PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY‐IN‐QUANTILES TEST

DOI10.1111/boer.12119zbMath1398.62277OpenAlexW2260413793MaRDI QIDQ4684469

Rangan Gupta, Mehmet Balcilar, Clement Kyei

Publication date: 1 October 2018

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2263/63911

zbMATH Keywords

nonlinear dependenceinvestor sentimentstock marketslinear causalitycausality-in-quantilesnonparametric causality

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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