Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
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- Bekiros, Stelios & Gupta, Rangan, 2015. "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, vol. 131(C), pages 83-85.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bekiros, Stelios & Gupta, Rangan & Majumdar, Anandamayee, 2016.
"Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis,"
Finance Research Letters,
Elsevier, vol. 18(C), pages 291-296.
- Stelios Bekiros & Rangan Gupta & Anandamayee Majumdar, 2015. "Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis," Working Papers 201545, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Gupta, Rangan & Sousa, Ricardo M. & Wohar, Mark E., 2017. "Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 269-279.
- Chang, Tsangyao & Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian, 2019.
"Predicting stock market movements with a time-varying consumption-aggregate wealth ratio,"
International Review of Economics & Finance,
Elsevier, vol. 59(C), pages 458-467.
- Tsangyao Chang & Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch, 2017. "Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio," Working Papers 201756, University of Pretoria, Department of Economics.
- Rangan Gupta & Anandamayee Majumdar & Mark E. Wohar, 2017.
"The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach,"
Open Economies Review,
Springer, vol. 28(1), pages 47-59, February.
- Rangan Gupta & Anandamayee Majumdar & Mark Wohar, 2016. "The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach," Working Papers 201612, University of Pretoria, Department of Economics.
- repec:eee:ecofin:v:47:y:2019:i:c:p:65-84 is not listed on IDEAS
More about this item
Keywordscay; Stock markets; Volatility; Nonlinear causality;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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