Mark Wohar : Citation Profile


Are you Mark Wohar?

University of Nebraska-Omaha

22

H index

44

i10 index

1838

Citations

RESEARCH PRODUCTION:

153

Articles

78

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   36 years (1983 - 2019). See details.
   Cites by year: 51
   Journals where Mark Wohar has often published
   Relations with other researchers
   Recent citing documents: 205.    Total self citations: 69 (3.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwo4
   Updated: 2019-02-13    RAS profile: 2019-02-07    
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Relations with other researchers


Works with:

GUPTA, RANGAN (78)

Balcilar, Mehmet (18)

Plakandaras, Vasilios (9)

Pierdzioch, Christian (8)

Olson, Eric (8)

Selmi, Refk (7)

Sousa, Ricardo (6)

Demirer, Riza (5)

Miller, Stephen (4)

Baharumshah, Ahmad Zubaidi (4)

bouoiyour, jamal (4)

Gil-Alana, Luis (3)

Lau, Chi Keung (3)

Tiwari, Aviral (3)

Kellard, Neil (2)

Muteba Mwamba, John Weirstrasd (2)

Slesman, Ly (2)

Nguyen, Duc Khuong (2)

Gkillas (Gillas), Konstantinos (2)

Soon, Siew-Voon (2)

Chuliá, Helena (2)

Sirichand, Kavita (2)

Jooste, Charl (2)

Uribe, Jorge (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 (134)

Balcilar, Mehmet (27)

Pierdzioch, Christian (24)

Hammoudeh, Shawkat (20)

Byrne, Joseph (19)

Frankel, Jeffrey (19)

Miller, Stephen (16)

Menkhoff, Lukas (15)

Demirer, Riza (15)

Nguyen, Duc Khuong (15)

Ghoshray, Atanu (14)

Cites to:

Campbell, John (192)

GUPTA, RANGAN (156)

Perron, Pierre (115)

Shiller, Robert (100)

Kilian, Lutz (70)

Balcilar, Mehmet (65)

Stock, James (52)

Watson, Mark (47)

Engle, Robert (45)

Hamilton, James (44)

West, Kenneth (43)

Main data


Where Mark Wohar has published?


Journals with more than one article published# docs
Applied Economics10
International Review of Economics & Finance9
Journal of Macroeconomics7
Applied Financial Economics6
The European Journal of Finance5
Journal of International Money and Finance5
Finance Research Letters5
Energy Economics4
Manchester School4
International Review of Financial Analysis4
Journal of Applied Econometrics4
International Journal of Forecasting4
The Quarterly Review of Economics and Finance3
Journal of Financial Research3
International Journal of Finance & Economics3
Journal of International Financial Markets, Institutions and Money3
Journal of Money, Credit and Banking3
Journal of International Economics3
Southern Economic Journal3
The Review of Economics and Statistics3
Economic Modelling2
Economic Inquiry2
Journal of Regional Analysis and Policy2
Journal of Economics and Finance2
International Economic Review2
The Financial Review2
Journal of Economics and Business2
International Journal of Finance & Economics2
Research in International Business and Finance2
Review of Financial Economics2
Studies in Nonlinear Dynamics & Econometrics2
Open Economies Review2

Working Papers Series with more than one paper published# docs
Working Papers / University of Pretoria, Department of Economics54
Computing in Economics and Finance 2005 / Society for Computational Economics2
EcoMod2010 / EcoMod2
Post-Print / HAL2
Finance / University Library of Munich, Germany2
Working Papers / Federal Reserve Bank of Dallas2

Recent works citing Mark Wohar (2019 and 2018)


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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2018Profitability and Competition in EU Food Retailing. (2018). Finger, Robert ; Hirsch, Stefan ; Lanter, David. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274202.

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2018Food Price Variability and Import Dependence: A Country Panel Analysis. (2018). Villoria, Nelson ; Chen, Bowen . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274285.

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2018International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment. (2018). Heckelei, T ; Grosche, S ; Amrouk, E M. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277376.

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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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2018Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396.

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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886.

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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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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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2018Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656.

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2018Inflation and the Dispersion of Relative Prices: A Case for 4 % Solution. (2018). Rather, Sartaj Rasool ; Ramachandran, M ; Durai, Raja Sethu ; Sethudurai, Raja . In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:1:p:81-91.

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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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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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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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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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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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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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

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2018Testing the predictability of commodity prices in stock returns: A new perspective. (2018). Salisu, Afees ; Raheem, Ibrahim D ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0061.

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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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2018Role of Energy on Economy The Case of Micro to Macro Level Analysis. (2018). Sarwar, Suleman ; Khalid, Muqaddas ; Amir, Mehnoor ; Waheed, Rida. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-01019.

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2018Crude oil and equity markets in major European countries: New evidence. (2018). miloudi, anthony ; Benkraiem, Ramzi ; Lahiani, Amine ; van Hoang, Thi Hong. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00237.

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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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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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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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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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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). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2018Asymmetric import cost pass-through in GCC countries: Evidence from nonlinear panel analysis. (2018). Al Samara, Mouyad ; Dombrecht, Michel ; Mrabet, Zouhair ; Alsamara, Mouyad. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:432-440.

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2019Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:153-171.

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2018Cross herding between American industries and the oil market. (2018). Ben Mabrouk, Houda ; Litimi, Houda ; Benmabrouk, Houda. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:196-205.

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2018OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach. (2018). GUPTA, RANGAN ; Yoon, Seong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:206-214.

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2018On credit and output: Is the supply of credit relevant?. (2018). Wojnilower, Joshua . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:38-56.

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2019Trade, Ecologically Unequal Exchange and Colonial Legacy: The Case of France and its Former Colonies (1962–2015). (2019). Infante-Amate, Juan ; Krausmann, Fridolin. In: Ecological Economics. RePEc:eee:ecolec:v:156:y:2019:i:c:p:98-109.

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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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2018On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach. (2018). GUPTA, RANGAN ; Gabauer, David. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:63-71.

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2018ArCo: An artificial counterfactual approach for high-dimensional panel time-series data. (2018). Carvalho, Carlos ; Medeiros, Marcelo C ; Masini, Ricardo . In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:352-380.

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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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2018Robust endogenous growth. (2018). Peretto, Pietro. In: European Economic Review. RePEc:eee:eecrev:v:108:y:2018:i:c:p:49-77.

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2019Improving prediction market forecasts by detecting and correcting possible over-reaction to price movements. (2019). Sung, Ming-Chien ; Cheah, Eng-Tuck ; Tai, Chung-Ching ; David, . In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:1:p:389-405.

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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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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). Tiwari, Aviral ; GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:62-69.

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2018Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. (2018). Selmi, Refk ; bouoiyour, jamal ; Hammoudeh, Shawkat ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:787-801.

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2018Uncovering the nonlinear predictive causality between natural gas and electricity prices. (2018). Uribe, Jorge ; Mosquera-Lopez, Stephania ; Guillen, Montserrat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:904-916.

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2018Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:377-388.

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2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. (2018). Ferrer, Roman ; Jareo, Francisco ; Lopez, Raquel ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20.

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

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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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2019The time-varying linkages between global oil market and Chinas commodity sectors: Evidence from DCC-GJR-GARCH analyses. (2019). Jiang, Yonghong ; Mo, Bin ; Nie, HE. In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:577-586.

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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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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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2018Output and stock prices: New evidence from the robust wavelet approach. (2018). Shahbaz, Muhammad ; Tiwari, Aviral Kumar ; Das, Debojyoti ; Bhattacharyya, Malay. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:154-160.

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2018The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach. (2018). Gupta, Suman ; Tiwari, Aviral Kumar ; Hasim, Haslifah ; Das, Debojyoti. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:91-98.

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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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2017Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area. (2017). GUPTA, RANGAN ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal ; Christou, Christina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:129-139.

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2018Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:152-172.

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2018Can economic policy uncertainty predict stock returns? Global evidence. (2018). Bach, Dinh Hoang ; Tran, Vuong Thao ; Sharma, Susan Sunila. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:134-150.

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2018Sustainable competitive advantage and profitability persistence: Sources versus outcomes for assessing advantage. (2018). Maury, Benjamin. In: Journal of Business Research. RePEc:eee:jbrese:v:84:y:2018:i:c:p:100-113.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018Fundamentals and exchange rate forecastability with simple machine learning methods. (2018). Stoltz, Gilles ; Michalski, Tomasz ; Amat, Christophe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:88:y:2018:i:c:p:1-24.

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2018The decline in the predictive power of the US term spread: A structural interpretation. (2018). Morell, Joe. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:314-331.

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2018Partisan conflict, policy uncertainty and aggregate corporate cash holdings. (2018). Hankins, William ; Stone, Anna-Leigh ; Chiu, Ching-Wai ; Jack, Chak Hung. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:58:y:2018:i:c:p:78-90.

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2018The optimisation rule for investment in mining projects. (2018). Salim, Ruhul ; Bloch, Harry ; Foo, Nam . In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:123-132.

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2018A note on the implied volatility spillovers between gold and silver markets. (2018). Dutta, Anupam. In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:192-195.

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2018Do precious metal spot prices influence each other? Evidence from a nonparametric causality-in-quantiles approach. (2018). Tiwari, Aviral ; Shahbaz, Muhammad ; Das, Debojyoti ; Hasim, Haslifah M ; Bhatia, Vaneet. In: Resources Policy. RePEc:eee:jrpoli:v:55:y:2018:i:c:p:244-252.

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2018Revisiting the Prebisch-Singer hypothesis of a secular decline in the terms of trade of primary commodities (1900–2016). A dynamic regime approach. (2018). Geronimi, Vincent ; Taranco, Armand . In: Resources Policy. RePEc:eee:jrpoli:v:59:y:2018:i:c:p:329-339.

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2018Oil and energy sector stock markets: An analysis of implied volatility indexes. (2018). Dutta, Anupam. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:44:y:2018:i:c:p:61-68.

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2018Regime-dependent herding behavior in Asian and Latin American stock markets. (2018). Kabir, Humayun M ; Shakur, Shamim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:60-78.

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2018Forecasting the CNY-CNH pricing differential: The role of investor attention. (2018). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:232-247.

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2018What moves benchmark money market rates? Evidence from the BBSW market. (2018). Casavecchia, Lorenzo ; Wu, Eliza ; Loudon, Geoffrey F. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:137-154.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018Whether the fluctuation of China’s financial markets have impact on global commodity prices?. (2018). Liao, Jia ; Xu, Xiangyun ; Qian, QI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1030-1040.

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2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469.

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2018Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models. (2018). GUPTA, RANGAN ; Das, Sonali ; Silva, Emmanuel Sirimal ; Hassani, Hossein. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:121-139.

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2018The multifractal properties of Euro and Pound exchange rates and comparisons. (2018). Ning, YE ; Wang, Yiming ; Han, Chenyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:578-587.

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2019Persistence in trends and cycles of gold and silver prices: Evidence from historical data. (2019). GUPTA, RANGAN ; Gil-Alana, Luis A ; Cunado, Juncal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:345-354.

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2018On the interdependence of natural gas and stock markets under structural breaks. (2018). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161.

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2018Stock return predictability and model instability: Evidence from mainland China and Hong Kong. (2018). Hong, Hui ; Ryan, James ; Obrien, Fergal ; Chen, Naiwei. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:132-142.

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2018Decomposing the predictive power of local and global financial valuation ratios. (2018). Lawrenz, Jochen ; Zorn, Josef. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:137-149.

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2018Poverty and the resource curse: Evidence from a global panel of countries. (2018). Apergis, Nicholas ; Katsaiti, Marina-Selini. In: Research in Economics. RePEc:eee:reecon:v:72:y:2018:i:2:p:211-223.

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2018Electricity crisis and the effect of CO2 emissions on infrastructure-growth nexus in Sub Saharan Africa. (2018). Chakamera, Chengete ; Alagidede, Paul. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:94:y:2018:i:c:p:945-958.

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2018Time-varying diversification strategies: The roles of state-level housing assets in optimal portfolios. (2018). Huang, Meichi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:145-172.

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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
2008The Composition of Industry and the Duration of State Recessions In: Journal of Regional Analysis and Policy.
[Full Text][Citation analysis]
article1
2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean In: Papers.
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paper1
2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean.(2018) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2018Measuring the response of gold prices to uncertainty: An analysis beyond the mean.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
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.
[Full Text][Citation analysis]
article0
2017Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data In: International Finance.
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article0
2018Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test In: International Review of Finance.
[Full Text][Citation analysis]
article0
2017Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test.(2017) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1999Are Tax Effects Important in the Long-Run Fisher Relationship? Evidence from the Municipal Bond Market In: Journal of Finance.
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article25
1991NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM In: Journal of Financial Research.
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article15
1995DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS In: Journal of Financial Research.
[Full Text][Citation analysis]
article6
2006IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY In: Journal of Financial Research.
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article10
1993BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER In: Journal of Time Series Analysis.
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article1
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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article15
2013A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH In: Manchester School.
[Full Text][Citation analysis]
article3
2018Testing the Efficiency of the Art Market Using Quantile†Based Unit Root Tests with Sharp and Smooth Breaks In: Manchester School.
[Full Text][Citation analysis]
article0
1997Convergence in Interest Rates and Inflation Rates across Countries and over Time. In: Review of International Economics.
[Citation analysis]
article34
2014Breaks, trends and unit roots in commodity prices: a robust investigation In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article9
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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paper57
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.
[Citation analysis]
This paper has another version. Agregated cites: 57
paper
2015A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article1
2003Trends and Persistence in Primary Commodity Prices In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article15
2019Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data In: Applied Energy.
[Full Text][Citation analysis]
article0
1999Derivative activities and managerial incentives in the banking industry In: Journal of Corporate Finance.
[Full Text][Citation analysis]
article22
2006On the prevalence of trends in primary commodity prices In: Journal of Development Economics.
[Full Text][Citation analysis]
article75
2018The predictive power of the yield spread for future economic expansions: Evidence from a new approach In: Economic Modelling.
[Full Text][Citation analysis]
article0
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.
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article3
2010Persistence and time-varying coefficients In: Economics Letters.
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article0
2016Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence In: Economic Systems.
[Full Text][Citation analysis]
article2
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]
article68
2014The relationship between energy and equity markets: Evidence from volatility impulse response functions In: Energy Economics.
[Full Text][Citation analysis]
article32
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]
article12
2015Common 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: 12
paper
2017Forecasting oil and stock returns with a Qual VAR using over 150years off data In: Energy Economics.
[Full Text][Citation analysis]
article9
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: 9
paper
2018Time-varying rare disaster risks, oil returns and volatility In: Energy Economics.
[Full Text][Citation analysis]
article2
2017Time-Varying Rare Disaster Risks, Oil Returns and Volatility.(2017) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2013The output gap and stock returns: Do cyclical fluctuations predict portfolio returns? In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article6
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.
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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]
article3
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: 3
paper
2018The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach In: Finance Research Letters.
[Full Text][Citation analysis]
article2
2016The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach.(2016) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2018Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2018Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis.(2018) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Volatility jumps: The role of geopolitical risks In: Finance Research Letters.
[Full Text][Citation analysis]
article2
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]
article133
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.
[Full Text][Citation analysis]
article0
2013The contribution of economic fundamentals to movements in exchange rates In: Journal of International Economics.
[Full Text][Citation analysis]
article30
2012Commodity volatility breaks In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article75
2013International herding: Does it differ across sectors? In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
article20
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]
article12
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: 12
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]
article113
2006The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior In: International Journal of Forecasting.
[Full Text][Citation analysis]
article48
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]
article13
2004Testing the monetary model of exchange rate determination: a closer look at panels In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article72
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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article6
2012“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads In: Journal of International Money and Finance.
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article11
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]
article4
2015Spurious long memory, uncommon breaks and the implied–realized volatility puzzle In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article4
1995Public and private investment: Are there causal linkages? In: Journal of Macroeconomics.
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article37
2012An empirical investigation of the Taylor curve In: Journal of Macroeconomics.
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article3
2015Asymmetric tax multipliers In: Journal of Macroeconomics.
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article4
2016An evaluation of ECB policy in the Euros big four In: Journal of Macroeconomics.
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article0
2017The cyclicality of fiscal policy: New evidence from unobserved components approach In: Journal of Macroeconomics.
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article0
2018Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty In: Journal of Macroeconomics.
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article5
2017Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty.(2017) In: Working Papers.
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paper
1987The determinants of international reserves in the small open economy: The case of Honduras In: Journal of Macroeconomics.
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article0
2018UK macroeconomic volatility: Historical evidence over seven centuries In: Journal of Policy Modeling.
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article0
2018News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets In: Journal of Multinational Financial Management.
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article0
1990Monetary institutions, budget deficits and inflation : Empirical results for eight countries In: European Journal of Political Economy.
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article5
2015Consumption growth, preference for smoothing, changes in expectations and risk premium In: The Quarterly Review of Economics and Finance.
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article2
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
2018Volatility spillovers across global asset classes: Evidence from time and frequency domains In: The Quarterly Review of Economics and Finance.
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article2
2013Causality between trading volume and returns: Evidence from quantile regressions In: International Review of Economics & Finance.
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article31
2014Determining what drives stock returns: Proper inference is crucial: Evidence from the UK In: International Review of Economics & Finance.
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article2
2016Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors In: International Review of Economics & Finance.
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article14
2016Can commodity returns forecast Canadian sector stock returns? In: International Review of Economics & Finance.
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article3
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]
article1
2017Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries In: International Review of Economics & Finance.
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article0
2017The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches In: International Review of Economics & Finance.
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article2
2016The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches.(2016) In: Working Papers.
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2018Do house prices hedge inflation in the US? A quantile cointegration approach In: International Review of Economics & Finance.
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2017Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach.(2017) In: Working Papers.
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1996Cointegration and the term structure: A multicountry comparison In: International Review of Economics & Finance.
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article8
1996Abnormal profits and relative strength in mutual fund returns In: Review of Financial Economics.
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1999The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act In: Review of Financial Economics.
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2016Periodically collapsing bubbles in the South African stock market In: Research in International Business and Finance.
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2016Periodically Collapsing Bubbles in the South African Stock Market.(2016) In: Working Papers.
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2017Do commodities make effective hedges for equity investors? In: Research in International Business and Finance.
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2017Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day In: World Development.
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2002The Dynamics of Inflation: A Study of a Large Number of Countries In: EcoMod2010.
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2012The dynamics of inflation: a study of a large number of countries.(2012) In: Applied Economics.
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2002The Strategic Implications of Setting Border Tax Adjustments In: EcoMod2010.
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2001Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests In: Working Papers (Old Series).
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2001Explaining stock price movements: is there a case for fundamentals? In: Economic and Financial Policy Review.
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article14
2001Low frequency movements in stock prices: a state space decomposition In: Working Papers.
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paper33
2002Low-Frequency Movements in Stock Prices: A State-Space Decomposition.(2002) In: The Review of Economics and Statistics.
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1997Nonlinear dynamics and covered interest rate parity In: Working Papers.
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paper58
1998Nonlinear dynamics and covered interest rate parity.(1998) In: Empirical Economics.
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article
2009Can the term spread predict output growth and recessions? a survey of the literature In: Review.
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article41
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.
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article0
2006The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration In: International Journal of Finance & Economics.
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article6
2010Stock return predictability and dividend-price ratio: a nonlinear approach In: International Journal of Finance & Economics.
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article9
2004The persistence in international real interest rates In: International Journal of Finance & Economics.
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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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article21
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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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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article0
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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paper
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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article73
2013An Unobserved Components Model that Yields Business and Medium‐Run Cycles In: Journal of Money, Credit and Banking.
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article0
2016Structural Breaks in Volatility: The Case of Chinese Stock Returns In: Chinese Economy.
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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)).
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article0
1998Stock Price Effects of Permanent and Transitory Shocks. In: Economic Inquiry.
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article10
2006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns In: Journal of Financial Econometrics.
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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.
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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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