A PHP Error was encountered

Severity: Warning

Message: file_get_contents(https://...@pubfacts.com&api_key=b8daa3ad693db53b1410957c26c9a51b4908&a=1): Failed to open stream: HTTP request failed! HTTP/1.1 429 Too Many Requests

Filename: helpers/my_audit_helper.php

Line Number: 176

Backtrace:

File: /var/www/html/application/helpers/my_audit_helper.php
Line: 176
Function: file_get_contents

File: /var/www/html/application/helpers/my_audit_helper.php
Line: 250
Function: simplexml_load_file_from_url

File: /var/www/html/application/helpers/my_audit_helper.php
Line: 1034
Function: getPubMedXML

File: /var/www/html/application/helpers/my_audit_helper.php
Line: 3152
Function: GetPubMedArticleOutput_2016

File: /var/www/html/application/controllers/Detail.php
Line: 575
Function: pubMedSearch_Global

File: /var/www/html/application/controllers/Detail.php
Line: 489
Function: pubMedGetRelatedKeyword

File: /var/www/html/index.php
Line: 316
Function: require_once

Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data. | LitMetric

Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data.

MethodsX

Centre for Financial Econometrics & Department of Finance, Faculty of Business and Law, Deakin University, 221 Burwood Highway, Burwood, Victoria 3125, Australia.

Published: December 2020

In this note, we provide a step-by-step approach of Westerlund and Narayan (WN, 2012, 2015) predictability test using COVID-19 and oil price data. This is an important exercise because the WN model addresses three salient features of time series data, namely persistency, endogeneity and heteroskedasticity. We consider COVID-19 and oil price data as predictors of stock market returns for four Asian countries to demonstrate the applicability of the WN (2012, 2015) predictability approach.•This note demonstrates a step-by-step approach of the WN (2012, 2015) predictability test.•WN model accommodates three salient features of time-series data, namely persistency, endogeneity, and heteroskedasticity.•COVID-19 and oil price does not significantly predict stock returns of Japan, Russia, and Singapore (except in the case of South Korea).

Download full-text PDF

Source
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC8374153PMC
http://dx.doi.org/10.1016/j.mex.2020.101201DOI Listing

Publication Analysis

Top Keywords

oil price
16
step-by-step approach
12
covid-19 oil
12
price data
12
2012 2015
12
2015 predictability
12
westerlund narayan
8
predictability test
8
three salient
8
salient features
8

Similar Publications

Want AI Summaries of new PubMed Abstracts delivered to your In-box?

Enter search terms and have AI summaries delivered each week - change queries or unsubscribe any time!