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Macro variables and international stock return predictability

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Cited by:

  1. Goodness C. Aye & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Forecasting US real private residential fixed investment using a large number of predictors," Empirical Economics, Springer, vol. 51(4), pages 1557-1580, December.
  2. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss," Journal of International Money and Finance, Elsevier, vol. 104(C).
  3. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  4. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2023. "Liquidity yield and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 137(C).
  5. Konstantin Makrelov & Channing Arndt & Rob Davies & Laurence Harris, 2018. "Stock-and-flow-consistent macroeconomic model for South Africa," WIDER Working Paper Series wp-2018-7, World Institute for Development Economic Research (UNU-WIDER).
  6. Erik Kole & Dick Dijk, 2017. "How to Identify and Forecast Bull and Bear Markets?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 120-139, January.
  7. Makrelov, Konstantin & Arndt, Channing & Davies, Rob & Harris, Laurence, 2020. "Balance sheet changes and the impact of financial sector risk-taking on fiscal multipliers," Economic Modelling, Elsevier, vol. 87(C), pages 322-343.
  8. Durden, Garey C. & Gaynor, Patricia E., 2015. "Publishing in The Journal of Regional Analysis and Policy and an Evaluation (via Citation Counts) of JRAP’s Influence on Scholarship in Regional Science," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 45(2).
  9. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
  10. Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
  11. Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
  12. Chi‐Chuan Lee & Chien‐Chiang Lee & Yizhong Wu, 2023. "The impact of COVID‐19 pandemic on hospitality stock returns in China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1787-1800, April.
  13. Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017. "Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.
  14. Friedrich, Christian & Klein, Melanie, 2009. "On the look-out for the bear: Predicting stock market downturns in G7 countries," Kiel Advanced Studies Working Papers 451, Kiel Institute for the World Economy (IfW Kiel).
  15. Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  16. Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.
  17. Sirucek, Martin, 2012. "The impact of money supply on stock prices and stock bubbles," MPRA Paper 40919, University Library of Munich, Germany.
  18. Hadhri, Sinda & Ftiti, Zied, 2017. "Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 39-60.
  19. Celebi, Kaan & Hönig, Michaela, 2018. "Dynamic macroeconomic effects on the German stock market before and after the financial crisis," Working Paper Series 13, Frankfurt University of Applied Sciences, Faculty of Business and Law.
  20. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2014. "Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(4), pages 510-535, August.
  21. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  22. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
  23. Helmut Herwartz & Leonardo Morales-Arias, 2009. "In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors," The European Journal of Finance, Taylor & Francis Journals, vol. 15(1), pages 1-28.
  24. Lumengo BONGA-BONGA, 2010. "Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach," EcoMod2010 259600034, EcoMod.
  25. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
  26. Lv, Wendai & Qi, Jipeng, 2022. "Stock market return predictability: A combination forecast perspective," International Review of Financial Analysis, Elsevier, vol. 84(C).
  27. Gupta, Rangan & Wohar, Mark, 2017. "Forecasting oil and stock returns with a Qual VAR using over 150years off data," Energy Economics, Elsevier, vol. 62(C), pages 181-186.
  28. Chen, Shiu-Sheng, 2009. "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 211-223, February.
  29. Maitra, Debasish & Rehman, Mobeen Ur & Dash, Saumya Ranjan & Kang, Sang Hoon, 2021. "Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications," Energy Economics, Elsevier, vol. 102(C).
  30. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  31. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," LIDAM Discussion Papers CORE 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  32. Christian Pierdzioch & Daniel Hartmann, 2013. "Forecasting Eurozone real-estate returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(14), pages 1185-1196, July.
  33. Daniel Hartmann & Christian Pierdzioch, 2007. "International equity flows and the predictability of US stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 583-599.
  34. Westerlund, Joakim & Sharma, Susan Sunila, 2019. "Panel evidence on the ability of oil returns to predict stock returns in the G7 area," Energy Economics, Elsevier, vol. 77(C), pages 3-12.
  35. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
  36. Bonga-Bonga, Lumengo & Mwamba, Muteba, 2015. "A multivariate model for the prediction of stock returns in an emerging market: A comparison of parametric and non-parametric models," MPRA Paper 62028, University Library of Munich, Germany.
  37. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
  38. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
  39. Plastun, Alex & Bouri, Elie & Gupta, Rangan & Ji, Qiang, 2022. "Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  40. Peiró, Amado, 2016. "Stock prices and macroeconomic factors: Some European evidence," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 287-294.
  41. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark Wohar, 2020. "Volatility forecasting with bivariate multifractal models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 155-167, March.
  42. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2023. "Tail risks and forecastability of stock returns of advanced economies: evidence from centuries of data," The European Journal of Finance, Taylor & Francis Journals, vol. 29(4), pages 466-481, March.
  43. Balcilar, Mehmet & Bathia, Deven & Demirer, Riza & Gupta, Rangan, 2021. "Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 290-302.
  44. Allan W. Gregory & Hui Zhu, 2014. "Testing the value of lead information in forecasting monthly changes in employment from the Bureau of Labor Statistics," Applied Financial Economics, Taylor & Francis Journals, vol. 24(7), pages 505-514, April.
  45. Gupta, Rangan & Modise, Mampho P., 2012. "South African stock return predictability in the context data mining: The role of financial variables and international stock returns," Economic Modelling, Elsevier, vol. 29(3), pages 908-916.
  46. Wu, Shue-Jen, 2023. "The role of the past long-run oil price changes in stock market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 274-291.
  47. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  48. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  49. Hassani, Hossein & Yeganegi, Mohammad Reza & Gupta, Rangan, 2019. "Does inequality really matter in forecasting real housing returns of the United Kingdom?," International Economics, Elsevier, vol. 159(C), pages 18-25.
  50. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators," Finance Research Letters, Elsevier, vol. 13(C), pages 196-204.
  51. Long, Huaigang & Zaremba, Adam & Zhou, Wenyu & Bouri, Elie, 2022. "Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns," Journal of Financial Markets, Elsevier, vol. 61(C).
  52. Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
  53. Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta & Riza Demirer, 2018. "Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?," Working Papers 201880, University of Pretoria, Department of Economics.
  54. Yuksel ILTAS & Umit BULUT, 2016. "The relationships among the returns of investment instruments: a vector autoregressive approach for Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 273-280, Winter.
  55. Straetmans, S.T.M. & Candelon, B. & Ahmed, J., 2012. "Predicting and capitalizing on stock market bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  56. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 308-325.
  57. Christou, Christina & Gupta, Rangan & Jawadi, Fredj, 2021. "Does inequality help in forecasting equity premium in a panel of G7 countries?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  58. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2018. "How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 139-169, January.
  59. Gupta, Rangan & Mwamba, John W. Muteba & Wohar, Mark E., 2018. "The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach," Finance Research Letters, Elsevier, vol. 25(C), pages 131-136.
  60. Rangan Gupta & Hylton Hollander & Rudi Steinbach, 2020. "Forecasting output growth using a DSGE-based decomposition of the South African yield curve," Empirical Economics, Springer, vol. 58(1), pages 351-378, January.
  61. Gupta, Rangan & Pierdzioch, Christian & Vivian, Andrew J. & Wohar, Mark E., 2019. "The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests," Finance Research Letters, Elsevier, vol. 29(C), pages 315-322.
  62. Chiou, Wan-Jiun Paul & Knewtson, Heather S. & Nofsinger, John R., 2019. "Paying attention to social media stocks," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 106-119.
  63. Hartmann, Daniel & Pierdzioch, Christian, 2006. "Nonlinear Links between Stock Returns and Exchange Rate Movements," MPRA Paper 558, University Library of Munich, Germany.
  64. Alain Kabundi & Eliphas Ndou & Nombulelo Gumata, 2013. "Important Channels of Transmission Monetary Policy Shock in South Africa," Working Papers 375, Economic Research Southern Africa.
  65. Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2018. "The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(7), pages 705-719, November.
  66. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Westerlund, Joakim, 2016. "Are Islamic stock returns predictable? A global perspective," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 210-223.
  67. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
  68. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous forecasters and nonlinear expectation formation in the US stock market," Kiel Working Papers 1947, Kiel Institute for the World Economy (IfW Kiel).
  69. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
  70. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2017. "Further evidence on bear market predictability: The role of the external finance premium," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 106-121.
  71. Shi, Jinyan & Yu, Conghui & Liu, Xiangkun & Li, Yanxi, 2020. "Predicting firm stock returns with customer stock returns: Moderating effects of customer characteristics," Research in International Business and Finance, Elsevier, vol. 54(C).
  72. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2016. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(8), pages 1935-1955, August.
  73. Nuno Silva, 2013. "Equity Premia Predictability in the EuroZone," GEMF Working Papers 2013-22, GEMF, Faculty of Economics, University of Coimbra.
  74. Shaun de Jager & Chris Loewald & Konstantin Makrelov & Xolani Sibande, 2022. "Leaningagainstthewindwithfiscalandmonetarypolicy," Working Papers 11033, South African Reserve Bank.
  75. Michael Steiner, 2009. "Predicting premiums for the market, size, value, and momentum factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 137-155, June.
  76. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  77. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
  78. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2008. "Economic and financial crises and the predictability of U.S. stock returns," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 468-480, June.
  79. Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2023. "Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(3), pages 365-381, July.
  80. Rocha Armada, Manuel J. & Sousa, Ricardo M. & Wohar, Mark E., 2015. "Consumption growth, preference for smoothing, changes in expectations and risk premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 80-97.
  81. Wegener, Christian & von Nitzsch, Rüdiger & Cengiz, Cetin, 2010. "An advanced perspective on the predictability in hedge fund returns," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2694-2708, November.
  82. Bouri, Elie & Gupta, Rangan, 2021. "Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty," Finance Research Letters, Elsevier, vol. 38(C).
  83. Dladla, Pholile & Malikane, Christopher, 2019. "Stock return predictability: Evidence from a structural model," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 412-424.
  84. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "International stock return predictability: Evidence from new statistical tests," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 97-113.
  85. Mehmet Balcilar & Riza Demirer & Festus V. Bekun, 2021. "Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
  86. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
  87. Shiu-Sheng Chen, 2012. "Consumer confidence and stock returns over market fluctuations," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1585-1597, October.
  88. Hartmann, Daniel & Pierdzioch, Christian, 2007. "Exchange rates, interventions, and the predictability of stock returns in Japan," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 155-172, April.
  89. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  90. Helmut Herwartz & Konstantin A. Kholodilin, 2014. "In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(1), pages 15-31, January.
  91. Stig V. Møller & Jesper Rangvid, 2018. "Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect," Management Science, INFORMS, vol. 64(2), pages 573-591, February.
  92. Yi-Chieh Wen & Bin Li, 2020. "Lagged country returns and international stock return predictability during business cycle recession periods," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5005-5019, October.
  93. Steven J. Jordan & Andrew Vivian & Mark E. Wohar, 2015. "Location, location, location: currency effects and return predictability?," Applied Economics, Taylor & Francis Journals, vol. 47(18), pages 1883-1898, April.
  94. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
  95. Afees A. Salisu & Kazeem Isah & Ibrahim D. Raheem, 2018. "Testing the predictability of commodity prices in stock returns: A new perspective," Working Papers 061, Centre for Econometric and Allied Research, University of Ibadan.
  96. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
  97. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  98. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2017. "Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets," Working Papers 201728, University of Pretoria, Department of Economics.
  99. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "The risk premium of gold," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 140-159.
  100. Golab, Anna & Bannigidadmath, Deepa & Pham, Thach Ngoc & Thuraisamy, Kannan, 2022. "Economic policy uncertainty and industry return predictability – Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 433-447.
  101. Yuksel ILTAS & Umit BULUT, 2016. "The relationships among the returns of investment instruments: a vector autoregressive approach for Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(609), W), pages 273-280, Winter.
  102. Ahmad, Wasim & Sharma, Sumit Kumar, 2018. "Testing output gap and economic uncertainty as an explicator of stock market returns," Research in International Business and Finance, Elsevier, vol. 45(C), pages 293-306.
  103. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
  104. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
  105. Yu-Hau Hu & Shun-Jen Hsueh, 2013. "A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 134-147, December.
  106. Chew Lian Chua & G. C. Lim & Sarantis Tsiaplias, 2012. "A latent variable approach to forecasting the unemployment rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(3), pages 229-244, April.
  107. Ahmet Duran & Michael Bommarito, 2011. "A profitable trading and risk management strategy despite transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 829-848.
  108. Damir Tokic & Dave Jackson, 2023. "When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 184-197, May.
  109. Kaan Celebi & Michaela Hönig, 2019. "The Impact of Macroeconomic Factors on the German Stock Market: Evidence for the Crisis, Pre- and Post-Crisis Periods," IJFS, MDPI, vol. 7(2), pages 1-13, March.
  110. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  111. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2016. "Intraday return predictability, portfolio maximisation, and hedging," Emerging Markets Review, Elsevier, vol. 28(C), pages 105-116.
  112. Martin Širůček, 2012. "Effect of money supply on the Dow Jones Industrial Average stock index," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(2), pages 399-408.
  113. Pierre Giot & Mikael Petitjean, 2011. "On the statistical and economic performance of stock return predictive regression models: an international perspective," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 175-193.
  114. Gupta, Rangan & Huber, Florian & Piribauer, Philipp, 2020. "Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models," International Review of Financial Analysis, Elsevier, vol. 68(C).
  115. Ryan Compton & Syeed Khan, 2010. "An examination of the stability of short-run Canadian stock predictability," Economics Bulletin, AccessEcon, vol. 30(2), pages 1293-1306.
  116. Dinh Hoang Bach Phan & Thi Thao Nguyen Nguyen & Dat Thanh Nguyen, 2019. "A Study Of Indonesia’S Stock Market: How Predictable Is It?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-12, January.
  117. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
  118. Konstantin Makrelov & Channing Arndt & Rob Davies & Laurence Harris, 2018. "Stock-and-flow-consistent macroeconomic model for South Africa," WIDER Working Paper Series 007, World Institute for Development Economic Research (UNU-WIDER).
  119. Schmeling, Maik & Schrimpf, Andreas, 2011. "Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?," European Economic Review, Elsevier, vol. 55(5), pages 702-719, June.
  120. Naser, Hanan & Alaali, Fatema, 2015. "Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach," MPRA Paper 65295, University Library of Munich, Germany, revised 25 Jun 2015.
  121. Jonathan Iworiso & Spyridon Vrontos, 2020. "On the directional predictability of equity premium using machine learning techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 449-469, April.
  122. Shue-Jen Wu & Wei-Ming Lee, 2012. "Predicting the U.S. bear stock market using the consumption-wealth ratio," Economics Bulletin, AccessEcon, vol. 32(4), pages 3174-3181.
  123. Hanan Naser & Fatema Alaali, 2018. "Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach," Empirical Economics, Springer, vol. 55(4), pages 1757-1777, December.
  124. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  125. Suleman, Tahir & Gupta, Rangan & Balcilar, Mehmet, 2017. "Does country risks predict stock returns and volatility? Evidence from a nonparametric approach," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1173-1195.
  126. Rangan Gupta & Shawkat Hammoudeh & Beatrice D. Simo-Kengne & Soodabeh Sarafrazi, 2013. "Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?," Working Papers 201381, University of Pretoria, Department of Economics.
  127. Lawrenz, Jochen & Zorn, Josef, 2017. "Predicting international stock returns with conditional price-to-fundamental ratios," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 159-184.
  128. Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta & Riza Demirer, 2022. "Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2146-2152, April.
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