The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data

Given the existence of nonlinear relationship between equity premium and term spread, as well as pattern changes and the interaction of pattern changes with the term-spread and changes in the shape of the yield curve, we use a nonparametric k-th order causality-in-quantiles test to predict the movem...

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Bibliographic Details

Main Authors:	Rangan Gupta, Marian Risse, David A. Volkman, Mark Wohar
Format:	Default Article
Published:	2019
Subjects:	Other commerce, management, tourism and services not elsewhere classified Other economics not elsewhere classified Stock returns Volatility Yield curve changes Conditional term spreads Nonparametric causality-in-quantiles test Economics Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/34988
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