This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche...

This paper applies several causality tests to analyze whether sunspot numbers (used as an approximate proxy for the solar activity) cause global temperatures, using monthly data covering the time period 1880:1-2013:9. Both parametric and non-parametric causality tests are performed, which...

As technology continues to revolutionise today’s economy, Big Data, Blockchain and Cryptocurrency are rapidly transforming themselves into mainstream functions within the financial services industry. This book examines each concept individually, analysing the opportunities and challenges they...

As technology continues to revolutionise today’s economy, Big Data, Blockchain and Cryptocurrency are rapidly transforming themselves into mainstream functions within the financial services industry. This book examines each concept individually, analysing the opportunities and challenges they...

This paper seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate, and statistically significant forecasts for gold price. We report the results from the 9 most competitive techniques. Special consideration is given to the ability...

Accurate forecasts of home sales can provide valuable information for not only, policy makers, but also financial institutions and real estate professionals. Given this, our analysis compares the ability of two different versions of Singular Spectrum Analysis (SSA) methods, namely Recurrent SSA...

This paper seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate, and statistically significant forecasts for gold price. We report the results from the 9 most competitive techniques. Special consideration is given to the ability...