Journal ArticleDOI
The interactive relationship between the US economic policy uncertainty and BRIC stock markets
Imen Dakhlaoui,Chaker Aloui +1 more
TLDR
In this article, the authors investigate the dynamics of volatility spillovers between the US economic policy uncertainty and the BRIC equity markets and find that there is strong evidence of a time-varying correlation between US economic uncertainty and stock market volatility.About:
This article is published in International Economics.The article was published on 2016-08-01. It has received 112 citations till now. The article focuses on the topics: BRIC & Stock market index.read more
Citations
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Journal ArticleDOI
Modelling Financial Time Series
TL;DR: In this article, a computer program for modelling financial time series is presented, based on the Random Walk Hypothesis, which is used to forecast trends in prices in futures markets.
Journal ArticleDOI
Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression
TL;DR: In this article, the authors investigated the impact of crude oil shocks and China's economic policy uncertainty on stock returns at different locations on the return distributions, based on monthly data from 1995:1 to 2016:3.
Journal ArticleDOI
Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations
TL;DR: This paper investigated the effects of oil price shocks and economic policy uncertainty on the stock returns of oil and gas companies and found that an oil demand-side shock has a positive effect on the return of oil companies on average, whereas shocks to policy uncertainty have a negative effect on return.
Journal ArticleDOI
Can economic policy uncertainty predict stock returns? Global evidence
TL;DR: In this paper, the ability of EPU to forecast stock returns depends not only on the country used, but also on the sectors examined, suggesting that EPU is relatively more important for some countries (sectors) than others.
Journal ArticleDOI
Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities
TL;DR: In this paper, the authors apply a graph theory approach that incorporates a dynamic conditional correlation model to disclose the dynamics of information integration and investigate the impact of political, war, macroeconomic and financial events on the changes in information flow among implied volatility indices.
References
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Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
Book
Time series analysis, forecasting and control
TL;DR: In this article, a complete revision of a classic, seminal, and authoritative book that has been the model for most books on the topic written since 1970 is presented, focusing on practical techniques throughout, rather than a rigorous mathematical treatment of the subject.
Journal ArticleDOI
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.