The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method

By M. Balcılar, Stelios D. Bekiros, Rangan Gupta. 2017

329 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/67790caa1eb071f0aa06631cf1798fcb7ac7a3e9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Rangan Gupta
2. Elie Bouri
3. M. Wohar
4. O. Adekoya
5. J. Oliyide
6. Clement Kyei
7. Riza Demirer
8. B. Algharabali

In Renewable Energy, Sustainability and the Environment

1. Rangan Gupta
2. O. Adekoya
3. J. Oliyide
4. Riza Demirer
5. M. Wohar
6. Clement Kyei
7. Elie Bouri
8. N. Apergis

Citations in the corpus

• The pandemic and economic policy uncertainty (2020, background): “Moreover, Balcilar, Bekiros, and Gupta (2017) indicate that EPU can help in predicting oil markets' returns, while Yang (2019) claims EPU conveys information to influence oil prices, which could directly affect oil prices.”
• How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, methodology): “Later, Balcilar et al. (2016) extend the framework of Jeong et al., 2012 by developing a test for the second moment. Therefore, they adopt the nonparametric Granger-quantile-causality approach by Nishiyama et al. (2011). To illustrate the causality in higher order moment, we assume:”
• Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test (2015, background): “…variables (Balcilar et al. 2014); Karnizova and Li 2014; Balcilar et al. 2015c, equity markets (Gupta et al. 2014; Balcilar et al. 2015d; Balcilar et al. 2015e; Bekiros et al., 2015; Brogaard and Detzel 2015; Balcilar et al. forthcoming; Bekiros et al. forthcoming; Li et al.…”
• Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach (2017, methodology): “As part of future research, given that the stock returns depict skewed distributions, one could apply nonparametric quantiles-based test of causality as in Balcilar et al., (forthcoming b), which has an advantage over the conditional-mean based test of Nishiyama et al., (2011), in the sense that the”
• Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note (2019, methodology): “This section provides a brief description of the quantile based methodology that we use to detect nonlinear causality via a hybrid approach developed by Balcilar, Bekiros, and Gupta (2016).”