Clement Kyei

University of Pretoria

Physical Address Economic and Management Sciences

Pretoria, 0002

South Africa

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Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration Using a Nonparametric Causality‐In‐Quantiles Test

Bulletin of Economic Research, Vol. 70, Issue 1, pp. 74-87, 2018
Number of pages: 14 Posted: 11 Jan 2018
Mehmet Balcilar, Rangan Gupta and Clement Kyei
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Pretoria
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Abstract:

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causality‐in‐quantiles, investor sentiment, linear causality, nonlinear dependence, nonparametric causality, stock markets