Al-Thaqeb, S.A., and Algharabali, B.G. (2019). Economic policy uncertainty: A literature review. The Journal of Economic Asymmetries, 20(C), e00133.
Asai, M., Gupta, R., and McAleer, M. (2020). Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. International Journal of Forecasting, 36(3), 933-948.
Aye, G.C., Christou, C., Gil-Alana, L.A., and Gupta, R. (2019a). Forecasting the probability of recessions in South Africa: the role of decomposed term spread and economic policy uncertainty. Journal of International Development, 31, 101-116.
Aye, G.C., Gupta, R., Lau, C.K.M., and Sheng, X. (2019b). Is there a role for uncertainty in forecasting output growth in OECD countries? evidence from a time-varying parameter panel vector autoregressive model. Applied Economics, 51, 3624-3631.
Bai, J. and Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18, 1-22.
Balcilar, M., Bonato, M., Demirer, R., and Gupta, R. (2017). The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach? Resources Policy, 51, 77-84.
Balcilar, M., Gabauer, D., Gupta, R., and Pierdzioch, C. (2021). Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning. Department of Economics, University of Pretoria, Working Paper No. 202111.
Balcilar, M., Gupta, R., and Pierdzioch, C. (2016). Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test. Resources Policy, 49(C), 74-80.
Balcilar, M., Gupta, R., and Segnon, M. (2016). The role of economic policy uncertainty in predicting US recessions: A mixed-frequency Markov-switching vector autoregressive approach. Economics: The Open-Access, Open-Assessment E-Journal, 10, 1-20.
- Banbura, M., Giannone, D., and Reichlin, L. (2011). Nowcasting. Oxford Handbook on Economic Forecasting, 63–90, Oxford University Press.
Paper not yet in RePEc: Add citation now
Bannigidadmath, D., and Narayan, P. (2015). Stock return predictability and determinants of predictability and profits. Emerging Markets Review, 26, 153–173.
- Barry, D., and Hartigan J.A. (1993). A Bayesian Analysis for Change Point Problems. Journal of the American Statistical Association, 88, 309-19.
Paper not yet in RePEc: Add citation now
Baur, D.G., and Smales, L.A. (2020). Hedging geopolitical risk with precious metals. Journal of Banking & Finance, 117, 105823.
Bernanke, B. (1983). Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics, 98, 85-106.
Bloom, N. (2014). Fluctuations in Uncertainty. Journal of Economic Perspectives, 28(2), 153-176.
Bloom, N. (2017). Observations on Uncertainty. Australian Economic Review, 50(1), 79-84.
Bloom, N.A. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685.
Bonato, M., Gkillas, K., Gupta, R., and Pierdzioch, C. (2021). A Note on Investor Happiness and the Predictability of Realized Volatility of Gold. Finance Research Letters, 39, 101614.
Boubaker, H., Cunado, J., Gil-Alana, L.A., and Gupta, R. (2020). Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data. Physica A: Statistical Mechanics and its Applications, 540, 123093.
- Bouri, E., Gkillas, K., Gupta, R., and Pierdzioch, C. (2021). Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility. Finance Research Letters. DOI: https://doi.org/10.1016/j.frl.2021.101936.
Paper not yet in RePEc: Add citation now
Caggiano, G., Castelnuovo, E., and Kima, R. (2020). The global effects of Covid-19-induced uncertainty. Economics Letters, 194, 109392.
Campbell, J.Y., (2008) Viewpoint: estimating the equity premium. Canadian Journal of Economics, 41, 1-21.
Castelnuovo, E., Lim, G.C., and Pellegrino, G. (2017). A short review of the recent literature on uncertainty. Australian Economic Review, 50(1), 68-78. Çepni, O., Dul, W., Gupta, R., and Wohar, M.E. (Forthcoming). The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach. Research in International Business and Finance.
Christou, C., Gabauer, D., and Gupta, R. (2020). Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data. Finance Research Letters, 37, 101263.
Claveria, O. (2021). Uncertainty indicators based on expectations of business and consumer surveys. Empirica, 48, 483–505.
Demirer, R., Gupta, R., Gkillas, K., and Pierdzioch, C. (2019). Time-Varying Risk Aversion and Realized Gold Volatility. North American Journal of Economics and Finance, 50, 101048.
Demirer, R., Gupta, R., Pierdzioch, C., and Shahzad, S.J.H. (2020). A Note on Oil Shocks and the Forecastability of Gold Realized Volatility. Applied Economics Letters. DOI: https://doi.org/10.1080/13504851.2020.1854658.
Devpura, N., Narayan, P.K., and Sharma, S.S. (2018). Is stock return predictability time varying? Journal of International Financial Markets, Institutions and Money, 52, 152–172.
Diebold, F.X., and Mariano, R.S. (1995). Comparing Predictive Accuracy. Journal of Business and Economic Statistics, 13(3), 253‐263.
Dixit, A.K., and Pindyck, R.S. (1994). Investment under uncertainty. Princeton, NJ: Princeton University Press.
Ercolani, V., and Natoli, F. (2020). Forecasting US recessions: The role of economic uncertainty? Economics Letters, 193, 109302.
- Galbraith, J.K. (1990). A Short History of Financial Euphoria. New York: Penguin Books.
Paper not yet in RePEc: Add citation now
Gkillas, K., Gupta, R., and Pierdzioch, C. (2020). Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks? Finance Research Letters, 35, 101280.
Glosten, L., Jagannathan, R., and Runkle, D.E. (1993). On the relation between the expected value and volatility of the nominal excess return on stocks. Journal of Finance 46, 1779–1801.
Gupta, R., Lau, C.K.M., and Wohar, M.E. (2019). The impact of U.S. uncertainty on the Euro area in good and bad times: Evidence from a quantile structural vector autoregressive model. Empirica, 46, 353-368.
Gupta, R., Ma, J., Risse, M., and Wohar, M.E. (2018). Common business cycles and volatilities in U.S. states and MSAs: The role of economic uncertainty. Journal of Macroeconomics, 5, 317-337.
Gupta, R., Olasehinde-Williams, G.A., and Wohar, M.E. (2020a). The impact of U.S. uncertainty shocks on a panel of advanced and emerging market economies. The Journal of International Trade & Economic Development, 29(6), 711-721.
- Gupta, R., Sheng, X., Balcilar, M., and Ji, Q. (2020b). Time-varying impact of pandemics on global output growth. Finance Research Letters. DOI: https://doi.org/10.1016/j.frl.2020.101823.
Paper not yet in RePEc: Add citation now
Harvey, D., Leybourne, S., and Newbold, P. (1997). Testing the Equality of Prediction Mean Squared Errors. International Journal of Forecasting, 13, 281-291.
Junttila J., and Vataja, J. (2018). Economic policy uncertainty effects for forecasting future real economic activity. Economic Systems, 42, 569-583.
Karnizova L., and Li, J.C. (2014). Economic policy uncertainty, financial markets and probability of US recessions. Economics Letters, 125, 261-265. Ludvigson, S.C., Ma, S., and Ng, S. (Forthcoming). Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? American Economic Journal: Macroeconomics.
Mumtaz, H. and Theodoridis, K. (2020). Dynamic effects of monetary policy shocks on macroeconomic volatility. Journal of Monetary Economics, 114, 262-282.
Narayan, P.K., and Gupta, R. (2015). Has oil price predicted stock returns for over a century? Energy Economics, 48, 18–23.
- Narayan, P.K., Phan, D.H.B., and Sharma, S.S. (2018). Does Islamic stock sensitivity to oil prices have economic significance? Pacific Basin Finance Journal, 53, 497–512.
Paper not yet in RePEc: Add citation now
Narayan, P.K., Phan, D.H.B., Sharma, S.S., and Westerlund, J. (2016). Are Islamic stock returns predictable? A global perspective. Pacific Basin Finance Journal, 40(A), 210–223.
Nelson, D.B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59, 347–370.
Phan, D.H.B., Sharma, S.S., and Narayan, P.K. (2015). Stock return forecasting: some new evidence. International Review of Financial Analysis, 40, 38–51.
Pierdzioch, C., and Gupta, R. (2020) Uncertainty and forecasts of U.S. recessions. Studies in Nonlinear Dynamics & Econometrics, 24(4), 1-20.
Piffer, M., and Podstawski, M. (2018). Identifying Uncertainty Shocks Using the Price of Gold. Economic Journal, 128(616), 3266-3284.
Pindyck, R.S. (1991). Irreversibility, Uncertainty, and Investment. Journal of Economic Literature, 24, 1110–1148.
Reinhart, C.M., and Reinhart, V.R. (2010). After the fall. Proceedings, Economic Policy Symposium, Jackson Hole, Federal Reserve Bank of Kansas City, 17-60.
Reinhart, C.M., and Rogoff, K.S. (2009). This Time is Different: Eight Centuries of Financial Folly. Princeton University Press, Princeton, USA.
Reinhart, C.M., and Rogoff, K.S. (2011). From Financial Crash to Debt Crisis. American Economic Review, 101(5), 1676-1706.
Salisu, A.A., Adekunle, W., Alimi, W.A. and Emmanuel, Z. (2019d). Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries. Resources Policy, 62, 33-56.
Salisu, A.A., Ademuyiwa, I. and Isah, K. (2018a). Revisiting the forecasting accuracy of Phillips curve: the role of oil price. Energy Economics, 70, 334–356.
Salisu, A.A., Ademuyiwa, I. and Isah, K. (2018b). Predicting US Inflation: Evidence from a new approach. Economic Modelling, 71(C), 134-158.
Salisu, A.A., and Gupta, R. (2020). Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom. Applied Economics letters. DOI: https://doi.org/10.1080/13504851.2020.1834498.
Salisu, A.A., Raheem, I.D. and Ndako, U.D. (2019c). A sectoral analysis of asymmetric nexus between oil price and stock returns. International Review of Economics and Finance, 61, 241259.
Salisu, A.A., Swaray, R. and Adediran, I. (2019a). Can urban coffee help predict US inflation. Journal of Forecasting, 38(7), 649-668.
Salisu, A.A., Swaray, R. and Sa’id, H. (2021b). Improving the forecasting accuracy of Phillips curve: The role of commodity prices. International Journal of Finance and Economics, 26(2), 2946-2975.
Salisu, A.A., Swaray, R., Oloko, T.F. (2019b). Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. Economic Modelling, 76, 153-171.
Salisu, A.A., Vo, X.V., and Lucey, B. (2021a). Gold and US sectoral stocks during COVID-19 pandemic. Research in International Business and Finance, 57, 101424.
Schmelzing, Paul, 2020. Eight centuries of global real interest rates, R-G, and the ‘suprasecular’ decline, 1311–2018. Bank of England working papers 845, Bank of England.
Tule, M., Salisu, A.A. and Chiemeke, C. (2019) Can agricultural commodity prices predict Nigeria’s inflation? Journal of Commodity Markets, 16. DOI: https://doi.org/10.1016/j.jcomm.2019.02.002.
Tule, M., Salisu, A.A. and Chiemeke, C. (2020). Improving Nigeria’s inflation forecast with oil price: The role of estimators. Journal of Quantitative Economics, 18(1), 2020, 191-229.
Westerlund, J., and Narayan, P.K. (2012). Does the choice of estimator matter when forecasting returns? Journal of Banking & Finance, 36, 2632–2640.
Westerlund, J., and Narayan, P.K. (2015). Testing for predictability in conditionally heteroscedastic stock returns. Journal of Financial Econometrics, 13, 342–375.