This paper tests how default of a government is reflected in a bond market prior to its declaration to the public. There was an unsettled discussion on that the Ottoman moratorium was not surprise. The price of the General debt bond traded at the çIstanbul bourse of the Ottoman Empire between...

This study explores the relations between the development level of capital market sub-components, involving mutual/pension funds, corporate bond, stock and government bond markets, and economic growth over the period of 2006:M1 and 2016:M6 in Turkey. We find that there is a long-run...

This paper scrutinizes the effect of crude oil prices on herd behavior among investors in the Gulf Cooperation Council (GCC) stock markets. Using firm level data from Saudi Arabia, Qatar, Oman, Kuwait, Bahrain, Dubai and Abu Dhabi stock exchanges, we examine equity return dispersions within...

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

Utilizing a machine learning technique known as random forests, we study whether regional output growth uncertainty helps to improve the accuracy of forecasts of regional output growth for 12 regions of the UK using monthly data for the period from 1970 to 2020. We use a stochastic volatility...

This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to...

This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Australia, Canada and the USA. We extend the procedure of Gil-Alana (2008) for single structural break...

This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Australia, Canada and the USA. We extend the procedure of Gil-Alana (2008) for single structural break...

This paper shows that the structural breaks are an important characteristic of the monthly labor force participation rate (LFPR) series of Australia, Canada and the USA. Therefore we allow for endogenously determined multiple structural breaks in the empirical specifications of fractionally...

This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...