21
H index
43
i10 index
1676
Citations
Mark Wohar : Citation Profile
University of Nebraska-Omaha | RESEARCH PRODUCTION: 131 Articles 68 Papers EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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35 years (1983 - 2018). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Mark Wohar. | Is cited by:
| Cites to:
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Main data
Where Mark Wohar has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / University of Pretoria, Department of Economics | 47 |
| EcoMod2010 / EcoMod | 2 |
| Working Papers / Federal Reserve Bank of Dallas | 2 |
| Finance / University Library of Munich, Germany | 2 |
| Computing in Economics and Finance 2005 / Society for Computational Economics | 2 |
Recent works citing Mark Wohar (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09. Full description at Econpapers || Download paper | |
| 2017 | Investigating 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. Full description at Econpapers || Download paper | |
| 2018 | BUBBLES 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. Full description at Econpapers || Download paper | |
| 2017 | Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1507.01729. Full description at Econpapers || Download paper | |
| 2018 | Measuring 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. Full description at Econpapers || Download paper | |
| 2017 | Derivative 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. Full description at Econpapers || Download paper | |
| 2017 | U.S. Savings Banks Demutualization and Depositor Welfare. (2017). Meade, Richard ; Girotti, Mattia. In: Working Papers. RePEc:aut:wpaper:201708. Full description at Econpapers || Download paper | |
| 2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754. Full description at Econpapers || Download paper | |
| 2018 | Derivatives 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. Full description at Econpapers || Download paper | |
| 2017 | U.S. Savings Banks Demutualization and Depositor Welfare. (2017). Meade, Richard ; Girotti, Mattia. In: Working papers. RePEc:bfr:banfra:639. Full description at Econpapers || Download paper | |
| 2018 | Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95. Full description at Econpapers || Download paper | |
| 2018 | Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination. (2018). Agenor, Pierre-Richard ; Pereira, Luiz Awazu . In: BIS Papers. RePEc:bis:bisbps:97. Full description at Econpapers || Download paper | |
| 2017 | Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676. Full description at Econpapers || Download paper | |
| 2017 | Why 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. Full description at Econpapers || Download paper | |
| 2017 | Commodity 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. Full description at Econpapers || Download paper | |
| 2018 | FACTOR 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. Full description at Econpapers || Download paper | |
| 2017 | Interest 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | House 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. Full description at Econpapers || Download paper | |
| 2017 | Dissecting 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. Full description at Econpapers || Download paper | |
| 2017 | Effective 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. Full description at Econpapers || Download paper | |
| 2017 | Free 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. Full description at Econpapers || Download paper | |
| 2017 | Why 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Specification 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. Full description at Econpapers || Download paper | |
| 2017 | Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulà ria, 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. Full description at Econpapers || Download paper | |
| 2017 | Une 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. Full description at Econpapers || Download paper | |
| 2018 | Illiquidity 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. Full description at Econpapers || Download paper | |
| 2017 | Testing 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. Full description at Econpapers || Download paper | |
| 2017 | Lags, 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. Full description at Econpapers || Download paper | |
| 2017 | Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2018 | Predicting 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. Full description at Econpapers || Download paper | |
| 2017 | Testing 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. Full description at Econpapers || Download paper | |
| 2018 | Exchange rates, sunspots and cycles. (2018). Eugeni, Sara ; Bambi, Mauro. In: Working Papers. RePEc:dur:durham:2018_05. Full description at Econpapers || Download paper | |
| 2017 | Herd 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. Full description at Econpapers || Download paper | |
| 2017 | Can 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Has 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. Full description at Econpapers || Download paper | |
| 2018 | Inflation 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Does 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. Full description at Econpapers || Download paper | |
| 2018 | Tourism 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Nonlinear 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. Full description at Econpapers || Download paper | |
| 2018 | Unit 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. Full description at Econpapers || Download paper | |
| 2017 | Stock 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. Full description at Econpapers || Download paper | |
| 2017 | Is 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. Full description at Econpapers || Download paper | |
| 2017 | Does 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. Full description at Econpapers || Download paper | |
| 2017 | Can 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. Full description at Econpapers || Download paper | |
| 2017 | Can 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. Full description at Econpapers || Download paper | |
| 2017 | Generalized 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. Full description at Econpapers || Download paper | |
| 2018 | Testing 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. Full description at Econpapers || Download paper | |
| 2018 | Does 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. Full description at Econpapers || Download paper | |
| 2018 | Brexit 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. Full description at Econpapers || Download paper | |
| 2018 | International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236. Full description at Econpapers || Download paper | |
| 2018 | Time-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. Full description at Econpapers || Download paper | |
| 2017 | Herding 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. Full description at Econpapers || Download paper | |
| 2017 | Herd 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. Full description at Econpapers || Download paper | |
| 2017 | Two 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. Full description at Econpapers || Download paper | |
| 2018 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2017 | Meta-analytic cointegrating rank tests for dependent panels. (2017). Karaman Ãrsal, Deniz ; Arsova, Antonia ; Deniz Dilan Karaman , . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:61-72. Full description at Econpapers || Download paper | |
| 2018 | Geopolitical 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. Full description at Econpapers || Download paper | |
| 2017 | Spillovers 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. Full description at Econpapers || Download paper | |
| 2017 | Diversification 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. Full description at Econpapers || Download paper | |
| 2018 | Does 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. Full description at Econpapers || Download paper | |
| 2018 | Extreme 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. Full description at Econpapers || Download paper | |
| 2017 | Predicting 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. Full description at Econpapers || Download paper | |
| 2017 | Spillovers 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. Full description at Econpapers || Download paper | |
| 2017 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2017 | Time-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. Full description at Econpapers || Download paper | |
| 2017 | Assessing 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. Full description at Econpapers || Download paper | |
| 2017 | Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Pino SaldÃas, Gabriel ; Herrera, Rodrigo ; Rodriguez, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143. Full description at Econpapers || Download paper | |
| 2017 | Stochastic 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. Full description at Econpapers || Download paper | |
| 2017 | Cost 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. Full description at Econpapers || Download paper | |
| 2017 | Noncausality 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. Full description at Econpapers || Download paper | |
| 2017 | Crude 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. Full description at Econpapers || Download paper | |
| 2017 | Can 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. Full description at Econpapers || Download paper | |
| 2018 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2018 | Forecasting 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. Full description at Econpapers || Download paper | |
| 2018 | Oil 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. Full description at Econpapers || Download paper | |
| 2018 | Addressing 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. Full description at Econpapers || Download paper | |
| 2017 | Modelling 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. Full description at Econpapers || Download paper | |
| 2018 | Exploiting 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Intraday 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. Full description at Econpapers || Download paper | |
| 2017 | International 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. Full description at Econpapers || Download paper | |
| 2018 | Time-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. Full description at Econpapers || Download paper | |
| 2018 | Illiquidity 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. Full description at Econpapers || Download paper | |
| 2018 | An 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. Full description at Econpapers || Download paper | |
| 2018 | Modelling 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. Full description at Econpapers || Download paper | |
| 2017 | Examining 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. Full description at Econpapers || Download paper | |
| 2017 | On 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. Full description at Econpapers || Download paper | |
| 2017 | Herding 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. Full description at Econpapers || Download paper | |
| 2017 | Does 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | Financial 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. Full description at Econpapers || Download paper | |
| 2018 | Co-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. Full description at Econpapers || Download paper | |
| 2018 | Institutions 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. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Mark Wohar has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Mark Wohar:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1990 | The Adjustment of Expectations to a Change in Regime: Comment. In: American Economic Review. [Full Text][Citation analysis] | article | 14 |
| 2011 | Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation In: 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Determinants of State Labor Productivity: The Changing Role of Density In: Journal of Regional Analysis and Policy. [Full Text][Citation analysis] | article | 0 |
| 2012 | Trends and Cycles in Real Commodity Prices: 1650-2010 In: CEH Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | FORECASTING US INFLATION USING DYNAMIC GENERAL-TO-SPECIFIC MODEL SELECTION In: Bulletin of Economic Research. [Full Text][Citation analysis] | article | 0 |
| 1992 | Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets. In: The Financial Review. [Citation analysis] | article | 0 |
| 2017 | A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set In: The Financial Review. [Full Text][Citation analysis] | article | 0 |
| 1999 | Are Tax Effects Important in the Long-Run Fisher Relationship? Evidence from the Municipal Bond Market In: Journal of Finance. [Full Text][Citation analysis] | article | 21 |
| 1991 | New Evidence Concerning the Expectations Theory for the Short End of the Maturity Spectrum In: Journal of Financial Research. [Citation analysis] | article | 15 |
| 1995 | Determinants of Persistence in Relative Performance of Mutual Funds In: Journal of Financial Research. [Citation analysis] | article | 14 |
| 1995 | DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS.(1995) In: Journal of Financial Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
| 2006 | IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY In: Journal of Financial Research. [Full Text][Citation analysis] | article | 10 |
| 2004 | A Cautionary Note on the Order of Integration of Post-war Aggregate Wage, Price and Productivity Measures In: Manchester School. [Full Text][Citation analysis] | article | 0 |
| 2011 | PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK In: Manchester School. [Full Text][Citation analysis] | article | 14 |
| 2013 | A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH In: Manchester School. [Full Text][Citation analysis] | article | 3 |
| 1997 | Convergence in Interest Rates and Inflation Rates across Countries and over Time. In: Review of International Economics. [Citation analysis] | article | 33 |
| 2014 | Breaks, trends and unit roots in commodity prices: a robust investigation In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2018 | Nonlinear Taylor rules: evidence from a large dataset In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 56 |
| 2004 | Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes.(2004) In: Economic Inquiry. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | article | |
| 2003 | Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes.(2003) In: Computing in Economics and Finance 2003. [Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
| 2015 | A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Trends and Persistence in Primary Commodity Prices In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 1 |
| 1996 | The 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. [Full Text][Citation analysis] | article | 15 |
| 1999 | Derivative activities and managerial incentives in the banking industry In: Journal of Corporate Finance. [Full Text][Citation analysis] | article | 20 |
| 2006 | On the prevalence of trends in primary commodity prices In: Journal of Development Economics. [Full Text][Citation analysis] | article | 68 |
| 2018 | Does 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] | article | 0 |
| 2010 | Persistence and time-varying coefficients In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2016 | Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence In: Economic Systems. [Full Text][Citation analysis] | article | 1 |
| 2006 | In-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] | article | 64 |
| 2014 | The relationship between energy and equity markets: Evidence from volatility impulse response functions In: Energy Economics. [Full Text][Citation analysis] | article | 26 |
| 2017 | Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data In: Energy Economics. [Full Text][Citation analysis] | article | 9 |
| 2015 | Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data.(2015) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2017 | Forecasting oil and stock returns with a Qual VAR using over 150years off data In: Energy Economics. [Full Text][Citation analysis] | article | 5 |
| 2015 | Forecasting 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 | |
| 2013 | The output gap and stock returns: Do cyclical fluctuations predict portfolio returns? In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 5 |
| 2013 | The determinants of quantile autocorrelations: Evidence from the UK In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 2 |
| 2015 | Examining real interest parity: Which component reverts quickest and in which regime? In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
| 2014 | Examining 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 | |
| 1998 | Two puzzles in the analysis of foreign exchange market efficiency In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 18 |
| 1996 | Two Puzzles in the Analysis of Foreign Exchange Market Efficiency..(1996) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2013 | Time varying stock return predictability: Evidence from US sectors In: Finance Research Letters. [Full Text][Citation analysis] | article | 7 |
| 2017 | The depreciation of the pound post-Brexit: Could it have been predicted? In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2016 | The 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 | |
| 1998 | Cointegration, forecasting and international stock prices In: Global Finance Journal. [Full Text][Citation analysis] | article | 19 |
| 2002 | Testing the monetary model of exchange rate determination: new evidence from a century of data In: Journal of International Economics. [Full Text][Citation analysis] | article | 122 |
| 2011 | Pierre 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. [Full Text][Citation analysis] | article | 0 |
| 2013 | The contribution of economic fundamentals to movements in exchange rates In: Journal of International Economics. [Full Text][Citation analysis] | article | 28 |
| 2012 | Commodity volatility breaks In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 69 |
| 2013 | International herding: Does it differ across sectors? In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 19 |
| 2017 | Impact 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] | article | 8 |
| 2016 | Impact 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 | |
| 1995 | The expectations theory of interest rates: Cointegration and factor decomposition In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
| 2005 | Macro variables and international stock return predictability In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 105 |
| 2006 | The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 47 |
| 2017 | Forecasting market returns: bagging or combining? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2001 | Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993 In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 6 |
| 2013 | Changes in the oil price-inflation pass-through In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 10 |
| 2004 | Testing the monetary model of exchange rate determination: a closer look at panels In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 69 |
| 2009 | Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
| 2012 | “Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 10 |
| 2014 | Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
| 2015 | Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 4 |
| 1995 | Public and private investment: Are there causal linkages? In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 36 |
| 2012 | An empirical investigation of the Taylor curve In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 3 |
| 2015 | Asymmetric tax multipliers In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 4 |
| 2016 | An evaluation of ECB policy in the Euros big four In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 0 |
| 2017 | The cyclicality of fiscal policy: New evidence from unobserved components approach In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 0 |
| 1987 | The determinants of international reserves in the small open economy: The case of Honduras In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 0 |
| 1990 | Monetary institutions, budget deficits and inflation : Empirical results for eight countries In: European Journal of Political Economy. [Full Text][Citation analysis] | article | 5 |
| 2015 | Consumption growth, preference for smoothing, changes in expectations and risk premium In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2017 | Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2016 | Do 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 | |
| 2013 | Causality between trading volume and returns: Evidence from quantile regressions In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 22 |
| 2014 | Determining what drives stock returns: Proper inference is crucial: Evidence from the UK In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 2 |
| 2016 | Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 11 |
| 2016 | Can commodity returns forecast Canadian sector stock returns? In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | The 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] | article | 2 |
| 2016 | The 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 | |
| 2018 | Do house prices hedge inflation in the US? A quantile cointegration approach In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Do 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 | |
| 1996 | Cointegration and the term structure: A multicountry comparison In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 8 |
| 1996 | Abnormal profits and relative strength in mutual fund returns In: Review of Financial Economics. [Full Text][Citation analysis] | article | 2 |
| 1999 | The 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] | article | 0 |
| 2016 | Periodically collapsing bubbles in the South African stock market In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 3 |
| 2016 | Periodically Collapsing Bubbles in the South African Stock Market.(2016) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2017 | Do commodities make effective hedges for equity investors? In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development. [Full Text][Citation analysis] | article | 2 |
| 2002 | The Dynamics of Inflation: A Study of a Large Number of Countries In: EcoMod2010. [Full Text][Citation analysis] | paper | 5 |
| 2012 | The 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 | |
| 2002 | The Strategic Implications of Setting Border Tax Adjustments In: EcoMod2010. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests In: Working Paper. [Full Text][Citation analysis] | paper | 8 |
| 2001 | Explaining stock price movements: is there a case for fundamentals? In: Economic and Financial Policy Review. [Full Text][Citation analysis] | article | 13 |
| 2001 | Low frequency movements in stock prices: a state space decomposition In: Working Papers. [Full Text][Citation analysis] | paper | 32 |
| 2002 | Low-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 | |
| 1997 | Nonlinear dynamics and covered interest rate parity In: Working Papers. [Full Text][Citation analysis] | paper | 56 |
| 1998 | Nonlinear dynamics and covered interest rate parity.(1998) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | article | |
| 2009 | Can the term spread predict output growth and recessions? a survey of the literature In: Review. [Full Text][Citation analysis] | article | 39 |
| 1983 | Regulation, Scale Economies, and Productivity in Steam-Electric Generation. In: International Economic Review. [Full Text][Citation analysis] | article | 19 |
| 1987 | Regulation, Scale and Productivity: Reply. In: International Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2006 | The 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] | article | 5 |
| 2010 | Stock return predictability and dividend-price ratio: a nonlinear approach In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 9 |
| 2004 | The persistence in international real interest rates In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 31 |
| 1996 | PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2005 | Valuation ratios and long-horizon stock price predictability In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 20 |
| 2009 | Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 6 |
| 1987 | Alternative Modes of Deficit Financing and Endogeneous Monetary and Fiscal Policy in the U.S.A. 1923-1982. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Forecasting 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. [Full Text][Citation analysis] | article | 1 |
| 2016 | Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test In: Open Economies Review. [Full Text][Citation analysis] | article | 12 |
| 2015 | Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test.(2015) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2017 | The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach In: Open Economies Review. [Full Text][Citation analysis] | article | 0 |
| 2016 | The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach.(2016) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1999 | Models with Unexpected Components: The Case for Efficient Estimation. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 3 |
| 1995 | The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 12 |
| 2005 | Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? In: Journal of Money, Credit and Banking. [Citation analysis] | article | 69 |
| 2013 | An Unobserved Components Model that Yields Business and Medium‐Run Cycles In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 0 |
| 2007 | Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure In: Journal of Economic Insight (formerly the Journal of Economics (MVEA)). [Citation analysis] | article | 0 |
| 1998 | Stock Price Effects of Permanent and Transitory Shocks. In: Economic Inquiry. [Citation analysis] | article | 10 |
| 2006 | Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 55 |
| 2015 | Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014 In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test In: Working Papers. [Citation analysis] | paper | 0 |
| 2015 | Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR.(2017) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2015 | Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach In: Working Papers. [Citation analysis] | paper | 1 |
| 2016 | Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries In: Working Papers. [Citation analysis] | paper | 3 |
| 2016 | Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis In: Working Papers. [Citation analysis] | paper | 1 |
| 2016 | Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks In: Working Papers. [Citation analysis] | paper | 1 |
| 2016 | The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa In: Working Papers. [Citation analysis] | paper | 0 |
| 2016 | Forecasting US GNP Growth: The Role of Uncertainty In: Working Papers. [Citation analysis] | paper | 1 |
| 2016 | Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach In: Working Papers. [Citation analysis] | paper | 0 |
| 2018 | Differences 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] This paper has another version. Agregated cites: 0 | article | |
| 2016 | The 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] | paper | 2 |
| 2016 | Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data In: Working Papers. [Citation analysis] | paper | 0 |
| 2016 | The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict.(2017) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model In: Working Papers. [Citation analysis] | paper | 2 |
| 2017 | 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 In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Time-Varying Rare Disaster Risks, Oil Returns and Volatility In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Time-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] | paper | 1 |
| 2017 | Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data In: Working Papers. [Citation analysis] | paper | 0 |
| 2017 | Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains In: Working Papers. [Citation analysis] | paper | 0 |
| 2018 | Volatility Jumps: The Role of Geopolitical Risks In: Working Papers. [Citation analysis] | paper | 0 |
| 2018 | International Monetary Policy Spillovers: Evidence from a TVP-VAR In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests In: Working Papers. [Citation analysis] | paper | 0 |
| 2018 | Persistence of Economic Uncertainty: A Comprehensive Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data In: Working Papers. [Citation analysis] | paper | 0 |
| 2018 | Growth Volatility and Inequality in the U.S.: A Wavelet Analysis In: Working Papers. [Citation analysis] | paper | 0 |
| 2018 | Growth Volatility and Inequality in the U.S.: A Wavelet Analysis.(2018) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Are BRICS Exchange Rates Chaotic? In: Working Papers. [Citation analysis] | paper | 0 |
| 2018 | Oil Shocks and Volatility Jumps In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1989 | The Indeterminacy of the Optimal Aggregate for Stabilization Policy under Rational Expectations - L’indeterminatezza dell’aggregato monetario ottimale per la politica di stabilizzazione in presenz In: Economia Internazionale / International Economics. [Citation analysis] | article | 0 |
| 2005 | The Impact of Petroleum Product Prices on State Economic Conditions: An Analysis of the Economic Base In: The Review of Regional Studies. [Full Text][Citation analysis] | article | 1 |
| 1987 | Keynes on Investment and the Business Cycle In: Review of Radical Political Economics. [Full Text][Citation analysis] | article | 0 |
| 2005 | Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 0 |
| 2005 | The Long and the Short of It: Long Memory Regressors and Predictive Regressions In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 0 |
| 2004 | The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries In: Southern Economic Journal. [Citation analysis] | article | 13 |
| 2006 | What Drives Stock Prices? Identifying the Determinants of Stock Price Movements In: Southern Economic Journal. [Citation analysis] | article | 2 |
| 2007 | Domestic–foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models In: Southern Economic Journal. [Citation analysis] | article | 1 |
| 2007 | Determinants of state diesel fuel excise tax rates: the political economy of fuel taxation in the United States In: The Annals of Regional Science. [Full Text][Citation analysis] | article | 15 |
| 2006 | Identifying regime changes in closed-end fund discounts In: Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Sum of the parts stock return forecasting: international evidence In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
| 2011 | Structural breaks in volatility: the case of UK sector returns In: Applied Financial Economics. [Full Text][Citation analysis] | article | 5 |
| 2012 | Interactive effect of changes in the shape of the yield curve and conditional term spread on expected equity returns In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Output and stock prices: an examination of the relationship over 200 years In: Applied Financial Economics. [Full Text][Citation analysis] | article | 4 |
| 2013 | UK stock market predictability: evidence of time variation In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
| 2004 | A cointegrated structural VAR model of the Canadian economy In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
| 2007 | Do increases in petroleum product prices put the incumbent party at risk in US presidential elections? In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
| 2013 | The relationship between temperature and CO 2 emissions: evidence from a short and very long dataset In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
| 2013 | Long-run growth empirics and new challenges for unified theory In: Applied Economics. [Full Text][Citation analysis] | article | 5 |
| 2014 | Expected returns and expected dividend growth: time to rethink an established empirical literature In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2014 | The conditional influence of term spread and pattern changes on future equity returns In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2015 | Location, location, location: currency effects and return predictability? In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
| 2015 | Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
| 2004 | Technological convergence among US regions and states In: Economics of Innovation and New Technology. [Full Text][Citation analysis] | article | 6 |
| 2013 | Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach In: Econometric Reviews. [Full Text][Citation analysis] | article | 7 |
| 2010 | UK stock price effects of permanent and transitory shocks In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Sources of the stock price fluctuations in Chinese equity market In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2001 | U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks In: Trinity Economics Papers. [Full Text][Citation analysis] | paper | 4 |
| 1984 | Monetarism and the Aggregate Economy: Some Longer-Run Evidence. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 6 |
| 2010 | The Prebisch-Singer Hypothesis: Four Centuries of Evidence In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 85 |
| 1993 | Corporate Ownership and the Thrift Crisis. In: Journal of Law and Economics. [Full Text][Citation analysis] | article | 21 |
| 1993 | Convergence in Interest Rates and Inflation Rates Across Countries and Across Time. In: Working Papers. [Citation analysis] | paper | 0 |
| 2015 | Capital Inflows and Economic Growth: Does the Role of Institutions Matter? In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 5 |
| 1997 | Are Tax Effects Important in the Long-Run Fisher Relation?: Evidence from the Municipal Bond Market In: Finance. [Full Text][Citation analysis] | paper | 0 |
| 1997 | The Long-Run Linkage Between Yields on Treasury and Municipal Bonds and the 1986 Tax Act In: Finance. [Full Text][Citation analysis] | paper | 0 |
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