Exchange rate returns and volatility: the role of time-varying rare disaster risks

References

• Balcilar, M., S. Bekiros, and R. Gupta. 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.
   Web of Science ®Google Scholar
• Barro, R. J. 2006. “Rare Disasters and Asset Markets in the Twentieth Century.” Quarterly Journal of Economics 121: 823–866. doi: 10.1162/qjec.121.3.823
   Web of Science ®Google Scholar
• Berkman, H., B. Jacobsen, and J. B. Lee. 2011. “Time-varying Rare Disaster Risk and Stock Returns.” Journal of Financial Economics 101: 313–332. doi: 10.1016/j.jfineco.2011.02.019
   Web of Science ®Google Scholar
• Berkman, H., B. Jacobsen, and J. B. Lee. 2017. “Rare Disaster Risk and the Expected Equity Risk Premium.” Accounting and Finance 57 (2): 351–372. doi: 10.1111/acfi.12158
   Web of Science ®Google Scholar
• Bonaccolto, G., M. Caporin, and R. Gupta. 2018. “The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of oil Returns and Risk.” Physica A: Statistical Mechanics and its Applications 507: 446–469. doi: 10.1016/j.physa.2018.05.061
   Web of Science ®Google Scholar
• Caldara, D., and M. Iacoviello. 2018. “ Measuring Geopolitical Risk. Board of Governors of the Federal Reserve System.” International Finance Discussion Paper No. 1222.
   Google Scholar
• Diks, C. G. H., and V. Panchenko. 2005. “A Note on the Hiemstra-Jones Test for Granger Noncausality.” Studies in Nonlinear Dynamics and Econometrics 9 (2): 1–7.
   Web of Science ®Google Scholar
• Diks, C. G. H., and V. Panchenko. 2006. “A new Statistic and Practical Guidelines for Nonparametric Granger Causality Testing.” Journal of Economic Dynamics and Control 30 (9–10): 1647–1669. doi: 10.1016/j.jedc.2005.08.008
   Web of Science ®Google Scholar
• Farhi, E., and X. Gabaix. 2016. “Rare Disasters and Exchange Rates.” Quarterly Journal of Economics 131 (1): 1–52. doi: 10.1093/qje/qjv040
   Web of Science ®Google Scholar
• Hiemstra, C., and J. D. Jones. 1994. “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation.” Journal of Finance 49: 1639–1664.
   Web of Science ®Google Scholar
• Ilzetzki, E., C. M. Reinhart, and K. S. Rogoff. 2017. “ Exchange Arrangements Entering the 21st Century: Which Anchor Will Hold?” NBER Working Paper No. 23134.
   Google Scholar
• Jeong, K., W. K. Härdle, and S. Song. 2012. “A Consistent Nonparametric Test for Causality in Quantile.” Econometric Theory 28 (4): 861–887. doi: 10.1017/S0266466611000685
   Web of Science ®Google Scholar
• Lütkepohl, H. 1993. “Testing for Causation Between two Variables in Higher Dimensional VAR Models.” In Studies in Applied Econometrics, edited by H. Schneeweiß, and K. F. Zimmermann, 75–91. Heidelberg: Physica.
   Google Scholar
• Lütkepohl, H. 2005. New Introduction to Multiple Time Series. Berlin: Springer-Verlag.
   Google Scholar
• Mensi, W., S. Hammoudeh, J. C. Reboredo, and D. K. Nguyen. 2014. “Do Global Factors Impact BRICS Stock Markets? A Quantile Regression Approach.” Emerging Markets Review 19 (C): 1–17. doi: 10.1016/j.ememar.2014.04.002
   Web of Science ®Google Scholar
• Mensi, W., S. Hammoudeh, S.-M. Yoon, and D. K. Nguyen. 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. doi: 10.1111/roie.12201
   Web of Science ®Google Scholar
• Nishiyama, Y., K. Hitomi, Y. Kawasaki, and K. Jeong. 2011. “A Consistent Nonparametric Test for Nonlinear Causality – Specification in Time Series Regression.” Journal of Econometrics 165: 112–127. doi: 10.1016/j.jeconom.2011.05.010
   Web of Science ®Google Scholar
• Plakandaras, V., R. Gupta, and M. E. Wohar. 2017. “The Depreciation of the Pound Post-Brexit: Could it Have Been Predicted?” Finance Research Letters 21: 206–213. doi: 10.1016/j.frl.2016.12.003
   Web of Science ®Google Scholar
• Plakandaras, V., T. Papadimitriou, and P. Gogas. 2015. “Forecasting Monthly and Daily Exchange Rates with Machine Learning Methodologies.” Journal of Forecasting 34 (7): 560–573. doi: 10.1002/for.2354
   Web of Science ®Google Scholar
• Rapach, D. E., and M. E. Wohar. 2006. “The out-of-Sample Forecasting Performance of Nonlinear Models of Real Exchange Rate Behavior.” International Journal of Forecasting 22: 341–361. doi: 10.1016/j.ijforecast.2005.09.006
   Web of Science ®Google Scholar
• Rietz, T. 1988. “The Equity Risk Premium: A Solution.” Journal of Monetary Economics 22: 117–131. doi: 10.1016/0304-3932(88)90172-9
   Web of Science ®Google Scholar