Clement Kweku Kyei

TL;DR: In this paper, the authors employ the recently proposed nonparametric causality-in-quantiles test to analyse the predictability of returns and volatility of sixteen U.S. dollar-based exchange rates (for both developed and developing countries) over the monthly period of 1999:01-2012:03, based on information provided by a news-based measure of relative uncertainty.

TL;DR: In this article, the authors employ the recently proposed nonparametric causality-in-quantiles test to analyse the predictability of returns and volatility of sixteen U.S. dollar-based exchange rates (for both developed and developing countries) over the monthly period of 1999:01-2012:03, based on information provided by a news-based measure of relative uncertainty, i.e., the differential between domestic and U. S. uncertainties.

TL;DR: In this article, the authors used a k-th order nonparametric Granger causality test to analyze whether firm-level, economic policy and macroeconomic uncertainty indicators predict movements in real stock returns and their volatility.

TL;DR: The authors used the k-th-order nonparametric causality test at monthly frequency over the period of 1985:1 to 2016:06 to analyze whether geopolitical risks can predict movements in stock returns and volatil...

TL;DR: In this paper, a nonparametric causality-in-quantiles test was used to predict stock return and volatility of Hong Kong, Malaysia and South Korea based on measures of domestic and global economic policy uncertainties (EPU).