Mark Wohar : Citation Profile


Are you Mark Wohar?

University of Nebraska-Omaha

21

H index

43

i10 index

1676

Citations

RESEARCH PRODUCTION:

131

Articles

68

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   35 years (1983 - 2018). See details.
   Cites by year: 47
   Journals where Mark Wohar has often published
   Relations with other researchers
   Recent citing documents: 257.    Total self citations: 58 (3.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwo4
   Updated: 2018-09-15    RAS profile: 2018-06-06    
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Relations with other researchers


Works with:

GUPTA, RANGAN (63)

Balcilar, Mehmet (14)

Olson, Eric (8)

Pierdzioch, Christian (7)

Plakandaras, Vasilios (7)

Sousa, Ricardo (5)

Miller, Stephen (4)

Demirer, Riza (4)

Baharumshah, Ahmad Zubaidi (4)

Lau, Chi Keung (3)

Gil-Alana, Luis (3)

Gebka, Bartosz (3)

Kellard, Neil (2)

Gkillas (Gillas), Konstantinos (2)

Soon, Siew-Voon (2)

Slesman, Ly (2)

Selmi, Refk (2)

Chuliá, Helena (2)

Uribe, Jorge (2)

Jooste, Charl (2)

Sirichand, Kavita (2)

Balke, Nathan (2)

Madsen, Jakob (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Mark Wohar.

Is cited by:

GUPTA, RANGAN (106)

Balcilar, Mehmet (23)

Pierdzioch, Christian (22)

Hammoudeh, Shawkat (20)

Frankel, Jeffrey (19)

Byrne, Joseph (19)

Menkhoff, Lukas (15)

Nguyen, Duc Khuong (15)

Miller, Stephen (15)

Korobilis, Dimitris (14)

Ghoshray, Atanu (14)

Cites to:

Campbell, John (168)

GUPTA, RANGAN (127)

Perron, Pierre (109)

Shiller, Robert (86)

Kilian, Lutz (67)

Balcilar, Mehmet (55)

Stock, James (49)

Watson, Mark (45)

Hamilton, James (38)

West, Kenneth (36)

Engle, Robert (33)

Main data


Where Mark Wohar has published?


Journals with more than one article published# docs
Applied Economics9
International Review of Economics & Finance9
Applied Financial Economics6
Journal of Macroeconomics6
Journal of International Money and Finance5
Journal of Applied Econometrics4
International Review of Financial Analysis4
International Journal of Forecasting4
Journal of Financial Research4
Journal of International Financial Markets, Institutions and Money3
International Journal of Finance & Economics3
The Review of Economics and Statistics3
Journal of International Economics3
Manchester School3
Energy Economics3
Journal of Money, Credit and Banking3
Southern Economic Journal3
Research in International Business and Finance2
The Financial Review2
Studies in Nonlinear Dynamics & Econometrics2
The Quarterly Review of Economics and Finance2
Journal of Economics and Business2
Open Economies Review2
Journal of Economics and Finance2
International Economic Review2
Review of Financial Economics2
Economic Inquiry2
The European Journal of Finance2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
Working Papers / University of Pretoria, Department of Economics47
EcoMod2010 / EcoMod2
Working Papers / Federal Reserve Bank of Dallas2
Finance / University Library of Munich, Germany2
Computing in Economics and Finance 2005 / Society for Computational Economics2

Recent works citing Mark Wohar (2018 and 2017)


YearTitle of citing document
2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2017Investigating Properties of Commodity Price Responses to Real and Nominal Shocks. (2017). Kim, Hyeongwoo ; Zhang, Yunxiao. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-02.

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2018BUBBLES IN THE PRICES OF HOUSING? EVIDENCE TO BRAZIL?S ECONOMY. (2018). Silva, Marcelo ; da Nobrega, Cassio ; Paes, Nelson Leito . In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:118.

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2017Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1507.01729.

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2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean. (2018). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark . In: Papers. RePEc:arx:papers:1806.07623.

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2017Derivative Use of Turkish Investment Funds During the 2008-09 Financial Crisis. (2017). Pirgaip, Burak ; Tademir, Aslihan . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:1-14.

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2017U.S. Savings Banks Demutualization and Depositor Welfare. (2017). Meade, Richard ; Girotti, Mattia. In: Working Papers. RePEc:aut:wpaper:201708.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2018Derivatives Usage by Australian Industrial Firms: Pre-, during and post-GFC. (2018). Tanha, Hassan ; Labeb, Mena ; Dempsey, Michael. In: Review of Economics & Finance. RePEc:bap:journl:180103.

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2017U.S. Savings Banks Demutualization and Depositor Welfare. (2017). Meade, Richard ; Girotti, Mattia. In: Working papers. RePEc:bfr:banfra:639.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2018Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination. (2018). Agenor, Pierre-Richard ; Pereira, Luiz Awazu . In: BIS Papers. RePEc:bis:bisbps:97.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2017Why so low for so long? A long-term view of real interest rates. (2017). Rungcharoenkitkul, Phurichai ; Juselius, John ; Disyatat, Piti ; BORIO, Claudio. In: BIS Working Papers. RePEc:bis:biswps:685.

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2017Commodity Dependence and Human Development. (2017). Nkurunziza, Janvier D ; Cazzaniga, Sofia ; Tsowou, Komi. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:s1:p:27-41.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach. (2017). Jareño, Francisco ; Jareo, Francisco ; Ferrer, Roman ; Ferrando, Laura. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:2:p:212-242.

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2017A Simple Approach for Diagnosing Instabilities in Predictive Regressions. (2017). Pitarakis, Jean-Yves. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:851-874.

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2017House price to income ratio and fundamentals: Evidence on long-horizon forecastability. (2017). Chen, Nan-Kuang ; Cheng, Han-Liang . In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:3:p:293-311.

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2017Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks. (2017). Chou, Yu-Hsi. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:1:p:165-194.

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2017Effective Exchange Rates, Current Accounts and Global Imbalances. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:3:p:500-533.

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2017Free Falling Terms of Trade Despite Industrialization: The Case of Bangladesh. (2017). Gunter, Bernhard ; Sejas, Valeria Vargas. In: Bangladesh Development Research Working Paper Series (BDRWPS). RePEc:bnr:wpaper:33.

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2017Why so low for so long? A long-term view of real interest rates. (2017). Rungcharoenkitkul, Phurichai ; Juselius, John ; Disyatat, Piti ; BORIO, Claudio. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_036.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017The Role of Unobservable Fundamentals in Korea Exchange Rate Fluctuations: Bayesian Approach. (2017). Kim, Youngmin ; Lee, Seojin. In: Economic Analysis (Quarterly). RePEc:bok:journl:v:23:y:2017:i:3:p:1-22.

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2017Specification analysis in regime-switching continuous-time diffusion models for market volatility. (2017). Ruijun, BU ; Kaddour, Hadri ; Jie, Cheng . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:65-80:n:3.

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2017Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulària, Daniel ; Antonio, Noriega ; Daniel, Ventosa-Santaularia ; Robinson, Kruse . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:28:n:1.

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2017Une revue de la littérature récente sur le nexus finance-croissance après la crise : apports, limites et pistes de recherche. (2017). Carré, Emmanuel ; Lillet, Guillaume ; Carre, Emmanuel. In: Revue d'économie financière. RePEc:cai:refaef:ecofi_127_0271.

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2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6482.

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2017Lags, Costs and Shocks: An Equilibrium Model of the Oil Industry. (2017). Bornstein, Gideon ; Rebelo, Sergio ; Krusell, Per. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12047.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

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2018Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries. (2018). Salisu, Afees ; Alimi, Wasiu A ; Emmanuel, Zachariah ; Adekunle, Wasiu. In: Working Papers. RePEc:cui:wpaper:0055.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1667.

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2018Exchange rates, sunspots and cycles. (2018). Eugeni, Sara ; Bambi, Mauro. In: Working Papers. RePEc:dur:durham:2018_05.

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2017Herd Behavior and Rational Expectations: A Test of China’s Market Using Quantile Regression. (2017). Chen, Yi-Chang ; Huang, Jen-Jsung ; Wu, Hung-Che . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-85.

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2017Can Inflation be Claimed as a Monetary Phenomenon? The Malaysian Experience. (2017). TANG, Chor Foon ; Ozturk, Ilhan. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-59.

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2017The Effect of Stock Prices and Exchange Rates on Economic Growth in Indonesia. (2017). Adam, Pasrun ; Balaka, Muh Yani ; Saenong, Zainuddin ; Saidi, LA. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-68.

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2017Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns. (2017). Sierra, Lya Paola ; Osorio, Carolina ; Giron, Luis Eduardo. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-03.

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2018Inflation Expectation Dynamics: A Structural Long-run Analysis for Turkey. (2018). Aykaç Alp, Elçin ; Biyik, Zeynep. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-02-43.

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2017The Lead Lag Relationship Between Spot and Futures Markets in the Energy Sector. (2017). Chen, Jengchung Victor ; Ha, Quang-An ; Prince, Yolanda Gabriela. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-04-04.

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2017Does Oil Prices Uncertainty Affect Stock Returns in Russia: A Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Approach. (2017). Bass, Alexander. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-04-27.

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2018Tourism in Iceland: Persistence and seasonality. (2018). Gil-Alana, Luis ; Huijbens, Edward H. In: Annals of Tourism Research. RePEc:eee:anture:v:68:y:2018:i:c:p:20-29.

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2017A financial analysis of the potential of dead trees from the boreal forest of eastern Canada to serve as feedstock for wood pellet export. (2017). Barrette, Julie ; de Grandpre, Louis ; Pothier, David ; Junginger, Martin ; Achim, Alexis ; Thiffault, Evelyne. In: Applied Energy. RePEc:eee:appene:v:198:y:2017:i:c:p:410-425.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2018Unit roots, flexible trends, and the Prebisch-Singer hypothesis. (2018). Winkelried, Diego. In: Journal of Development Economics. RePEc:eee:deveco:v:132:y:2018:i:c:p:1-17.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017Is the price of gold to gold mining stocks asymmetric?. (2017). Batten, Jonathan ; Lucey, Brian M ; Kosedag, Arman ; Ciner, Cetin . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:402-407.

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2017Does foreign direct investment crowd in or crowd out private domestic investment in China? The effect of entry mode. (2017). Malizard, Julien ; Chen, George ; Yao, Yao. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:409-419.

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2017Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2018Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

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2018Does investor attention matter? The attention-return relationships in FX markets. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:644-660.

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2018Brexit and financial stability: An agent-based simulation. (2018). Samitas, Aristeidis ; SIRIOPOULOS, COSTAS ; Polyzos, Stathis . In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:181-192.

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2018International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236.

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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Jebabli, Ikram ; Roubaud, David. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2017Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131.

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2017Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns. (2017). Lee, Kyuseok. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:266-284.

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2017Two simple tests of the trend hypothesis under time-varying variance. (2017). Yang, Yang ; Wang, Shaoping. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:123-128.

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2018Dynamic connectedness of uncertainty across developed economies: A time-varying approach. (2018). Plakandaras, Vasilios ; GUPTA, RANGAN ; Gabauer, David ; Antonakakis, Nikolaos. In: Economics Letters. RePEc:eee:ecolet:v:166:y:2018:i:c:p:63-75.

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2017Meta-analytic cointegrating rank tests for dependent panels. (2017). Karaman Örsal, Deniz ; Arsova, Antonia ; Deniz Dilan Karaman , . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:61-72.

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2018Geopolitical risks and stock market dynamics of the BRICS. (2018). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bonato, Matteo. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:2:p:295-306.

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2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:32-46.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2018Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model. (2018). GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung ; Hosseini, Seyed Mehdi. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:124-142.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2017Spillovers from the oil sector to the housing market cycle. (2017). Sousa, Ricardo ; Agnello, Luca ; Hammoudeh, Shawkat ; Castro, Vitor. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:209-220.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. (2017). Pal, Debdatta ; Mitra, Subrata K. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:230-239.

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2017Assessing contagion risk from energy and non-energy commodity markets. (2017). Algieri, Bernardina ; Leccadito, Arturo. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:312-322.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Pino Saldías, Gabriel ; Herrera, Rodrigo ; Rodriguez, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Stochastic convergence in per capita energy use in world. (2017). Fallahi, Firouz. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:228-239.

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2017Cost efficiency and electricity market structure: A case study of OECD countries. (2017). Ajayi, Victor ; Glass, Anthony ; Weyman-Jones, Thomas . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:283-291.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2017Crude inventory accounting and speculation in the physical oil market. (2017). Diaz-Rainey, Ivan ; Lont, David H ; Roberts, Helen. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:508-522.

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2017Can stock market investors hedge energy risk? Evidence from Asia. (2017). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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2018Forecasting the WTI crude oil price by a hybrid-refined method. (2018). Chai, Jian ; Li, Jie-Xun ; Zhang, Zhe George ; Zhou, Xiao-Yang ; Xing, Li-Min. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:114-127.

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2018Oil returns and volatility: The role of mergers and acquisitions. (2018). GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:62-69.

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2018Addressing COP21 using a stock and oil market integration index. (2018). Batten, Jonathan ; Wagner, Niklas F ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Policy. RePEc:eee:enepol:v:116:y:2018:i:c:p:127-136.

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2017Modelling oil price-inflation nexus: The role of asymmetries. (2017). Salisu, Afees ; Oyewole, Oluwatomisin ; Isah, Kazeem ; Akanni, Lateef. In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:97-106.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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2017Intraday herding on a cross-border exchange. (2017). Verousis, Thanos ; Kallinterakis, Vasileios ; Leite, Mario Pedro ; Andrikopoulos, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:25-36.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2018Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks. (2018). Uddin, Gazi ; Shahzad, Syed Jawad Hussain ; Yoon, Seong-Min ; Hussain, Syed Jawad ; Hernandez, Jose Areola. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:167-180.

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2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:208-220.

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2018An analysis of time-varying commodity market price discovery. (2018). Narayan, Paresh Kumar ; Sharma, Susan Sunila. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:122-133.

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2018Modelling time varying volatility spillovers and conditional correlations across commodity metal futures. (2018). Karanasos, Menelaos ; Nath, Rajat ; Margaronis, Zannis ; Ali, Faek Menla. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:246-256.

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2017Examining the flight-to-safety with the implied volatilities. (2017). GhulamSarwar, . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:118-124.

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2017On the short-term predictability of stock returns: A quantile boosting approach. (2017). Pierdzioch, Christian ; Demirer, Riza ; Zhang, Huacheng . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:35-41.

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2017Herding effect on idiosyncratic volatility in U.S. industries. (2017). BenSaïda, Ahmed ; Bensaida, Ahmed . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:121-132.

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2017Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Tiwari, Aviral Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:87-95.

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2018The relationship among China’s fuel oil spot, futures and stock markets. (2018). Ping, LI ; Qingchao, Zeng ; Tianna, Yang ; Ziyi, Zhang. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:151-162.

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2018The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach. (2018). GUPTA, RANGAN ; Wohar, Mark E ; Muteba, John W. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:131-136.

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2018Financial stress and its non-linear impact on CEE exchange rates. (2018). Adam, Toma ; Matj, Jakub ; Benecka, Soa. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:346-360.

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2018Co-movement of international copper prices, Chinas economic activity, and stock returns: Structural breaks and volatility dynamics. (2018). Guo, Jin. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:62-77.

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2018Institutions and information flows, and their effect on capital flows. (2018). Pinar, Mehmet ; Volkan, Engin. In: Information Economics and Policy. RePEc:eee:iepoli:v:43:y:2018:i:c:p:34-47.

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More than 100 citations found, this list is not complete...

Mark Wohar has edited the books:


YearTitleTypeCited

Works by Mark Wohar:


YearTitleTypeCited
1990The Adjustment of Expectations to a Change in Regime: Comment. In: American Economic Review.
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article14
2011Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation In: 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland.
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paper0
2009Determinants of State Labor Productivity: The Changing Role of Density In: Journal of Regional Analysis and Policy.
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article0
2012Trends and Cycles in Real Commodity Prices: 1650-2010 In: CEH Discussion Papers.
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paper3
2016FORECASTING US INFLATION USING DYNAMIC GENERAL-TO-SPECIFIC MODEL SELECTION In: Bulletin of Economic Research.
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article0
1992Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets. In: The Financial Review.
[Citation analysis]
article0
2017A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set In: The Financial Review.
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article0
1999Are Tax Effects Important in the Long-Run Fisher Relationship? Evidence from the Municipal Bond Market In: Journal of Finance.
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article21
1991New Evidence Concerning the Expectations Theory for the Short End of the Maturity Spectrum In: Journal of Financial Research.
[Citation analysis]
article15
1995Determinants of Persistence in Relative Performance of Mutual Funds In: Journal of Financial Research.
[Citation analysis]
article14
1995DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS.(1995) In: Journal of Financial Research.
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This paper has another version. Agregated cites: 14
article
2006IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY In: Journal of Financial Research.
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article10
2004A Cautionary Note on the Order of Integration of Post-war Aggregate Wage, Price and Productivity Measures In: Manchester School.
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article0
2011PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK In: Manchester School.
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article14
2013A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH In: Manchester School.
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article3
1997Convergence in Interest Rates and Inflation Rates across Countries and over Time. In: Review of International Economics.
[Citation analysis]
article33
2014Breaks, trends and unit roots in commodity prices: a robust investigation In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article8
2018Nonlinear Taylor rules: evidence from a large dataset In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2003Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers.
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paper56
2004Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry.
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article
2003Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003.
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This paper has another version. Agregated cites: 56
paper
2015A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article0
2003Trends and Persistence in Primary Commodity Prices In: Royal Economic Society Annual Conference 2003.
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paper1
1996The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness. In: Economic Journal.
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article15
1999Derivative activities and managerial incentives in the banking industry In: Journal of Corporate Finance.
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article20
2006On the prevalence of trends in primary commodity prices In: Journal of Development Economics.
[Full Text][Citation analysis]
article68
2018Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆ In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article0
2010Persistence and time-varying coefficients In: Economics Letters.
[Full Text][Citation analysis]
article0
2016Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence In: Economic Systems.
[Full Text][Citation analysis]
article1
2006In-sample vs. out-of-sample tests of stock return predictability in the context of data mining In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article64
2014The relationship between energy and equity markets: Evidence from volatility impulse response functions In: Energy Economics.
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article26
2017Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data In: Energy Economics.
[Full Text][Citation analysis]
article9
2015Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data.(2015) In: Working Papers.
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paper
2017Forecasting oil and stock returns with a Qual VAR using over 150years off data In: Energy Economics.
[Full Text][Citation analysis]
article5
2015Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data.(2015) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2013The output gap and stock returns: Do cyclical fluctuations predict portfolio returns? In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article5
2013The determinants of quantile autocorrelations: Evidence from the UK In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article2
2015Examining real interest parity: Which component reverts quickest and in which regime? In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article1
2014Examining real interest parity: which component reverts quickest and in which regime?.(2014) In: Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1998Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article18
1996Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers.
[Citation analysis]
This paper has another version. Agregated cites: 18
paper
2013Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters.
[Full Text][Citation analysis]
article7
2017The depreciation of the pound post-Brexit: Could it have been predicted? In: Finance Research Letters.
[Full Text][Citation analysis]
article2
2016The Depreciation of the Pound Post-Brexit: Could it have been Predicted?.(2016) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1998Cointegration, forecasting and international stock prices In: Global Finance Journal.
[Full Text][Citation analysis]
article19
2002Testing the monetary model of exchange rate determination: new evidence from a century of data In: Journal of International Economics.
[Full Text][Citation analysis]
article122
2011Pierre L. Siklos, Martin T. Bohl and Mark E. Wohar, Challenges in central banking: the current institutional environment and forces affecting monetary policy , Cambridge University Press (2010). In: Journal of International Economics.
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article0
2013The contribution of economic fundamentals to movements in exchange rates In: Journal of International Economics.
[Full Text][Citation analysis]
article28
2012Commodity volatility breaks In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article69
2013International herding: Does it differ across sectors? In: Journal of International Financial Markets, Institutions and Money.
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article19
2017Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article8
2016Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach.(2016) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
1995The expectations theory of interest rates: Cointegration and factor decomposition In: International Journal of Forecasting.
[Full Text][Citation analysis]
article5
2005Macro variables and international stock return predictability In: International Journal of Forecasting.
[Full Text][Citation analysis]
article105
2006The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior In: International Journal of Forecasting.
[Full Text][Citation analysis]
article47
2017Forecasting market returns: bagging or combining? In: International Journal of Forecasting.
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article1
2001Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993 In: Journal of Economics and Business.
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article6
2013Changes in the oil price-inflation pass-through In: Journal of Economics and Business.
[Full Text][Citation analysis]
article10
2004Testing the monetary model of exchange rate determination: a closer look at panels In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article69
2009Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence In: Journal of International Money and Finance.
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article3
2012“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads In: Journal of International Money and Finance.
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article10
2014Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article3
2015Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance.
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article4
1995Public and private investment: Are there causal linkages? In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article36
2012An empirical investigation of the Taylor curve In: Journal of Macroeconomics.
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article3
2015Asymmetric tax multipliers In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article4
2016An evaluation of ECB policy in the Euros big four In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article0
2017The cyclicality of fiscal policy: New evidence from unobserved components approach In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article0
1987The determinants of international reserves in the small open economy: The case of Honduras In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article0
1990Monetary institutions, budget deficits and inflation : Empirical results for eight countries In: European Journal of Political Economy.
[Full Text][Citation analysis]
article5
2015Consumption growth, preference for smoothing, changes in expectations and risk premium In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
article1
2017Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
article4
2016Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach.(2016) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2013Causality between trading volume and returns: Evidence from quantile regressions In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article22
2014Determining what drives stock returns: Proper inference is crucial: Evidence from the UK In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article2
2016Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors In: International Review of Economics & Finance.
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article11
2016Can commodity returns forecast Canadian sector stock returns? In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article0
2017Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article0
2017Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article0
2017The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article2
2016The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches.(2016) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2018Do house prices hedge inflation in the US? A quantile cointegration approach In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article0
2017Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach.(2017) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1996Cointegration and the term structure: A multicountry comparison In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article8
1996Abnormal profits and relative strength in mutual fund returns In: Review of Financial Economics.
[Full Text][Citation analysis]
article2
1999The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act In: Review of Financial Economics.
[Full Text][Citation analysis]
article0
2016Periodically collapsing bubbles in the South African stock market In: Research in International Business and Finance.
[Full Text][Citation analysis]
article3
2016Periodically Collapsing Bubbles in the South African Stock Market.(2016) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2017Do commodities make effective hedges for equity investors? In: Research in International Business and Finance.
[Full Text][Citation analysis]
article0
2017Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development.
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article2
2002The Dynamics of Inflation: A Study of a Large Number of Countries In: EcoMod2010.
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paper5
2012The dynamics of inflation: a study of a large number of countries.(2012) In: Applied Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2002The Strategic Implications of Setting Border Tax Adjustments In: EcoMod2010.
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paper0
2001Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests In: Working Paper.
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paper8
2001Explaining stock price movements: is there a case for fundamentals? In: Economic and Financial Policy Review.
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article13
2001Low frequency movements in stock prices: a state space decomposition In: Working Papers.
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paper32
2002Low-Frequency Movements in Stock Prices: A State-Space Decomposition.(2002) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
1997Nonlinear dynamics and covered interest rate parity In: Working Papers.
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paper56
1998Nonlinear dynamics and covered interest rate parity.(1998) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56
article
2009Can the term spread predict output growth and recessions? a survey of the literature In: Review.
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article39
1983Regulation, Scale Economies, and Productivity in Steam-Electric Generation. In: International Economic Review.
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article19
1987Regulation, Scale and Productivity: Reply. In: International Economic Review.
[Full Text][Citation analysis]
article0
2006The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article5
2010Stock return predictability and dividend-price ratio: a nonlinear approach In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article9
2004The persistence in international real interest rates In: International Journal of Finance & Economics.
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article31
1996PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review. In: Journal of Applied Econometrics.
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article0
2005Valuation ratios and long-horizon stock price predictability In: Journal of Applied Econometrics.
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article20
2009Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective In: Journal of Applied Econometrics.
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article6
1987Alternative Modes of Deficit Financing and Endogeneous Monetary and Fiscal Policy in the U.S.A. 1923-1982. In: Journal of Applied Econometrics.
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article1
2007Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models This is a significantly revised version of our previous paper, Forecasting US Business Fixed I In: Journal of Forecasting.
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article1
2016Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test In: Open Economies Review.
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article12
2015Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test.(2015) In: Working Papers.
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2017The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach In: Open Economies Review.
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2016The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach.(2016) In: Working Papers.
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1999Models with Unexpected Components: The Case for Efficient Estimation. In: Review of Quantitative Finance and Accounting.
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article3
1995The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity. In: Journal of Money, Credit and Banking.
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article12
2005Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? In: Journal of Money, Credit and Banking.
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article69
2013An Unobserved Components Model that Yields Business and Medium‐Run Cycles In: Journal of Money, Credit and Banking.
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article0
2007Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure In: Journal of Economic Insight (formerly the Journal of Economics (MVEA)).
[Citation analysis]
article0
1998Stock Price Effects of Permanent and Transitory Shocks. In: Economic Inquiry.
[Citation analysis]
article10
2006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article55
2015Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014 In: MPRA Paper.
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paper0
2015The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test In: Working Papers.
[Citation analysis]
paper0
2015Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR In: Working Papers.
[Citation analysis]
paper0
2017Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR.(2017) In: Journal of Forecasting.
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article
2015Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach In: Working Papers.
[Citation analysis]
paper1
2016Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries In: Working Papers.
[Citation analysis]
paper3
2016Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis In: Working Papers.
[Citation analysis]
paper1
2016Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks In: Working Papers.
[Citation analysis]
paper1
2016The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa In: Working Papers.
[Citation analysis]
paper0
2016Forecasting US GNP Growth: The Role of Uncertainty In: Working Papers.
[Citation analysis]
paper1
2016Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach In: Working Papers.
[Citation analysis]
paper0
2018Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach.(2018) In: Journal of Economics and Finance.
[Full Text][Citation analysis]
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article
2016The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model In: Working Papers.
[Citation analysis]
paper2
2016Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data In: Working Papers.
[Citation analysis]
paper0
2016The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach In: Working Papers.
[Citation analysis]
paper0
2017Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets In: Working Papers.
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paper0
2017News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets In: Working Papers.
[Citation analysis]
paper0
2017Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test In: Working Papers.
[Citation analysis]
paper0
2017Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data In: Working Papers.
[Citation analysis]
paper0
2017U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict In: Working Papers.
[Citation analysis]
paper0
2017U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict.(2017) In: Working papers.
[Full Text][Citation analysis]
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2017Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model In: Working Papers.
[Citation analysis]
paper2
2017The 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 In: Working Papers.
[Citation analysis]
paper0
2017Time-Varying Rare Disaster Risks, Oil Returns and Volatility In: Working Papers.
[Citation analysis]
paper0
2017Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note In: Working Papers.
[Citation analysis]
paper0
2017Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data In: Working Papers.
[Citation analysis]
paper1
2017Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty In: Working Papers.
[Citation analysis]
paper0
2017Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks In: Working Papers.
[Citation analysis]
paper0
2017The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility In: Working Papers.
[Citation analysis]
paper0
2017An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data In: Working Papers.
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paper0
2017Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains In: Working Papers.
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paper0
2018Volatility Jumps: The Role of Geopolitical Risks In: Working Papers.
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