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Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis. (2016). Wohar, Mark ; Pierdzioch, Christian ; GUPTA, RANGAN ; Balcilar, Mehmet.
In: Working Papers.
RePEc:pre:wpaper:201615.

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  1. Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS. (2020). Salisu, Afees ; GUPTA, RANGAN ; Cunado, Juncal.
    In: Working Papers.
    RePEc:pre:wpaper:2020105.

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  2. Manager Sentiment and Stock Market Volatility. (2018). GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201853.

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  3. The Long-run Effect of Geopolitical Risks on Insurance Premiums. (2018). Shahbaz, Muhammad ; Olasehinde-Williams, Godwin ; Balcilar, Mehmet.
    In: Working Papers.
    RePEc:emu:wpaper:15-44.pdf.

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  4. Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model. (2017). Suleman, Tahir ; GUPTA, RANGAN ; Bouras, Christos ; Christou, Christina.
    In: Working Papers.
    RePEc:pre:wpaper:201777.

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  5. Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio. (2017). Pierdzioch, Christian ; Majumdar, Anandamayee ; GUPTA, RANGAN ; Chang, Tsangyao.
    In: Working Papers.
    RePEc:pre:wpaper:201756.

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  6. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note. (2017). Marfatia, Hardik ; GUPTA, RANGAN ; Demirer, Riza ; Bouri, Elie.
    In: Working Papers.
    RePEc:pre:wpaper:201743.

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  7. Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach. (2017). Wohar, Mark ; Pierdzioch, Christian ; Majumdar, Anandamayee ; GUPTA, RANGAN.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:65:y:2017:i:c:p:276-284.

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  8. Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach. (2016). Kyei, Clement ; GUPTA, RANGAN ; Bonato, Matteo ; Apergis, Nicholas.
    In: Working Papers.
    RePEc:pre:wpaper:201671.

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  9. Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach. (2016). Wohar, Mark ; Pierdzioch, Christian ; Majumdar, Anandamayee ; GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201626.

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References

References cited by this document

  1. Arin, K.P., Ciferri, D., and Spagnolo, N., 2008. The price of terror: The effects of terrorism on stock market returns and volatility. Economics Letters 101, 164-167. Balcilar, M., Bekiros, S., and Gupta, R. (Forthcoming). The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method, Empirical Economics.

  2. Chen, A.H., and Siems, T.F., 2004. The effects of terrorism on global capital markets. European Journal of Political Economy 20, 349-366.

  3. Chuliá, H., Climent, F.J., Soriano, P., and Torró, H., 2009. Volatility transmission patterns and terrorist attacks. Quantitative Finance 9 (5), 607-619.

  4. Eldor, R.,and Melnick, R., 2004. Financial markets and terrorism. European Journal of Political Economy 20, 367-386.

  5. Hon, M.T., Strauss, J., and Yong, S.-Y., 2004. Contagion in financial markets after September 11: myth or reality? Journal of Financial Research 27: 95-114.

  6. Jeong, K., Härdle, W. K. and Song, S., 2012. A consistent nonparametric test for causality in quantile. Econometric Theory 28, 861-887.

  7. Karolyi, A., and Martell, R., 2010. Terrorism and the stock market. International Review of Applied Financial Issues and Economics 2: 285-314.
    Paper not yet in RePEc: Add citation now
  8. Nishiyama, Y., Hitomi, K., Kawasak, Y., and Jeong, K., 2011. A consistent nonparametric Test for nonlinear causality - specification in time series regression. Journal of Econometrics 165, 112-127.

  9. Rapach, D. E., and Wohar, M. E. (2006). The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior. International Journal of Forecasting 22, 341361.

  10. Rapach, D.E., and Strauss, J.K. (2008). Structural Breaks and GARCH Models of Exchange Rate Volatility. Journal of Applied Econometrics 23, 65–90.

  11. Rossi, B. (2013). Exchange Rate Predictability. Journal of Economic Literature, 51, 10631119.

Cocites

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  2. Terrorist Incidents and Trade. (2018). Haq, Zahoor ul ; Iqbal, Javed ; Ullah, Zia.
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  4. Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew.
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  6. Do terrorist attacks harm financial markets? A meta-analysis of event studies and the determinants of adverse impact. (2018). Newaz, Mohammad Khaleq ; Park, Jin Suk.
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  7. Terrorism and oil markets: A cross-sectional evaluation. (2018). Simkins, Betty ; Iyer, Subramanian R ; Valdivia, Jose R.
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  9. Keep calm and eat satay: Indonesias consumption-themed signals of defiance against terrorism. (2018). French, Juliana ; Mahardika, Harryadin ; Sembada, Agung.
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  10. The Effect of Terrorism on Housing Rental Prices: Evidence from Jerusalem. (2018). ben Itzhak, Nadav.
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  11. DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE. (2018). Phan, Dinh ; Narayan, Seema ; Khademalomoom, Siroos ; Bach, Dinh Hoang.
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  12. The Impact of Major Terrorist Attacks on Stock Prices: The Case of Karachi Stock Exchange. (2018). Rehman, Seema ; Rehan, Raja ; Kashif, Muhammad ; Khilji, Jameel Ahmed.
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  14. The impact of 11/13 Paris terrorist attacks on stock prices: evidence from the international defence industry. (2017). Apergis, Emmanuel.
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  17. Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach. (2017). Wohar, Mark ; Pierdzioch, Christian ; Majumdar, Anandamayee ; GUPTA, RANGAN.
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  18. How vulnerable are international financial markets to terrorism? An empirical study based on terrorist incidents worldwide. (2017). Cagle, Seth ; Goel, Sanjay ; Shawky, Hany.
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  22. Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach. (2016). Kyei, Clement ; GUPTA, RANGAN ; Bonato, Matteo ; Apergis, Nicholas.
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  23. Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach. (2016). Wohar, Mark ; Pierdzioch, Christian ; Majumdar, Anandamayee ; GUPTA, RANGAN.
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  24. Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis. (2016). Wohar, Mark ; Pierdzioch, Christian ; GUPTA, RANGAN ; Balcilar, Mehmet.
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  45. Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market. (2011). Papadamou, Stephanos ; Kollias, Christos ; Manou, Efthalia ; Stagiannis, Apostolos .
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  46. The impact of terrorism on financial markets: An empirical study. (2011). Karaman, Mustafa ; Chesney, Marc ; Reshetar, Ganna .
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  50. The local cost of terror: Effects of the second Palestinian Intifada on Jerusalem house prices. (2010). Tobol, Yossef (Yossi) ; Gabriel, Stuart ; Arbel, Yuval ; Ben-Shahar, Danny.
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