Nothing Special   »   [go: up one dir, main page]
create a website
Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability. (2018). Plakandaras, Vasilios ; GUPTA, RANGAN.
In: Working Papers.
RePEc:pre:wpaper:201836.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 26

References cited by this document

Cocites: 28

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Sheng, Xin ; Cunado, Juncal.
    In: Working Papers.
    RePEc:pre:wpaper:201952.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Almail, A., and Almudhaf, F. (2017). Adaptive Market Hypothesis: Evidence from three centuries of UK data. Economics and Business Letters, 6(2), 48-53.

  2. Aye, G.C., Chang, T., Chen W-Y, Gupta, R., and Wohar, M.E. (2017b). Testing the Efficiency of the Art Market Using Quantile‐Based Unit Root Tests with Sharp and Smooth Breaks. The Manchester School. DOI: https://doi.org/10.1111/manc.12192.
    Paper not yet in RePEc: Add citation now

  3. Aye, G.C., Gil-Alana, L.A., Gupta, R., and Wohar, M.E. (2017a). The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches. International Review of Economics & Finance, 51, 283-294.

  4. Balcilar, M., Gupta, R., Kyei, C., and Wohar, M.E. (2016). Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test. Open Economies Review, 27(2), 229-250.

  5. Bhattacharya, S.N., Bhattacharya, M., and Roychoudhury, B. (2018). Behaviour of the Foreign Exchange Rates of BRICS: Is it Chaotic? The Journal of Prediction Markets, 11(2), 1-19.
    Paper not yet in RePEc: Add citation now

  6. Charfeddine, L., Ben Khediri, K., Aye, G.C., and Gupta, R. (2018). Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data. Physica A: Statistical Mechanics and its Applications, 505, 632-647.

  7. Charles, A., Darné, O., and Kim, J.H. (2012). Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates. Journal of International Money and Finance, 31(6), 1607-1626. Christou, C., Gupta, R., Hassapis, C., and Suleman, T. (Forthcoming). The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions. Journal of Forecasting.

  8. Chung, J., and Hong, Y. (2007). Model-free evaluation of directional predictability in foreign exchange markets. Journal of Applied Econometrics, 22, 855–889.

  9. Fama E. (1965). The behaviour of stock market prices. Journal of Business, 38, 34–105.
    Paper not yet in RePEc: Add citation now
  10. Government of India (2012) The BRICS Report (New Delhi 2012). Oxford University Press, Oxford. http://www.g20civil.com/documents/brics/brics-report.pdf.
    Paper not yet in RePEc: Add citation now
  11. Hong Y., and Chung J. (2006). Are the directions of stock price changes predictable? A generalized cross-spectral approach. Working paper, Department of Economics, Cornell University.
    Paper not yet in RePEc: Add citation now
  12. Hurst, H. E. (1951). Long-term storage capacity of reservoirs. Transactions of the American Society of Civil Engineers, 116, 770–799.
    Paper not yet in RePEc: Add citation now

  13. Kumar, A.S., and Kamaiah, B. (2016). Efficiency, non-linearity and chaos: evidences from BRICS foreign exchange markets. Theoretical and Applied Economics, XXIII(1), 103-118.

  14. Linton, O., and Whang, Y-J. (2007). A Quantilogram Approach to Evaluating Directional Predictability. Journal of Econometrics, 141, 250-282.
    Paper not yet in RePEc: Add citation now
  15. Lo A.W. (2004). The adaptive markets hypothesis: Market efficiency from an evolutionary perspective. Journal of Portfolio Management, 30, 15–29.
    Paper not yet in RePEc: Add citation now
  16. Lo A.W. (2005). Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis. Journal of Investment Consulting, 7, 21–44.
    Paper not yet in RePEc: Add citation now

  17. Meese R.A., and Rogoff K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample? Journal of International Economics, 14, 3–24.

  18. Papadimitriou, T., Gogas, P., and Plakandaras, V. (2016). Testing Exchange Rate models in a Small Open Economy: an SVR approach. Bulletin of Applied Economics, 3(2), 6-29.

  19. Peng, C. K., Buldyrev, S. V., and Havlin, S. (1994). Mosaic organization of DNA nucleotides, Physical Review E, 49, 1685–9.
    Paper not yet in RePEc: Add citation now

  20. Plakandaras, V., Papadimitriou, T., and Gogas, P. (2013). Directional forecasting in financial time series using support vector machines: the USD/ Euro exchange rate. Journal of Computational Optimization in Economics and Finance, 5(2) 125-138.

  21. Plakandaras, V., Papadimitriou, T., and Gogas, P. (2015a). Forecasting monthly and daily exchange rates with machine learning methodologies. Journal of Forecasting, 34(7), 560-573.

  22. Plakandaras, V., Papadimitriou, T., and Gogas, P. and Konstantinos, D. (2015b). Market Sentiment and Exchange Rate Directional Forecasting. Algorithmic Finance, 4(1-2), 69-79.

  23. Ruzima, M., and Boachie, M.K. (2017). Exchange rate uncertainty and private investment in BRICS economies. Asia-Pacific Journal of Regional Science. DOI: 10.1007/s41685-0170062 -0.
    Paper not yet in RePEc: Add citation now
  24. Samuelson P.A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41–9.
    Paper not yet in RePEc: Add citation now

  25. Taylor MP. 1995. The economics of exchange rates. Journal of Economic Literature, 33, 13– 47. Tiwari, A.K., Aye, G.C., and Gupta, R. (Forthcoming). Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach. Finance Research Letters.

  26. Wilson D., and Purushothaman, R. (2003) Dreaming With BRICs: The Path to 2050. Goldman Sachs Global Economics, Paper No. 99.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. The influence of economic policy uncertainty shocks on art market. (2023). Tiwari, Aviral ; Gil-Alana, Luis ; Abakah, Emmanuel ; Arthur, Emmanuel Kwesi.
    In: Applied Economics.
    RePEc:taf:applec:v:55:y:2023:i:29:p:3404-3421.

    Full description at Econpapers || Download paper

  2. Quantile Dependence between Crude Oil and China’s Biofuel Feedstock Commodity Market. (2023). Huang, KE ; Shahbaz, Muhammad ; Zhu, Huiming ; Hau, Liya.
    In: Sustainability.
    RePEc:gam:jsusta:v:15:y:2023:i:11:p:8980-:d:1162316.

    Full description at Econpapers || Download paper

  3. Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market. (2023). Wang, Fang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:84:y:2023:i:c:p:318-331.

    Full description at Econpapers || Download paper

  4. Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?. (2022). Kamal, Javed Bin ; Wohar, Mark.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003646.

    Full description at Econpapers || Download paper

  5. Category-specific EPU indices, macroeconomic variables and stock market return predictability. (2022). Li, Pan ; Dong, Dayong ; Lu, Xinjie ; Zeng, Qing.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003039.

    Full description at Econpapers || Download paper

  6. Corporate governance and investment sensitivity to policy uncertainty in Brazil. (2022). Caixe, Daniel Ferreira.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014121000911.

    Full description at Econpapers || Download paper

  7. Investor sentiment and Bitcoin relationship: A quantile-based analysis. (2022). Mokni, Khaled ; Nakhli, Mohamed Sahbi ; Bouteska, Ahmed.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000171.

    Full description at Econpapers || Download paper

  8. Persistence in the Passion Investment Market. (2022). Havrylina, Ahniia ; Plastun, Alex ; Gil-Alana, Luis A ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_9586.

    Full description at Econpapers || Download paper

  9. Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. (2021). Krištoufek, Ladislav ; Demir, Ender ; Mitra, Subrata Kumar ; Assaf, Ata.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317.

    Full description at Econpapers || Download paper

  10. S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA. (2020). Rao, Siva Nageswara ; Malepati, Venkataramanaiah ; Challa, Madhavi Latha.
    In: Financial Innovation.
    RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00201-5.

    Full description at Econpapers || Download paper

  11. The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 55 Countries. (2020). GUPTA, RANGAN ; Ji, Qiang ; Sheng, Xin.
    In: Working Papers.
    RePEc:pre:wpaper:202024.

    Full description at Econpapers || Download paper

  12. Testing the white noise hypothesis in high-frequency housing returns of the United States. (2020). GUPTA, RANGAN ; Tiwari, Aviral Kumar ; Sheng, Xin ; Cunado, Juncal.
    In: Economics and Business Letters.
    RePEc:ove:journl:aid:14521.

    Full description at Econpapers || Download paper

  13. Graph theory-based network analysis of regional uncertainties of the US Economy. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Sheng, Xin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317315.

    Full description at Econpapers || Download paper

  14. Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data. (2020). GUPTA, RANGAN ; Gabauer, David ; Christou, Christina.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319309936.

    Full description at Econpapers || Download paper

  15. The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries. (2020). GUPTA, RANGAN ; Sheng, Xin ; Ji, Qiang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302802.

    Full description at Econpapers || Download paper

  16. On the Exchange Rate and Economic Policy Uncertainty Nexus: A Panel VAR Approach for Emerging Markets. (2020). Rault, Christophe ; Abid, Abir.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8189.

    Full description at Econpapers || Download paper

  17. Efficiency in BRICS Currency Markets Using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability. (2019). GUPTA, RANGAN ; Plakandaras, Vasilios.
    In: Journal of Economics and Behavioral Studies.
    RePEc:rnd:arjebs:v:11:y:2019:i:1:p:152-165.

    Full description at Econpapers || Download paper

  18. Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Sheng, Xin ; Cunado, Juncal.
    In: Working Papers.
    RePEc:pre:wpaper:201952.

    Full description at Econpapers || Download paper

  19. Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Aye, Goodness C.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:28:y:2019:i:c:p:398-411.

    Full description at Econpapers || Download paper

  20. Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability. (2018). Plakandaras, Vasilios ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201836.

    Full description at Econpapers || Download paper

  21. Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Aye, Goodness C.
    In: Working Papers.
    RePEc:pre:wpaper:201824.

    Full description at Econpapers || Download paper

  22. Are Oil Prices Mean Reverting? Evidence from Unit Root Tests with Sharp and Smooth Breaks. (2018). Lawal, Adedoyin Isola ; Eluyela, Damilola ; Nwanji, Tony Ikechukwu ; Babajide, Abiola A.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2018-06-35.

    Full description at Econpapers || Download paper

  23. Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Liu, Ruipeng.
    In: Working Papers.
    RePEc:pre:wpaper:201728.

    Full description at Econpapers || Download paper

  24. Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model. (2017). GUPTA, RANGAN ; Hassapis, Christis ; Cunado, Juncal ; Christou, Christina.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:40:y:2017:i:c:p:92-102.

    Full description at Econpapers || Download paper

  25. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191.

    Full description at Econpapers || Download paper

  26. Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models. (2016). Wong, Wing-Keung ; GUPTA, RANGAN ; Chow, Sheung ; Cunado, Juncal.
    In: Working Papers.
    RePEc:pre:wpaper:201674.

    Full description at Econpapers || Download paper

  27. Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach. (2016). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena.
    In: Working Papers.
    RePEc:pre:wpaper:201656.

    Full description at Econpapers || Download paper

  28. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa. (2016). Wohar, Mark ; Hollander, Hylton ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201652.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-06 09:20:58 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.