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Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks. (2017). Wohar, Mark ; Suleman, Tahir ; GUPTA, RANGAN.
In: Working Papers.
RePEc:pre:wpaper:201767.

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  1. Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint. (2021). Inglesi-Lotz, Roula ; GUPTA, RANGAN ; Ajmi, Ahdi Noomen ; Gkillas, Konstantinos ; Vortelinos, Dimitrios ; Konstantatos, Christoforos.
    In: Working Papers.
    RePEc:pre:wpaper:202171.

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  2. Rare disaster and renewable energy in the USA: new insights from wavelet coherence and rolling-window analysis. (2020). Sharif, Arshian ; Zaighum, Isma ; Ahmad, Hafizah Hammad ; Dogan, Eyup ; Aman, Ameenullah.
    In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards.
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  3. Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
    In: Working Papers.
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References

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    References contributed by usersubmitted

  1. Balcilar, M., Bekiros, S., Gupta, R. (2016). The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method. Empirical Economics, doi: 10.1007/s00181-016-1150-0.

  2. Barro, R. J. (2006). Rare Disasters and Asset Markets in the Twentieth Century. Quarterly Journal of Economics, 121, 823-866.

  3. Berkman, H., Jacobsen, B., and Lee, J.B. (2011). Time-varying rare disaster risk and stock returns, Journal of Financial Economics, 101, 313-332.

  4. Berkman, H., Jacobsen, B., and Lee, J.B. (2017). Rare disaster risk and the expected equity risk premium, Accounting and Finance, 57(2), 351-372. Bonaccolto, G., Caporin, M., and Gupta, R. (Forthcoming). The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. Studies in Nonlinear Dynamics and Econometrics.

  5. Diks, C. G. H., and Panchenko, V. (2005). A note on the Hiemstra-Jones test for Granger noncausality. Studies in Nonlinear Dynamics and Econometrics, 9(2), 1-7.
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  6. Diks, C. G. H., and Panchenko, V. (2006). A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics and Control, 30(9-10), 1647-1669.

  7. Farhi, E., and Gabaix, X. (2016). Rare Disasters and Exchange Rates, Quarterly Journal of Economics, 131(1), 1-52.

  8. Hiemstra, C., and Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance, 49 1639–1664.

  9. Ilzetzki, Ethan, Carmen Reinhart, and Kenneth Rogoff. “Exchange Rate Arrangements in the 21st Century: Which Anchor Will Hold?” National Bureau of Economic Research, Working Paper 23134, February 2017.

  10. Jeong, K., Härdle, W.K., and Song, S. (2012). A consistent nonparametric test for causality in quantile. Econometric Theory, 28(4), 861-887.

  11. Mensi, W., Hammoudeh, S., Reboredo, J.C., and Nguyen, D. K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review, 19(C), 1-17.

  12. Mensi, W., Hammoudeh, S., Yoon, S-M., and Nguyen, D. K. (2016). Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models. Review of International Economics, 24(1), 1–19.

  13. Nishiyama, Y., Hitomi, K., Kawasaki, Y., and Jeong, K. (2011). A consistent nonparametric test for nonlinear causality - Specification in time series regression. Journal of Econometrics, 165, 112-127.

  14. Plakandaras, V., Gupta, R., and Wohar M.E. (2017). The depreciation of the pound postBrexit: Could it have been predicted? Finance Research Letters, 21, 206-213.

  15. Plakandaras, V., Papadimitriou, T., and Gogas, P. (2015). Forecasting monthly and daily exchange rates with machine learning methodologies. Journal of Forecasting, 34(7), 560573.

  16. 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, 341–361.

  17. Rietz, T. (1988). The Equity Risk Premium: A Solution. Journal of Monetary Economics, 22, 117–131.

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