The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test
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DOI: 10.1016/j.mulfin.2018.04.002
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- Walid Bahloul & Mehmet Balcilar & Juncal Cunado & Rangan Gupta, 2017. "The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers 201725, University of Pretoria, Department of Economics.
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More about this item
Keywords
Economic and financial; Uncertainty; Commodity futures markets; Returns; Volatility; Nonparametric causality-in-quantiles test;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
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