dc.contributor.author | Christou, Christina | en |
dc.contributor.author | Gupta, Rangan | en |
dc.contributor.author | Hassapis, Christis | en |
dc.contributor.author | Suleman, Tahir | en |
dc.creator | Christou, Christina | en |
dc.creator | Gupta, Rangan | en |
dc.creator | Hassapis, Christis | en |
dc.creator | Suleman, Tahir | en |
dc.date.accessioned | 2021-01-25T09:10:02Z | |
dc.date.available | 2021-01-25T09:10:02Z | |
dc.date.issued | 2018 | |
dc.identifier.issn | 1099-131X | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/62918 | |
dc.description.abstract | In this paper, we investigate whether the news-based measure of economic policy uncertainty (EPU) can be used to forecast exchange rate returns and volatility using a quantile regression approach, which accounts for persistence and endogeneity, using data from 13 different countries. Our main findings suggest that: (i) EPU is useful for forecasting exchange rate returns and volatility, (ii) forecasting ability–quantile order relationships exhibit a U-shape, possibly asymmetric form around the median | en |
dc.description.abstract | and (iii) asymmetries are more pronounced in the case of forecasting volatility. | en |
dc.language.iso | en | en |
dc.source | Journal of Forecasting | en |
dc.source.uri | https://onlinelibrary.wiley.com/doi/abs/10.1002/for.2539 | |
dc.title | The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1002/for.2539 | |
dc.description.volume | 37 | |
dc.description.issue | 7 | |
dc.description.startingpage | 705 | |
dc.description.endingpage | 719 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.contributor.orcid | Hassapis, Christis [0000-0002-7808-270X] | |
dc.gnosis.orcid | 0000-0002-7808-270X | |