Is stock return predictability time-varying?

Keywords

Predictability, Econometrics, Stock (firearms), Volatility (finance), Stock market

References

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• Time-varying rare disaster risk and stock returnsHenk Berkman, Ben Jacobsen, John B. Lee — 2011
• Has oil price predicted stock returns for over a centuryParesh Kumar Narayan, Rangan Gupta — 2015
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• Time-varying short-horizon predictability ☆Sam James Henkel, J. Spencer Martin, Federico Nardari — 2008
• Is carbon emissions trading profitableParesh Kumar Narayan, Susan Sunila Sharma — 2015
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Cited by

• Revisiting the forecasting accuracy of Phillips curve: The role of oil priceAfees A. Salisu, Idris Ademuyiwa, Kazeem O. Isah — 2018
• Testing for asymmetries in the predictive model for oil price-inflation nexusAfees A. Salisu, Kazeem O. Isah, Idris Ademuyiwa — 2017
• Directional predictability and time-varying spillovers between stock markets and economic cyclesStelios Bekiros, Syed Jawad Hussain Shahzad, Jose Arreola‐Hernandez — 2017
• A sectoral analysis of asymmetric nexus between oil and stockAfees A. Salisu, Ibrahim D. Raheem, Umar B. Ndako — 2017
• A new look at the stock price-exchange rate nexusAfees A. Salisu, Umar B. Ndako — 2017
• You are what you eat: The role of oil price in Nigeria inflation forecastMoses K. Tule, Afees A. Salisu, Chiemeke, Charles — 2018
• Improving the predictability of commodity prices in US inflation: The role of coffee priceAfees A. Salisu, Raymond Swaray, Idris A. Adediran — 2018
• A new GARCH model with higher moments for stock return predictabilityParesh Kumar Narayan, Ruipeng Liu — 2018
• Does the choice of estimator matter for forecasting? A revisitAfees A. Salisu, Ahamuefula E. Ogbonna, Paul Adeoye Omosebi — 2018
• Can economic policy uncertainty predict stock returns? Global evidenceDinh Hoang Bach Phan, Susan Sunila Sharma, Vuong Thao Tran — 2018
• Predicting the stock prices of G7 countries with Bitcoin pricesAfees A. Salisu, Kazeem O. Isah, Lateef O. Akanni — 2018
• The hidden predictive power of cryptocurrencies and QE: Evidence from US stock marketKazeem O. Isah, Ibrahim D. Raheem — 2019
• Multifractal characteristics and return predictability in the Chinese stock marketsXin-Lan Fu, Xing-Lu Gao, Zheng Shan — 2018
• Forecasting the prices of crude oil using the predictor, economic and combined constraintsYongsheng Yi, Feng Ma, Yaojie Zhang — 2018
• Improving the predictability of the oil–US stock nexus: The role of macroeconomic variablesAfees A. Salisu, Raymond Swaray, Tirimisiyu F. Oloko — 2019
• Oil price and automobile stock return co-movement: A wavelet coherence analysisDebdatta Pal, Subrata Kumar Mitra — 2019
• Study on Singular Spectrum Analysis as a New Technical Oscillator for Trading Rules DesignMichel C. R. Leles, Leonardo Amaral Mozelli, Cairo Lúcio Nascimento — 2018
• Improving the predictability of stock returns with Bitcoin pricesAfees A. Salisu, Kazeem Isah, Lateef O. Akanni — 2019
• Improving the Forecast Accuracy of Oil-Stock Nexus in GCC CountriesOnuoha Ikwor Nnachi — 2018
• CAN ECONOMIC POLICY UNCERTAINTY PREDICT EXCHANGE RATE AND ITS VOLATILITY? EVIDENCE FROM ASEAN COUNTRIESDinh Hoang Bach Phan, Solikin M. Juhro — 2018

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