Directional predictability and time-varying spillovers between stock markets and economic cycles
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DOI: 10.1016/j.econmod.2017.10.003
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- Bekiros, Stelios & Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Ur Rehman, Mobeen, 2018. "Directional predictability and time-varying spillovers between stock markets and economic cycles," Economic Modelling, Elsevier, vol. 69(C), pages 301-312.
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Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 139-176, June.
- Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
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More about this item
Keywords
Business cycles; Stock markets; Quantile-on-quantile analysis; Cross-quantilogram; Spillover predictability;All these keywords.
JEL classification:
- B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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