study uses monthly data from India for the period from April 1994 to July 2018 to examine the long-run...

Forecasting stock market returns is one of the most effective tools for risk management and portfolio diversification. There are several forecasting techniques in the literature for obtaining accurate forecasts for investment decision making. Numerous empirical studies have employed such methods...

Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000...

The present study is on the five cryptocurrency daily mean return time series linearity dynamics during the Covid-19 period. These cryptocurrencies were chosen based on their influence on the market, primarily driven by its market capitalisation. Tether is included as the most important stable...

This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a new mathematical quantity. First, we apply recently...

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics , 55 , 406-422]. To...

Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization filter, for approximating the likelihood of...

Exploring the causal relationship between energy consumption and economic growth is important in energy economics. We performed an empirical re-examination of the causal interactions between these two factors in South Korea. As most previous studies in South Korea overlook the nonlinear behavior...

This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher‐order...