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Does the choice of estimator matter when forecasting returns?

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Cited by:

  1. Kelly Burns & Imad Moosa, 2017. "Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy?," Applied Economics, Taylor & Francis Journals, vol. 49(48), pages 4897-4910, October.
  2. Afees Salisu & Idris Adediran, 2021. "Uncertainty Due to Infectious Diseases and Energy Market Volatility," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-4.
  3. Amélie Charles & Olivier Darné & Jae H. Kim, 2022. "Stock return predictability: Evaluation based on interval forecasts," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 363-385, April.
  4. Smyth, Russell & Narayan, Paresh Kumar, 2015. "Applied econometrics and implications for energy economics research," Energy Economics, Elsevier, vol. 50(C), pages 351-358.
  5. Avdoulas, Christos & Bekiros, Stelios & Boubaker, Sabri, 2016. "Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach," Economic Modelling, Elsevier, vol. 58(C), pages 580-587.
  6. Narayan, Paresh Kumar & Gupta, Rangan, 2015. "Has oil price predicted stock returns for over a century?," Energy Economics, Elsevier, vol. 48(C), pages 18-23.
  7. Bentes, Sonia R. & Menezes, Rui, 2013. "On the predictability of realized volatility using feasible GLS," Journal of Asian Economics, Elsevier, vol. 28(C), pages 58-66.
  8. Juhro, Solikin M. & Iyke, Bernard Njindan, 2020. "Consumer confidence and consumption expenditure in Indonesia," Economic Modelling, Elsevier, vol. 89(C), pages 367-377.
  9. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
  10. Kumar, Dilip, 2015. "Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis," Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
  11. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2019. "Structural instability and predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  12. Salisu, Afees A. & Gupta, Rangan & Karmakar, Sayar & Das, Sonali, 2022. "Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty," Resources Policy, Elsevier, vol. 75(C).
  13. Salisu, Afees A. & Ademuyiwa, Idris & Isah, Kazeem O., 2018. "Revisiting the forecasting accuracy of Phillips curve: The role of oil price," Energy Economics, Elsevier, vol. 70(C), pages 334-356.
  14. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
  15. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
  16. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Thuraisamy, Kannan & Westerlund, Joakim, 2016. "Price discovery and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 224-235.
  17. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
  18. Salisu, Afees A. & Adediran, Idris A., 2019. "Assessing the inflation hedging potential of coal and iron ore in Australia," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  19. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2014. "Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 95-109.
  20. 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.
  21. Sharma, Susan Sunila & Narayan, Paresh Kumar & Thuraisamy, Kannan & Laila, Nisful, 2019. "Is Indonesia's stock market different when it comes to predictability?," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
  22. Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
  23. Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Energy Economics, Elsevier, vol. 41(C), pages 137-146.
  24. Afees A. Salisu & Juncal Cuñado & Kazeem Isah & Rangan Gupta, 2021. "Stock markets and exchange rate behavior of the BRICS," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1581-1595, December.
  25. Shi, Yanlin & Ho, Kin-Yip, 2015. "Modeling high-frequency volatility with three-state FIGARCH models," Economic Modelling, Elsevier, vol. 51(C), pages 473-483.
  26. Iyke, Bernard Njindan & Phan, Dinh Hoang Bach & Narayan, Paresh Kumar, 2022. "Exchange rate return predictability in times of geopolitical risk," International Review of Financial Analysis, Elsevier, vol. 81(C).
  27. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015. "Are Indian stock returns predictable?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
  28. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan S., 2015. "Can governance quality predict stock market returns? New global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 367-380.
  29. 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.
  30. Imad Moosa & Kelly Burns, 2016. "The random walk as a forecasting benchmark: drift or no drift?," Applied Economics, Taylor & Francis Journals, vol. 48(43), pages 4131-4142, September.
  31. Westerlund, Joakim & Narayan, Paresh Kumar & Zheng, Xinwei, 2015. "Testing for stock return predictability in a large Chinese panel," Emerging Markets Review, Elsevier, vol. 24(C), pages 81-100.
  32. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2020. "The inflation hedging properties of gold, stocks and real estate: A comparative analysis," Resources Policy, Elsevier, vol. 66(C).
  33. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2016. "Stock return predictability and determinants of predictability and profits," Emerging Markets Review, Elsevier, vol. 26(C), pages 153-173.
  34. Westerlund, Joakim & Urbain, Jean-Pierre, 2013. "On the implementation and use of factor-augmented regressions in panel data," Journal of Asian Economics, Elsevier, vol. 28(C), pages 3-11.
  35. Makin, Anthony J. & Narayan, Paresh Kumar & Narayan, Seema, 2014. "What expenditure does Anglosphere foreign borrowing fund?," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 63-78.
  36. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
  37. Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014. "Derivatives holdings and systemic risk in the U.S. banking sector," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 84-104.
  38. Afees A. Salisu & Raymond Swaray & Tirimisyu F. Oloko, 2017. "A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects," Working Papers 024, Centre for Econometric and Allied Research, University of Ibadan.
  39. Fan Zhang & Paresh Kumar Narayan & Neluka Devpura, 2021. "Has COVID-19 changed the stock return-oil price predictability pattern?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-10, December.
  40. Kazeem Isah & Ibrahim D. Raheem, 2018. "The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market," Working Papers 056, Centre for Econometric and Allied Research, University of Ibadan.
  41. Narayan, Paresh Kumar & Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Liu, Guangqiang, 2020. "Predicting exchange rate returns," Emerging Markets Review, Elsevier, vol. 42(C).
  42. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "The behavior of exchange rate and stock returns in high and low interest rate environments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 138-149.
  43. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "OPEC and non-OPEC oil production and the global economy," Energy Economics, Elsevier, vol. 50(C), pages 364-378.
  44. Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
  45. Ma, Feng & Liu, Jing & Wahab, M.I.M. & Zhang, Yaojie, 2018. "Forecasting the aggregate oil price volatility in a data-rich environment," Economic Modelling, Elsevier, vol. 72(C), pages 320-332.
  46. Afees A. Salisu & Abdulsalam Abidemi Sikiru, 2021. "Pandemics and the Asia-Pacific Islamic Stocks," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-5.
  47. Firouzi, Shahrokh & Wang, Xiangning, 2019. "A comparative study of exchange rates and order flow based on wavelet transform coherence and cross wavelet transform," Economic Modelling, Elsevier, vol. 82(C), pages 42-56.
  48. Kazeem O. Isah & Abdulkader C. Mahomedy & Elias A. Udeaja & Ojo J. Adelakun & Yusuf Yakubu & Danmecca Musa, 2022. "Revisiting the accuracy of inflation forecasts in Nigeria: The oil price–exchange rate–asymmetry perspectives," South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 329-348, September.
  49. Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Iyke, Bernard, 2019. "Do oil prices predict Indonesian macroeconomy?," Economic Modelling, Elsevier, vol. 82(C), pages 2-12.
  50. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
  51. Salisu, Afees A. & Adediran, Idris, 2020. "Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks," Resources Policy, Elsevier, vol. 66(C).
  52. Isah, Kazeem O. & Raheem, Ibrahim D., 2019. "The hidden predictive power of cryptocurrencies and QE: Evidence from US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  53. 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.
  54. Narayan, Paresh Kumar & Narayan, Seema & Phan, Dinh Hoang Bach, 2022. "Terrorism and international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  55. Amélie Charles & Olivier Darné & Jae H. Kim, 2016. "Stock Return Predictability: Evaluation based on prediction intervals," Working Papers hal-01295037, HAL.
  56. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
  57. Zhehao Huang & Zhenghui Li & Zhenzhen Wang, 2020. "Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
  58. Tule, Moses K. & Salisu, Afees A. & Chiemeke, Charles C., 2019. "Can agricultural commodity prices predict Nigeria's inflation?," Journal of Commodity Markets, Elsevier, vol. 16(C).
  59. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Sharma, Susan Sunila, 2019. "Does Islamic stock sensitivity to oil prices have economic significance?," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 497-512.
  60. Clements, Adam & Preve, Daniel P.A., 2021. "A Practical Guide to harnessing the HAR volatility model," Journal of Banking & Finance, Elsevier, vol. 133(C).
  61. Moses Tule & Afees A. Salisu & Charles Chimeke, 2018. "You are what you eat: The role of oil price in Nigeria inflation forecast," Working Papers 040, Centre for Econometric and Allied Research, University of Ibadan.
  62. Afees A. Salisu & Abdulsalam Abidemi Sikiru, 2023. "Stock returns and interest rate differential in high and low interest rate environments," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1713-1728, April.
  63. Narayan, Paresh Kumar & Narayan, Seema & Sharma, Susan Sunila, 2013. "An analysis of commodity markets: What gain for investors?," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3878-3889.
  64. Moses Tule & Afees Salisu & Charles Chiemeke, 2020. "Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 191-229, March.
  65. Ahamuefula E. Ogbonna & Olusanya E. Olubusoye, 2021. "Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
  66. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
  67. Stephan Smeekes & Joakim Westerlund, 2019. "Robust block bootstrap panel predictability tests," Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1089-1107, October.
  68. Afees A. Salisu & Raymond Swaray & Hadiza Sa'id, 2021. "Improving forecasting accuracy of the Phillips curve in OECD countries: The role of commodity prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2946-2975, April.
  69. Pönkä, Harri, 2016. "Real oil prices and the international sign predictability of stock returns," Finance Research Letters, Elsevier, vol. 17(C), pages 79-87.
  70. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  71. Narayan, Paresh Kumar & Liu, Ruipeng, 2018. "A new GARCH model with higher moments for stock return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 93-103.
  72. Salisu, Afees A. & Swaray, Raymond & Oloko, Tirimisiyu F., 2019. "Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables," Economic Modelling, Elsevier, vol. 76(C), pages 153-171.
  73. Raheem, Ibrahim D., 2021. "COVID-19 pandemic and the safe haven property of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 370-375.
  74. 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.
  75. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
  76. 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.
  77. Salisu, Afees A. & Ndako, Umar B. & Vo, Xuan Vinh, 2023. "Oil price and the Bitcoin market," Resources Policy, Elsevier, vol. 82(C).
  78. Elie Bouri & Afees A. Salisu & Rangan Gupta, 2023. "The predictive power of Bitcoin prices for the realized volatility of US stock sector returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
  79. Tumala, Mohammed M. & Salisu, Afees & Nmadu, Yaaba B., 2023. "Climate change and fossil fuel prices: A GARCH-MIDAS analysis," Energy Economics, Elsevier, vol. 124(C).
  80. Afees A. Salisu & Lateef O. Akanni & Rasheed O. Azeez, 2018. "Could this be a fiction? Bitcoin forecasts most tradable currency pairs better than ARFIMA," Working Papers 051, Centre for Econometric and Allied Research, University of Ibadan.
  81. Sharma, Susan Sunila & Thuraisamy, Kannan, 2013. "Oil price uncertainty and sovereign risk: Evidence from Asian economies," Journal of Asian Economics, Elsevier, vol. 28(C), pages 51-57.
  82. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Is carbon emissions trading profitable?," Economic Modelling, Elsevier, vol. 47(C), pages 84-92.
  83. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Commodity futures returns and policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 364-383.
  84. Afees A. Salisu & Rangan Gupta, 2023. "Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data," Working Papers 202339, University of Pretoria, Department of Economics.
  85. Fasanya, Ismail O. & Adekoya, Oluwasegun & Sonola, Ridwan, 2023. "Forecasting stock prices with commodity prices: New evidence from Feasible Quasi Generalized Least Squares (FQGLS) with non-linearities," Economic Systems, Elsevier, vol. 47(2).
  86. Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
  87. Liu, Li & Tan, Siming & Wang, Yudong, 2020. "Can commodity prices forecast exchange rates?," Energy Economics, Elsevier, vol. 87(C).
  88. Elie Bouri & Afees A. Salisu & Rangan Gupta, 2022. "Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns," Working Papers 202224, University of Pretoria, Department of Economics.
  89. Kim, Daehwan & Moneta, Fabio, 2021. "Long-term foreign exchange risk premia and inflation risk," International Review of Financial Analysis, Elsevier, vol. 78(C).
  90. Salisu, Afees A. & Ndako, Umar B. & Oloko, Tirimisiyu F., 2019. "Assessing the inflation hedging of gold and palladium in OECD countries," Resources Policy, Elsevier, vol. 62(C), pages 357-377.
  91. Adekunle, Wasiu & Bagudo, Abubakar M. & Odumosu, Monsuru & Inuolaji, Suraj B., 2020. "Predicting stock returns using crude oil prices: A firm level analysis of Nigeria's oil and gas sector," Resources Policy, Elsevier, vol. 68(C).
  92. Chiah, Mardy & Phan, Dinh Hoang Bach & Tran, Vuong Thao & Zhong, Angel, 2022. "Energy price uncertainty and the value premium," International Review of Financial Analysis, Elsevier, vol. 81(C).
  93. Afees A. Salisu & Ahamuefula E. Ogbonna & Idris Adediran, 2021. "Stock‐induced Google trends and the predictability of sectoral stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 327-345, March.
  94. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
  95. Salisu, Afees A. & Raheem, Ibrahim D. & Vo, Xuan Vinh, 2021. "Assessing the safe haven property of the gold market during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 74(C).
  96. Raifu, Isiaka Akande & Ogbonna, Ahamuefula E, 2021. "Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries," MPRA Paper 113139, University Library of Munich, Germany.
  97. Yin, Xiao-Cui & Li, Xin & Wang, Min-Hui & Qin, Meng & Shao, Xue-Feng, 2021. "Do economic policy uncertainty and its components predict China's housing returns?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  98. Chen-Yin Kuo, 2018. "Are the forecast errors of stock prices related to the degree of accounting conservatism?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-9.
  99. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
  100. Karabiyik, Hande & Westerlund, Joakim & Narayan, Paresh, 2016. "On the estimation and testing of predictive panel regressions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 115-125.
  101. Afees A. Salisu & Philip C. Omoke & Abdulsalam Abidemi Sikiru, 2023. "Geopolitical risk and global financial cycle: Some forecasting experiments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 3-16, January.
  102. Adediran, Idris A. & Swaray, Raymond, 2023. "Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty," Economic Modelling, Elsevier, vol. 123(C).
  103. Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh, 2014. "How profitable is the Indian stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 44-61.
  104. Laopodis, Nikiforos T., 2016. "Industry returns, market returns and economic fundamentals: Evidence for the United States," Economic Modelling, Elsevier, vol. 53(C), pages 89-106.
  105. 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.
  106. Narayan, Paresh Kumar & Ahmed, Huson Ali, 2014. "Importance of skewness in decision making: Evidence from the Indian stock exchange," Global Finance Journal, Elsevier, vol. 25(3), pages 260-269.
  107. Olubusoye, Olusanya E & Yaya, OlaOluwa S. & Ogbonna, Ahamuefula, 2021. "An Information-Based Index of Uncertainty and the predictability of Energy Prices," MPRA Paper 109839, University Library of Munich, Germany.
  108. Salisu, Afees A. & Olaniran, Abeeb & Tchankam, Jean Paul, 2022. "Oil tail risk and the tail risk of the US Dollar exchange rates," Energy Economics, Elsevier, vol. 109(C).
  109. Afees A. Salisu & Elias A. Udeaja & Silva Opuala-Charles, 2022. "Central Bank Independence And Price Stability Under Alternative Political Regimes: A Global Evidence," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(2), pages 155-172, August.
  110. Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
  111. Narayan, Paresh Kumar & Westerlund, Joakim, 2014. "Does cash flow predict returns?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 230-236.
  112. Abdulsalam Abidemi Sikiru & Afees A. Salisu, 2022. "Assessing the hedging potential of gold and other precious metals against uncertainty due to epidemics and pandemics," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(4), pages 2199-2214, August.
  113. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna & Mark E. Wohar, 2022. "Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1525-1556, November.
  114. Westerlund, Joakim & Narayan, Paresh, 2016. "Testing for predictability in panels of any time series dimension," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1162-1177.
  115. David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
  116. Afees A. Salisu & Rangan Gupta, 2021. "Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals," Working Papers 202144, University of Pretoria, Department of Economics.
  117. Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
  118. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2016. "Intraday return predictability, portfolio maximisation, and hedging," Emerging Markets Review, Elsevier, vol. 28(C), pages 105-116.
  119. Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Narayan, Seema, 2018. "Technology-investing countries and stock return predictability," Emerging Markets Review, Elsevier, vol. 36(C), pages 159-179.
  120. Rafiq, Shuddhasattwa & Bloch, Harry, 2016. "Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models," Resources Policy, Elsevier, vol. 50(C), pages 34-48.
  121. 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.
  122. Nonejad, Nima, 2018. "Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 260-270.
  123. Li, Sufang & Zhang, Hu & Yuan, Di, 2019. "Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests," Energy Economics, Elsevier, vol. 84(C).
  124. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Tran, Vuong Thao, 2018. "Can economic policy uncertainty predict stock returns? Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 134-150.
  125. Afees A. Salisu & Kazeem Isah & Lateef O. Akanni, 2018. "Predicting the stock prices of G7 countries with Bitcoin prices," Working Papers 054, Centre for Econometric and Allied Research, University of Ibadan.
  126. Afees A. Salisu & Juncal Cunado & Kazeem Isah & Rangan Gupta, 2020. "Oil Price and Exchange Rate Behaviour of the BRICS for Over a Century," Working Papers 202064, University of Pretoria, Department of Economics.
  127. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
  128. Makin, Anthony J. & Ratnasiri, Shyama, 2015. "Competitiveness and government expenditure: The Australian example," Economic Modelling, Elsevier, vol. 49(C), pages 154-161.
  129. Ali Altug Bicer & Isam Abdelhafid A. Milad, 2020. "The Impact of Firm Characteristics on the Level of Voluntary Disclosure: Evidence from Listed Banks in Borsa Istanbul," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 9(2), pages 13-25, April.
  130. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
  131. Salisu, Afees A. & Isah, Kazeem & Akanni, Lateef O., 2019. "Improving the predictability of stock returns with Bitcoin prices," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 857-867.
  132. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "Is stock return predictability time-varying?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 152-172.
  133. Afees A. Salisu & Abeeb Olaniran, 2022. "The U.S. Nonfarm Payroll and the out-of-sample predictability of output growth for over six decades," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4663-4673, December.
  134. Miriam Kamah & Joshua S. Riti, 2020. "Dissecting the Linkages between Variations in Crude Oil Price and Selected Macroeconomic Variables in Nigeria," Journal of Contemporary Research in Business, Economics and Finance, Michael Laurence, vol. 2(2), pages 37-46.
  135. Afees A. Salisu & Ahamuefula Ephraim Ogbonna & Paul Adeoye Omosebi, 2018. "Does the choice of estimator matter for forecasting? A revisit," Working Papers 053, Centre for Econometric and Allied Research, University of Ibadan.
  136. Narayan, Paresh Kumar & Ahmed, Huson Ali & Narayan, Seema, 2017. "Can investors gain from investing in certain sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 160-177.
  137. Westerlund, Joakim & Thuraisamy, Kannan, 2016. "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, vol. 28(C), pages 44-60.
  138. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
  139. Narayan, Paresh Kumar & Sharma, Susan Sunila & Bannigidadmath, Deepa, 2013. "Does tourism predict macroeconomic performance in Pacific Island countries?," Economic Modelling, Elsevier, vol. 33(C), pages 780-786.
  140. Salisu, Afees A. & Gupta, Rangan & Pierdzioch, Christian, 2022. "Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks☆," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  141. Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  142. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.
  143. Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil prices over 150 years: The role of tail risks," Resources Policy, Elsevier, vol. 75(C).
  144. Paresh Narayan & Russell Smyth, 2014. "Applied Econometrics and a Decade of Energy Economics Research," Monash Economics Working Papers 21-14, Monash University, Department of Economics.
  145. Alqahtani, Abdullah & Bouri, Elie & Vo, Xuan Vinh, 2020. "Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 239-249.
  146. Liang, Jin & Zhao, Yuejuan & Zhang, Xudan, 2016. "Utility indifference valuation of corporate bond with credit rating migration by structure approach," Economic Modelling, Elsevier, vol. 54(C), pages 339-346.
  147. Salisu, Afees A. & Olaniran, Abeeb & Lasisi, Lukman, 2023. "Climate risk and gold," Resources Policy, Elsevier, vol. 82(C).
  148. Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
  149. Vidal, Marta & Vidal-García, Javier & Lean, Hooi Hooi & Uddin, Gazi Salah, 2015. "The relation between fees and return predictability in the mutual fund industry," Economic Modelling, Elsevier, vol. 47(C), pages 260-270.
  150. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Adewuyi, Adeolu, 2020. "Google trends and the predictability of precious metals," Resources Policy, Elsevier, vol. 65(C).
  151. Nima Nonejad, 2021. "Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1387-1411, August.
  152. Iyke, Bernard Njindan & Tran, Vuong Thao & Narayan, Paresh Kumar, 2021. "Can energy security predict energy stock returns?," Energy Economics, Elsevier, vol. 94(C).
  153. Rehman, Mobeen Ur & Raheem, Ibrahim D. & Zeitun, Rami & Vo, Xuan Vinh & Ahmad, Nasir, 2023. "Do oil shocks affect the green bond market?," Energy Economics, Elsevier, vol. 117(C).
  154. Afees A. Salisu & Raymond Swaray & Idris Adediran, 2018. "Improving the predictability of commodity prices in US inflation: The role of coffee price," Working Papers 041, Centre for Econometric and Allied Research, University of Ibadan.
  155. Iyke, Bernard Njindan & Ho, Sin-Yu, 2021. "Stock return predictability over four centuries: The role of commodity returns," Finance Research Letters, Elsevier, vol. 40(C).
  156. Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
  157. Salisu, Afees A. & Isah, Kazeem O. & Raheem, Ibrahim D., 2019. "Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach," Resources Policy, Elsevier, vol. 64(C).
  158. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2017. "Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks," Pacific-Basin Finance Journal, Elsevier, vol. 42(C), pages 24-45.
  159. Afees A. Salisu & Rangan Gupta & Christian Pierdzioch, 2021. "Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks," Working Papers 202127, University of Pretoria, Department of Economics.
  160. Adekoya, Oluwasegun B. & Ogunbowale, Gideon O. & Akinseye, Ademola B. & Oduyemi, Gabriel O., 2021. "Improving the predictability of stock returns with global financial cycle and oil price in oil-exporting African countries," International Economics, Elsevier, vol. 168(C), pages 166-181.
  161. Vu Ngoc Nguyen & Dat Thanh Nguyen, 2020. "Can Crude Oil Price be a Predictor of Stock Index Return? Evidence from Vietnamese Stock Market," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(1), pages 13-21, January.
  162. Salisu, Afees A. & Ndako, Umar B. & Vo, Xuan Vinh, 2023. "Transition risk, physical risk, and the realized volatility of oil and natural gas prices," Resources Policy, Elsevier, vol. 81(C).
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