The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data-Reference-Cited by-同舟云学术

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The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data

Published:2019-01 Issue: Volume:47 Page:391-405
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Gupta Rangan,Risse Marian,Volkman David A.,Wohar Mark E.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference37 articles.

1. What does the yield curve tell us about GDP growth?;Ang;Journal of Econometrics,2006

2. Multivariate causality tests with simulation and application;Bai;Statistics & Probability Letters,2011

3. Computation and analysis of multiple structural change models;Bai;Journal of Applied Econometrics,2003

4. Multivariate linear and nonlinear causality tests;Bai;Mathematics and Computers in Simulation,2010

5. The role of news-based uncertainty indices in predicting oil markets: A hybrid nonparametric quantile causality method;Balcilar;Empirical Economics,2017

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dynamic relationships between commodity prices and local housing market: evidence for linear and nonlinear causality;Applied Economics;2020-11-29

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