Details about Mark Wohar

E-mail:
Homepage:	http://mwohar.unomaha.community/homepage.html
Phone:	402-554-3712
Postal address:	University of Nebraska-Omaha Department of Economics MH 332S Omaha, NE 68182 USA
Workplace:	Department of Economics, University of Nebraska-Omaha, (more information at EDIRC)

Access statistics for papers by Mark Wohar.

Last updated 2022-08-13. Update your information in the RePEc Author Service.

Short-id: pwo4

---

Jump to Journal Articles Edited books Chapters

Working Papers

2022

1. How Does the Economic Uncertainty Affect Asset Prices under Normal and Financial Distress Times?
   IZA Discussion Papers, Institute of Labor Economics (IZA)

2021

2. Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies
   IZA Discussion Papers, Institute of Labor Economics (IZA)
3. Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model
   Working Papers, University of Pretoria, Department of Economics View citations (2)
   See also Journal Article Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model, Finance Research Letters, Elsevier (2022) View citations (1) (2022)
4. Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis
   Working Papers, University of Pretoria, Department of Economics View citations (1)

2020

5. Are U.S. industries resilient in dealing with trade uncertainty ? The case of U.S.-China trade war
   Post-Print, HAL View citations (1)
6. Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article Evolution of price effects after one-day abnormal returns in the US stock market, The North American Journal of Economics and Finance, Elsevier (2021) View citations (5) (2021)
7. Is there a National Housing Market Bubble Brewing in the United States?
   Working Papers, University of Pretoria, Department of Economics View citations (7)
   Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2020) View citations (7)
8. Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump
   Post-Print, HAL View citations (5)
   See also Journal Article Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump, Applied Economics, Taylor & Francis Journals (2020) View citations (5) (2020)
9. Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   See also Journal Article Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio, International Review of Economics & Finance, Elsevier (2021) (2021)
10. The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach, Research in International Business and Finance, Elsevier (2021) View citations (5) (2021)
11. The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article The impact of disaggregated oil shocks on state-level consumption of the United States, Applied Economics Letters, Taylor & Francis Journals (2021) View citations (2) (2021)
12. The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence, Finance Research Letters, Elsevier (2021) View citations (5) (2021)
13. Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (10)

2019

14. Bitcoin: competitor or complement to gold?
    Post-Print, HAL View citations (18)
    See also Journal Article Bitcoin: competitor or complement to gold?, Economics Bulletin, AccessEcon (2019) View citations (21) (2019)
15. Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
16. Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
    Working Papers, Eastern Mediterranean University, Department of Economics
    See also Journal Article Fed’s unconventional monetary policy and risk spillover in the US financial markets, The Quarterly Review of Economics and Finance, Elsevier (2020) View citations (7) (2020)
17. Giant Oil Discoveries and Conflicts
    Working Papers, University of Pretoria, Department of Economics
18. Gold, Platinum and the Predictability of Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Gold, platinum and the predictability of bond risk premia, Finance Research Letters, Elsevier (2021) View citations (6) (2021)
19. Halloween Effect in Developed Stock Markets: A US Perspective
    Working Papers, University of Pretoria, Department of Economics View citations (1)
20. High-Frequency Volatility Forecasting of US Housing Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article High-Frequency Volatility Forecasting of US Housing Markets, The Journal of Real Estate Finance and Economics, Springer (2021) View citations (7) (2021)
21. Historical Evolution of Monthly Anomalies in International Stock Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Historical evolution of monthly anomalies in international stock markets, Research in International Business and Finance, Elsevier (2020) View citations (3) (2020)
22. Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Historical volatility of advanced equity markets: The role of local and global crises, Finance Research Letters, Elsevier (2020) View citations (2) (2020)
23. Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence
    Working Papers, University of Pretoria, Department of Economics View citations (1)
24. Is the Housing Market in the United States Really Weakly-Efficient?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Is the Housing Market in the United States Really Weakly-Efficient?, Applied Economics Letters, Taylor & Francis Journals (2020) View citations (2) (2020)
25. Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Multi-Horizon Financial and Housing Wealth Effects across the U.S. States, Sustainability, MDPI (2021) View citations (1) (2021)
26. Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Oil price uncertainty and movements in the US government bond risk premia, The North American Journal of Economics and Finance, Elsevier (2020) View citations (22) (2020)
27. Price Gap Anomaly in the US Stock Market: The Whole Story
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Price gap anomaly in the US stock market: The whole story, The North American Journal of Economics and Finance, Elsevier (2020) View citations (1) (2020)
28. Rise and Fall of Calendar Anomalies over a Century
    Working Papers, University of Pretoria, Department of Economics View citations (20)
    See also Journal Article Rise and fall of calendar anomalies over a century, The North American Journal of Economics and Finance, Elsevier (2019) View citations (21) (2019)
29. Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals
    Post-Print, HAL View citations (17)
    See also Journal Article Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals, Applied Economics, Taylor & Francis Journals (2019) View citations (21) (2019)
30. Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?
    Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
31. The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
    Working Papers, University of Pretoria, Department of Economics
32. The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach, Applied Economics, Taylor & Francis Journals (2020) View citations (2) (2020)
33. The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States
    Working Papers, University of Pretoria, Department of Economics
34. Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold
    Working Papers, University of Pretoria, Department of Economics View citations (3)
35. What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
    Post-Print, HAL View citations (119)
    See also Journal Article What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?, Energy Economics, Elsevier (2019) View citations (128) (2019)
36. What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data, The Journal of Real Estate Finance and Economics, Springer (2021) (2021)

2018

37. Are BRICS Exchange Rates Chaotic?
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article Are BRICS exchange rates chaotic?, Applied Economics Letters, Taylor & Francis Journals (2019) View citations (7) (2019)
38. Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis
    Post-Print, HAL View citations (7)
    See also Journal Article Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis, Finance Research Letters, Elsevier (2018) View citations (8) (2018)
39. Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Geopolitical risks and recessions in a panel of advanced economies: evidence from over a century of data, Applied Economics Letters, Taylor & Francis Journals (2019) View citations (18) (2019)
40. Growth Volatility and Inequality in the U.S.: A Wavelet Analysis
    Working Papers, University of Pretoria, Department of Economics
    Also in Working papers, University of Connecticut, Department of Economics (2018)
    See also Journal Article Growth volatility and inequality in the U.S.: A wavelet analysis, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (3) (2019)
41. International Monetary Policy Spillovers: Evidence from a TVP-VAR
    Working Papers, University of Pretoria, Department of Economics
42. Measuring the response of gold prices to uncertainty: An analysis beyond the mean
    Papers, arXiv.org View citations (78)
    Also in Post-Print, HAL (2018) View citations (68)
    See also Journal Article Measuring the response of gold prices to uncertainty: An analysis beyond the mean, Economic Modelling, Elsevier (2018) View citations (78) (2018)
43. Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics
44. Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
45. Oil Shocks and Volatility Jumps
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article Oil shocks and volatility jumps, Review of Quantitative Finance and Accounting, Springer (2020) View citations (9) (2020)
46. Persistence of Economic Uncertainty: A Comprehensive Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Persistence of economic uncertainty: a comprehensive analysis, Applied Economics, Taylor & Francis Journals (2019) View citations (9) (2019)
47. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings, International Review of Finance, International Review of Finance Ltd. (2021) View citations (7) (2021)
48. Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
49. The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels
    Working Papers, University of Pretoria, Department of Economics View citations (11)
50. The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests, Finance Research Letters, Elsevier (2019) View citations (10) (2019)
51. The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data, Economics and Business Letters, Oviedo University Press (2019) View citations (3) (2019)
52. Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017, Journal of Multinational Financial Management, Elsevier (2019) View citations (4) (2019)
53. Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Time-varying predictability of oil market movements over a century of data: The role of US financial stress, The North American Journal of Economics and Finance, Elsevier (2019) View citations (18) (2019)
54. Volatility Jumps: The Role of Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (55)
    See also Journal Article Volatility jumps: The role of geopolitical risks, Finance Research Letters, Elsevier (2018) View citations (41) (2018)

2017

55. An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
56. Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2019) View citations (9) (2019)
57. Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty, Journal of Macroeconomics, Elsevier (2018) View citations (83) (2018)
58. Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (3)
59. Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Do house prices hedge inflation in the US? A quantile cointegration approach, International Review of Economics & Finance, Elsevier (2018) View citations (13) (2018)
60. Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
61. Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Exchange rate returns and volatility: the role of time-varying rare disaster risks, The European Journal of Finance, Taylor & Francis Journals (2019) View citations (15) (2019)
62. News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets, Journal of Multinational Financial Management, Elsevier (2018) View citations (13) (2018)
63. 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
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article 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, The North American Journal of Economics and Finance, Elsevier (2019) (2019)
64. The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article The role of time‐varying rare disaster risks in predicting bond returns and volatility, Review of Financial Economics, John Wiley & Sons (2019) View citations (4) (2019)
65. Time-Varying Rare Disaster Risks, Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Time-varying rare disaster risks, oil returns and volatility, Energy Economics, Elsevier (2018) View citations (50) (2018)
66. Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data, Empirical Economics, Springer (2020) View citations (6) (2020)
67. U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working papers, University of Connecticut, Department of Economics (2017) View citations (2)
    See also Journal Article US Fiscal Policy and Asset Prices: The Role of Partisan Conflict, International Review of Finance, International Review of Finance Ltd. (2019) View citations (4) (2019)
68. Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Volatility spillovers across global asset classes: Evidence from time and frequency domains, The Quarterly Review of Economics and Finance, Elsevier (2018) View citations (90) (2018)
69. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note
    Working Papers, University of Pretoria, Department of Economics
70. Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test, International Review of Finance, International Review of Finance Ltd. (2018) View citations (1) (2018)

2016

71. Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach, Journal of Economics and Finance, Springer (2018) View citations (7) (2018)
72. Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
73. Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (9)
74. Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach, The Quarterly Review of Economics and Finance, Elsevier (2017) View citations (21) (2017)
75. Forecasting US GNP Growth: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article Forecasting US GNP growth: The role of uncertainty, Journal of Forecasting, John Wiley & Sons, Ltd. (2018) View citations (10) (2018)
76. Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (78) (2017)
77. Periodically Collapsing Bubbles in the South African Stock Market
    Working Papers, University of Pretoria, Department of Economics View citations (20)
    See also Journal Article Periodically collapsing bubbles in the South African stock market, Research in International Business and Finance, Elsevier (2016) View citations (16) (2016)
78. Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (17)
    See also Journal Article Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries, The European Journal of Finance, Taylor & Francis Journals (2018) View citations (26) (2018)
79. Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
80. The Depreciation of the Pound Post-Brexit: Could it have been Predicted?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article The depreciation of the pound post-Brexit: Could it have been predicted?, Finance Research Letters, Elsevier (2017) View citations (12) (2017)
81. The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches, International Review of Economics & Finance, Elsevier (2017) View citations (11) (2017)
82. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (5)
83. The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model, Empirica, Springer (2019) View citations (48) (2019)
84. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach, Open Economies Review, Springer (2017) View citations (10) (2017)
85. The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach, Finance Research Letters, Elsevier (2018) View citations (13) (2018)

2015

86. Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach, Applied Economics, Taylor & Francis Journals (2018) View citations (36) (2018)
87. Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014, Bulletin of Economic Research, Wiley Blackwell (2019) View citations (4) (2019)
88. Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data, Energy Economics, Elsevier (2017) View citations (37) (2017)
89. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test, Open Economies Review, Springer (2016) View citations (95) (2016)
90. Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) View citations (3) (2017)
91. Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Forecasting oil and stock returns with a Qual VAR using over 150years off data, Energy Economics, Elsevier (2017) View citations (46) (2017)
92. The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)

2014

93. Examining real interest parity: which component reverts quickest and in which regime?
    Discussion Paper Series, Department of Economics, Loughborough University
    See also Journal Article Examining real interest parity: Which component reverts quickest and in which regime?, International Review of Financial Analysis, Elsevier (2015) View citations (5) (2015)

2012

94. Trends and Cycles in Real Commodity Prices: 1650-2010
    CEH Discussion Papers, Centre for Economic History, Research School of Economics, Australian National University View citations (4)

2011

95. Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation
    2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists

2010

96. The Dynamics of Inflation: A Study of a Large Number of Countries
    EcoMod2010, EcoMod
    See also Journal Article The dynamics of inflation: a study of a large number of countries, Applied Economics, Taylor & Francis Journals (2012) View citations (9) (2012)
97. The Strategic Implications of Setting Border Tax Adjustments
    EcoMod2010, EcoMod

2005

98. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence
    Computing in Economics and Finance 2005, Society for Computational Economics
99. The Long and the Short of It: Long Memory Regressors and Predictive Regressions
    Computing in Economics and Finance 2005, Society for Computational Economics

2003

100. Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes
     Computing in Economics and Finance 2003, Society for Computational Economics View citations (8)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (13)
     See also Journal Article Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes, Economic Inquiry, Western Economic Association International (2004) View citations (63) (2004)
101. Trends and Persistence in Primary Commodity Prices
     Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (3)

2001

102. U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
     Economic Papers, Trinity College Dublin, Economics Department View citations (7)
103. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests
     Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (8)

2000

104. Low frequency movements in stock prices: a state space decomposition
     Working Papers, Federal Reserve Bank of Dallas
     See also Journal Article Low-Frequency Movements in Stock Prices: A State-Space Decomposition, The Review of Economics and Statistics, MIT Press (2002) View citations (69) (2002)

1997

105. Are Tax Effects Important in the Long-Run Fisher Relation?: Evidence from the Municipal Bond Market
     Finance, University Library of Munich, Germany
106. Nonlinear dynamics and covered interest rate parity
     Working Papers, Federal Reserve Bank of Dallas View citations (2)
     See also Journal Article Nonlinear dynamics and covered interest rate parity, Empirical Economics, Springer (1998) View citations (64) (1998)
107. The Long-Run Linkage Between Yields on Treasury and Municipal Bonds and the 1986 Tax Act
     Finance, University Library of Munich, Germany

1996

108. Two Puzzles in the Analysis of Foreign Exchange Market Efficiency
     Discussion Papers, University of Nottingham, School of Economics View citations (1)
     See also Journal Article Two puzzles in the analysis of foreign exchange market efficiency, International Review of Financial Analysis, Elsevier (1998) View citations (26) (1998)

1993

109. Convergence in Interest Rates and Inflation Rates Across Countries and Across Time
     Working Papers, Wilfrid Laurier University, Department of Economics

Journal Articles

2022

1. Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model
   Finance Research Letters, 2022, 47, (PA) View citations (1)
   See also Working Paper Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model, Working Papers (2021) View citations (2) (2021)
2. “Digital Gold” and geopolitics
   Research in International Business and Finance, 2022, 59, (C) View citations (2)

2021

3. Day-of-the-week effect and spread determinants: Some international evidence from equity markets
   International Review of Economics & Finance, 2021, 71, (C), 268-288 View citations (2)
4. Evolution of price effects after one-day abnormal returns in the US stock market
   The North American Journal of Economics and Finance, 2021, 57, (C) View citations (5)
   See also Working Paper Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market, Working Papers (2020) (2020)
5. Financial stress, economic policy uncertainty, and oil price uncertainty
   Energy Economics, 2021, 104, (C) View citations (26)
6. Fractional frequency flexible Fourier form (FFFFF) for panel cointegration test
   Applied Economics Letters, 2021, 28, (6), 482-486 View citations (7)
7. Gold, platinum and the predictability of bond risk premia
   Finance Research Letters, 2021, 38, (C) View citations (6)
   See also Working Paper Gold, Platinum and the Predictability of Bond Risk Premia, Working Papers (2019) View citations (1) (2019)
8. High-Frequency Volatility Forecasting of US Housing Markets
   The Journal of Real Estate Finance and Economics, 2021, 62, (2), 283-317 View citations (7)
   See also Working Paper High-Frequency Volatility Forecasting of US Housing Markets, Working Papers (2019) (2019)
9. Housing sector and economic policy uncertainty: A GMM panel VAR approach
   International Review of Economics & Finance, 2021, 76, (C), 114-126 View citations (8)
10. Is COVID-19 Related Anxiety an Accelerator for Responsible and Sustainable Investing ? A Sentiment Analysis
    Applied Economics, 2021, 53, (13), 1528-1539 View citations (5)
11. Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio
    International Review of Economics & Finance, 2021, 71, (C), 779-810
    See also Working Paper Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio, Working Papers (2020) View citations (1) (2020)
12. Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data
    Resources Policy, 2021, 73, (C)
13. Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries
    Energy Economics, 2021, 98, (C) View citations (10)
14. Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
    Sustainability, 2021, 13, (3), 1-20 View citations (1)
    See also Working Paper Multi-Horizon Financial and Housing Wealth Effects across the U.S. States, Working Papers (2019) (2019)
15. Phillips Curve for the Asian Economies: A Nonlinear Perspective
    Emerging Markets Finance and Trade, 2021, 57, (12), 3508-3537
16. Political uncertainty, COVID-19 pandemic and stock market volatility transmission
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (14)
17. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
    International Review of Finance, 2021, 21, (1), 324-335 View citations (7)
    See also Working Paper Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings, Working Papers (2018) (2018)
18. Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets
    Economic Modelling, 2021, 102, (C) View citations (13)
19. Testing for rational bubbles in the UK housing market
    Applied Economics, 2021, 53, (8), 962-975 View citations (1)
20. Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter?
    The World Economy, 2021, 44, (1), 188-233 View citations (10)
21. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach
    Research in International Business and Finance, 2021, 58, (C) View citations (5)
    See also Working Paper The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach, Working Papers (2020) (2020)
22. The energy transition, Trump energy agenda and COVID-19
    International Economics, 2021, 165, (C), 140-153 View citations (2)
23. The impact of disaggregated oil shocks on state-level consumption of the United States
    Applied Economics Letters, 2021, 28, (21), 1818-1824 View citations (2)
    See also Working Paper The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States, Working Papers (2020) View citations (2) (2020)
24. The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence
    Finance Research Letters, 2021, 43, (C) View citations (5)
    See also Working Paper The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence, Working Papers (2020) (2020)
25. Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia
    International Review of Finance, 2021, 21, (2), 661-674 View citations (1)
26. What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data
    The Journal of Real Estate Finance and Economics, 2021, 62, (1), 81-107
    See also Working Paper What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data, Working Papers (2019) View citations (2) (2019)

2020

27. CITY SIZE, LABOR PRODUCTIVITY AND WAGES IN KOREA
    The Singapore Economic Review (SER), 2020, 65, (04), 1073-1098
28. Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies
    The North American Journal of Economics and Finance, 2020, 51, (C) View citations (26)
29. Fed’s unconventional monetary policy and risk spillover in the US financial markets
    The Quarterly Review of Economics and Finance, 2020, 78, (C), 42-52 View citations (7)
    See also Working Paper Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets, Working Papers (2019) (2019)
30. Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate
    Energy Economics, 2020, 92, (C) View citations (12)
31. Halloween Effect in developed stock markets: A historical perspective
    International Economics, 2020, 161, (C), 130-138 View citations (3)
32. Historical evolution of monthly anomalies in international stock markets
    Research in International Business and Finance, 2020, 52, (C) View citations (3)
    See also Working Paper Historical Evolution of Monthly Anomalies in International Stock Markets, Working Papers (2019) (2019)
33. Historical volatility of advanced equity markets: The role of local and global crises
    Finance Research Letters, 2020, 34, (C) View citations (2)
    See also Working Paper Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises, Working Papers (2019) (2019)
34. Is the Housing Market in the United States Really Weakly-Efficient?
    Applied Economics Letters, 2020, 27, (14), 1124-1134 View citations (2)
    See also Working Paper Is the Housing Market in the United States Really Weakly-Efficient?, Working Papers (2019) (2019)
35. Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump
    Applied Economics, 2020, 52, (35), 3858-3873 View citations (5)
    See also Working Paper Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump, Post-Print (2020) View citations (5) (2020)
36. Oil price uncertainty and movements in the US government bond risk premia
    The North American Journal of Economics and Finance, 2020, 52, (C) View citations (22)
    See also Working Paper Oil Price Uncertainty and Movements in the US Government Bond Risk Premia, Working Papers (2019) View citations (2) (2019)
37. Oil shocks and volatility jumps
    Review of Quantitative Finance and Accounting, 2020, 54, (1), 247-272 View citations (9)
    See also Working Paper Oil Shocks and Volatility Jumps, Working Papers (2018) View citations (5) (2018)
38. Price gap anomaly in the US stock market: The whole story
    The North American Journal of Economics and Finance, 2020, 52, (C) View citations (1)
    See also Working Paper Price Gap Anomaly in the US Stock Market: The Whole Story, Working Papers (2019) (2019)
39. Spillover effects in oil-related CDS markets during and after the sub-prime crisis
    The North American Journal of Economics and Finance, 2020, 54, (C) View citations (9)
40. The effect of global and regional stock market shocks on safe haven assets
    Structural Change and Economic Dynamics, 2020, 54, (C), 297-308 View citations (14)
41. The impact of US uncertainty shocks on a panel of advanced and emerging market economies
    The Journal of International Trade & Economic Development, 2020, 29, (6), 711-721 View citations (27)
42. The role of an aligned investor sentiment index in predicting bond risk premia of the U.S
    Journal of Financial Markets, 2020, 51, (C) View citations (19)
43. The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach
    Applied Economics, 2020, 52, (5), 528-536 View citations (2)
    See also Working Paper The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach, Working Papers (2019) (2019)
44. Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data
    Empirical Economics, 2020, 58, (5), 2249-2285 View citations (6)
    See also Working Paper Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data, Working Papers (2017) View citations (8) (2017)
45. Volatility forecasting with bivariate multifractal models
    Journal of Forecasting, 2020, 39, (2), 155-167 View citations (12)
46. What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?
    Oxford Bulletin of Economics and Statistics, 2020, 82, (2), 311-330 View citations (5)
47. What Trump’s China Tariffs Have Cost U.S. Companies?
    Journal of Economic Integration, 2020, 35, (2), 282-295

2019

48. Are BRICS exchange rates chaotic?
    Applied Economics Letters, 2019, 26, (13), 1104-1110 View citations (7)
    See also Working Paper Are BRICS Exchange Rates Chaotic?, Working Papers (2018) View citations (5) (2018)
49. Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (3), 17 View citations (9)
    See also Working Paper Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data, Working Papers (2017) View citations (2) (2017)
50. Bitcoin: competitor or complement to gold?
    Economics Bulletin, 2019, 39, (1), 186-191 View citations (21)
    See also Working Paper Bitcoin: competitor or complement to gold?, Post-Print (2019) View citations (18) (2019)
51. Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries
    Real Estate Economics, 2019, 47, (4), 935-976 View citations (6)
52. Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014
    Bulletin of Economic Research, 2019, 71, (4), 616-640 View citations (4)
    See also Working Paper Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014, MPRA Paper (2015) View citations (3) (2015)
53. Exchange rate returns and volatility: the role of time-varying rare disaster risks
    The European Journal of Finance, 2019, 25, (2), 190-203 View citations (15)
    See also Working Paper Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks, Working Papers (2017) View citations (3) (2017)
54. Fiscal stance, foreign capital inflows and the behavior of current account in the Asian countries
    Empirical Economics, 2019, 56, (2), 523-549 View citations (1)
55. Geopolitical risks and recessions in a panel of advanced economies: evidence from over a century of data
    Applied Economics Letters, 2019, 26, (16), 1317-1321 View citations (18)
    See also Working Paper Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data, Working Papers (2018) View citations (2) (2018)
56. Growth volatility and inequality in the U.S.: A wavelet analysis
    Physica A: Statistical Mechanics and its Applications, 2019, 521, (C), 48-73 View citations (3)
    See also Working Paper Growth Volatility and Inequality in the U.S.: A Wavelet Analysis, Working Papers (2018) (2018)
57. Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data
    Applied Energy, 2019, 233-234, 612-621 View citations (118)
58. PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES
    Advances in Decision Sciences, 2019, 23, (2), 151-163 View citations (1)
59. Persistence of economic uncertainty: a comprehensive analysis
    Applied Economics, 2019, 51, (41), 4477-4498 View citations (9)
    See also Working Paper Persistence of Economic Uncertainty: A Comprehensive Analysis, Working Papers (2018) View citations (2) (2018)
60. Rise and fall of calendar anomalies over a century
    The North American Journal of Economics and Finance, 2019, 49, (C), 181-205 View citations (21)
    See also Working Paper Rise and Fall of Calendar Anomalies over a Century, Working Papers (2019) View citations (20) (2019)
61. Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals
    Applied Economics, 2019, 51, (57), 6076-6088 View citations (21)
    See also Working Paper Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals, Post-Print (2019) View citations (17) (2019)
62. Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index
    International Review of Economics & Finance, 2019, 60, (C), 1-25 View citations (6)
63. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for an Oil-Importing Country: The Case of South Africa
    Emerging Markets Finance and Trade, 2019, 55, (7), 1593-1618 View citations (13)
64. The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model
    Empirica, 2019, 46, (2), 353-368 View citations (48)
    See also Working Paper The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model, Working Papers (2016) View citations (6) (2016)
65. The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests
    Finance Research Letters, 2019, 29, (C), 315-322 View citations (10)
    See also Working Paper The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests, Working Papers (2018) View citations (5) (2018)
66. The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data
    Economics and Business Letters, 2019, 8, (3), 138-146 View citations (3)
    See also Working Paper The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data, Working Papers (2018) (2018)
67. 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
    The North American Journal of Economics and Finance, 2019, 47, (C), 391-405
    See also Working Paper 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, Working Papers (2017) (2017)
68. The role of time‐varying rare disaster risks in predicting bond returns and volatility
    Review of Financial Economics, 2019, 37, (3), 327-340 View citations (4)
    See also Working Paper The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility, Working Papers (2017) View citations (2) (2017)
69. Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017
    Journal of Multinational Financial Management, 2019, 49, (C), 81-88 View citations (4)
    See also Working Paper Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017, Working Papers (2018) (2018)
70. Time-varying predictability of oil market movements over a century of data: The role of US financial stress
    The North American Journal of Economics and Finance, 2019, 50, (C) View citations (18)
    See also Working Paper Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress, Working Papers (2018) View citations (1) (2018)
71. US Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    International Review of Finance, 2019, 19, (4), 851-862 View citations (4)
    See also Working Paper U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict, Working Papers (2017) View citations (2) (2017)
72. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies
    Journal of Central Banking Theory and Practice, 2019, 8, (3), 39-50 View citations (1)
73. What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?
    Energy Economics, 2019, 84, (C) View citations (128)
    See also Working Paper What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?, Post-Print (2019) View citations (119) (2019)
74. What is a better cross-hedge for energy: Equities or other commodities?
    Global Finance Journal, 2019, 42, (C) View citations (6)

2018

75. Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis
    Finance Research Letters, 2018, 26, (C), 100-105 View citations (8)
    See also Working Paper Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis, Post-Print (2018) View citations (7) (2018)
76. Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
    Applied Economics, 2018, 50, (53), 5712-5727 View citations (36)
    See also Working Paper Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach, Working Papers (2015) View citations (7) (2015)
77. Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty
    Journal of Macroeconomics, 2018, 57, (C), 317-337 View citations (83)
    See also Working Paper Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty, Working Papers (2017) (2017)
78. Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach
    Journal of Economics and Finance, 2018, 42, (2), 339-351 View citations (7)
    See also Working Paper Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach, Working Papers (2016) (2016)
79. Do house prices hedge inflation in the US? A quantile cointegration approach
    International Review of Economics & Finance, 2018, 54, (C), 15-26 View citations (13)
    See also Working Paper Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach, Working Papers (2017) (2017)
80. Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆
    The North American Journal of Economics and Finance, 2018, 43, (C), 87-96 View citations (28)
81. Exchange rate pass-through in the Asian countries: does inflation volatility matter?
    Applied Economics Letters, 2018, 25, (5), 309-312 View citations (5)
82. Forecasting US GNP growth: The role of uncertainty
    Journal of Forecasting, 2018, 37, (5), 541-559 View citations (10)
    See also Working Paper Forecasting US GNP Growth: The Role of Uncertainty, Working Papers (2016) View citations (5) (2016)
83. Global factors and equity market valuations: Do country characteristics matter?
    International Journal of Finance & Economics, 2018, 23, (4), 427-441 View citations (1)
84. Measuring the response of gold prices to uncertainty: An analysis beyond the mean
    Economic Modelling, 2018, 75, (C), 105-116 View citations (78)
    See also Working Paper Measuring the response of gold prices to uncertainty: An analysis beyond the mean, Papers (2018) View citations (78) (2018)
85. News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets
    Journal of Multinational Financial Management, 2018, 47-48, 76-90 View citations (13)
    See also Working Paper News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets, Working Papers (2017) View citations (1) (2017)
86. Nonlinear Taylor rules: evidence from a large dataset
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 14 View citations (7)
87. Stock returns forecasting with metals: sentiment vs. fundamentals
    The European Journal of Finance, 2018, 24, (6), 458-477 View citations (8)
88. Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries
    The European Journal of Finance, 2018, 24, (4), 333-346 View citations (26)
    See also Working Paper Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries, Working Papers (2016) View citations (17) (2016)
89. Testing the Efficiency of the Art Market Using Quantile†Based Unit Root Tests with Sharp and Smooth Breaks
    Manchester School, 2018, 86, (4), 488-511 View citations (6)
90. The predictive power of the yield spread for future economic expansions: Evidence from a new approach
    Economic Modelling, 2018, 75, (C), 181-195 View citations (8)
91. The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach
    Finance Research Letters, 2018, 25, (C), 131-136 View citations (13)
    See also Working Paper The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach, Working Papers (2016) View citations (3) (2016)
92. Time-varying rare disaster risks, oil returns and volatility
    Energy Economics, 2018, 75, (C), 239-248 View citations (50)
    See also Working Paper Time-Varying Rare Disaster Risks, Oil Returns and Volatility, Working Papers (2017) (2017)
93. UK macroeconomic volatility: Historical evidence over seven centuries
    Journal of Policy Modeling, 2018, 40, (4), 767-789
94. Volatility jumps: The role of geopolitical risks
    Finance Research Letters, 2018, 27, (C), 247-258 View citations (41)
    See also Working Paper Volatility Jumps: The Role of Geopolitical Risks, Working Papers (2018) View citations (55) (2018)
95. Volatility spillovers across global asset classes: Evidence from time and frequency domains
    The Quarterly Review of Economics and Finance, 2018, 70, (C), 194-202 View citations (90)
    See also Working Paper Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains, Working Papers (2017) (2017)
96. Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
    International Review of Finance, 2018, 18, (3), 495-506 View citations (1)
    See also Working Paper Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test, Working Papers (2017) View citations (2) (2017)

2017

97. A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set
    The Financial Review, 2017, 52, (3), 405-433 View citations (4)
98. Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data
    Energy Economics, 2017, 61, (C), 72-86 View citations (37)
    See also Working Paper Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data, Working Papers (2015) View citations (1) (2015)
99. Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test
    International Review of Economics & Finance, 2017, 48, (C), 269-279 View citations (4)
100. Do commodities make effective hedges for equity investors?
     Research in International Business and Finance, 2017, 42, (C), 1274-1288 View citations (22)
101. Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data
     International Finance, 2017, 20, (3), 289-316 View citations (32)
102. Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach
     The Quarterly Review of Economics and Finance, 2017, 65, (C), 276-284 View citations (21)
     See also Working Paper Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach, Working Papers (2016) View citations (4) (2016)
103. Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR
     Journal of Forecasting, 2017, 36, (6), 640-650 View citations (3)
     See also Working Paper Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR, Working Papers (2015) View citations (2) (2015)
104. Forecasting market returns: bagging or combining?
     International Journal of Forecasting, 2017, 33, (1), 102-120 View citations (22)
105. Forecasting oil and stock returns with a Qual VAR using over 150years off data
     Energy Economics, 2017, 62, (C), 181-186 View citations (46)
     See also Working Paper Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data, Working Papers (2015) View citations (1) (2015)
106. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach
     Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 178-191 View citations (78)
     See also Working Paper Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach, Working Papers (2016) View citations (2) (2016)
107. Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day
     World Development, 2017, 89, (C), 57-70 View citations (21)
108. Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries
     International Review of Economics & Finance, 2017, 51, (C), 245-257 View citations (22)
109. Predictability and underreaction in industry-level returns: Evidence from commodity markets
     Journal of Commodity Markets, 2017, 6, (C), 1-15 View citations (3)
110. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach
     Open Economies Review, 2017, 28, (1), 47-59 View citations (10)
     See also Working Paper The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach, Working Papers (2016) (2016)
111. The cyclicality of fiscal policy: New evidence from unobserved components approach
     Journal of Macroeconomics, 2017, 53, (C), 222-234 View citations (7)
112. The depreciation of the pound post-Brexit: Could it have been predicted?
     Finance Research Letters, 2017, 21, (C), 206-213 View citations (12)
     See also Working Paper The Depreciation of the Pound Post-Brexit: Could it have been Predicted?, Working Papers (2016) View citations (3) (2016)
113. The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches
     International Review of Economics & Finance, 2017, 51, (C), 283-294 View citations (11)
     See also Working Paper The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches, Working Papers (2016) View citations (1) (2016)

2016

114. An evaluation of ECB policy in the Euro's big four
     Journal of Macroeconomics, 2016, 48, (C), 203-213
115. Can commodity returns forecast Canadian sector stock returns?
     International Review of Economics & Finance, 2016, 41, (C), 172-188 View citations (15)
116. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
     Open Economies Review, 2016, 27, (2), 229-250 View citations (95)
     See also Working Paper Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test, Working Papers (2015) View citations (3) (2015)
117. FORECASTING US INFLATION USING DYNAMIC GENERAL-TO-SPECIFIC MODEL SELECTION
     Bulletin of Economic Research, 2016, 68, (2), 151-167
118. Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence
     Economic Systems, 2016, 40, (4), 638-657 View citations (26)
119. Periodically collapsing bubbles in the South African stock market
     Research in International Business and Finance, 2016, 38, (C), 191-201 View citations (16)
     See also Working Paper Periodically Collapsing Bubbles in the South African Stock Market, Working Papers (2016) View citations (20) (2016)
120. Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors
     International Review of Economics & Finance, 2016, 41, (C), 122-143 View citations (33)
121. Structural Breaks in Volatility: The Case of Chinese Stock Returns
     Chinese Economy, 2016, 49, (2), 81-93 View citations (4)

2015

122. A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS
     Macroeconomic Dynamics, 2015, 19, (4), 728-752 View citations (1)
123. Asymmetric tax multipliers
     Journal of Macroeconomics, 2015, 43, (C), 38-48 View citations (13)
124. Capital Inflows and Economic Growth: Does the Role of Institutions Matter?
     International Journal of Finance & Economics, 2015, 20, (3), 253-275 View citations (32)
125. Consumption growth, preference for smoothing, changes in expectations and risk premium
     The Quarterly Review of Economics and Finance, 2015, 56, (C), 80-97 View citations (8)
126. Examining real interest parity: Which component reverts quickest and in which regime?
     International Review of Financial Analysis, 2015, 39, (C), 72-83 View citations (5)
     See also Working Paper Examining real interest parity: which component reverts quickest and in which regime?, Discussion Paper Series (2014) (2014)
127. Location, location, location: currency effects and return predictability?
     Applied Economics, 2015, 47, (18), 1883-1898 View citations (5)
128. Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model
     Applied Economics, 2015, 47, (59), 6395-6408 View citations (1)
129. Spurious long memory, uncommon breaks and the implied–realized volatility puzzle
     Journal of International Money and Finance, 2015, 56, (C), 36-54 View citations (9)

2014

130. Breaks, trends and unit roots in commodity prices: a robust investigation
     Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (1), 23-40 View citations (21)
131. Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
     International Review of Economics & Finance, 2014, 33, (C), 371-390 View citations (2)
132. Expected returns and expected dividend growth: time to rethink an established empirical literature
     Applied Economics, 2014, 46, (21), 2462-2476 View citations (5)
133. Sources of the stock price fluctuations in Chinese equity market
     The European Journal of Finance, 2014, 20, (7-9), 829-846 View citations (4)
134. Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market
     Journal of International Money and Finance, 2014, 41, (C), 95-109 View citations (13)
135. The conditional influence of term spread and pattern changes on future equity returns
     Applied Economics, 2014, 46, (9), 913-923 View citations (2)
136. The relationship between energy and equity markets: Evidence from volatility impulse response functions
     Energy Economics, 2014, 43, (C), 297-305 View citations (75)

2013

137. A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH
     Manchester School, 2013, 81, (3), 386-400 View citations (7)
138. An Unobserved Components Model that Yields Business and Medium-Run Cycles
     Journal of Money, Credit and Banking, 2013, 45, (7), 1351-1373 View citations (3)
     Also in Journal of Money, Credit and Banking, 2013, 45, (7), 1351-1373 (2013) View citations (2)
139. Causality between trading volume and returns: Evidence from quantile regressions
     International Review of Economics & Finance, 2013, 27, (C), 144-159 View citations (69)
140. Changes in the oil price-inflation pass-through
     Journal of Economics and Business, 2013, 68, (C), 24-42 View citations (33)
141. International herding: Does it differ across sectors?
     Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 55-84 View citations (49)
142. Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
     Econometric Reviews, 2013, 32, (3), 318-360 View citations (15)
143. Long-run growth empirics and new challenges for unified theory
     Applied Economics, 2013, 45, (28), 3973-3987 View citations (11)
144. The contribution of economic fundamentals to movements in exchange rates
     Journal of International Economics, 2013, 90, (1), 1-16 View citations (49)
145. The determinants of quantile autocorrelations: Evidence from the UK
     International Review of Financial Analysis, 2013, 29, (C), 51-61 View citations (7)
146. The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
     International Review of Financial Analysis, 2013, 26, (C), 40-50 View citations (12)
147. The relationship between temperature and CO 2 emissions: evidence from a short and very long dataset
     Applied Economics, 2013, 45, (26), 3683-3690 View citations (3)
148. Time varying stock return predictability: Evidence from US sectors
     Finance Research Letters, 2013, 10, (1), 34-40 View citations (14)
149. UK stock market predictability: evidence of time variation
     Applied Financial Economics, 2013, 23, (12), 1043-1055 View citations (2)

2012

150. An empirical investigation of the Taylor curve
     Journal of Macroeconomics, 2012, 34, (2), 380-390 View citations (6)
151. Commodity volatility breaks
     Journal of International Financial Markets, Institutions and Money, 2012, 22, (2), 395-422 View citations (150)
152. Interactive effect of changes in the shape of the yield curve and conditional term spread on expected equity returns
     Applied Financial Economics, 2012, 22, (18), 1491-1500 View citations (2)
153. Output and stock prices: an examination of the relationship over 200 years
     Applied Financial Economics, 2012, 22, (19), 1615-1629 View citations (8)
154. The dynamics of inflation: a study of a large number of countries
     Applied Economics, 2012, 44, (16), 2001-2026 View citations (9)
     See also Working Paper The Dynamics of Inflation: A Study of a Large Number of Countries, EcoMod2010 (2010) (2010)
155. “Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads
     Journal of International Money and Finance, 2012, 31, (6), 1339-1357 View citations (11)

2011

156. PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK
     Manchester School, 2011, 79, (3), 510-527 View citations (22)
157. 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)
     Journal of International Economics, 2011, 83, (1), 93-94 View citations (2)
158. Structural breaks in volatility: the case of UK sector returns
     Applied Financial Economics, 2011, 21, (15), 1079-1093 View citations (12)
159. Sum of the parts stock return forecasting: international evidence
     Applied Financial Economics, 2011, 21, (12), 837-845 View citations (3)

2010

160. An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear
     Applied Financial Economics, 2010, 20, (22), 1697-1707 View citations (2)
161. Persistence and time-varying coefficients
     Economics Letters, 2010, 108, (1), 85-88
162. Stock return predictability and dividend-price ratio: a nonlinear approach
     International Journal of Finance & Economics, 2010, 15, (4), 351-365 View citations (14)
163. The Prebisch-Singer Hypothesis: Four Centuries of Evidence
     The Review of Economics and Statistics, 2010, 92, (2), 367-377 View citations (159)
164. UK stock price effects of permanent and transitory shocks
     The European Journal of Finance, 2010, 16, (7), 641-656
     Also in Economic Inquiry, 1998, 36, (4), 540-52 (1998) View citations (14)

2009

165. Can the term spread predict output growth and recessions? a survey of the literature
     Review, 2009, 91, (Sep), 419-440 View citations (70)
166. Determinants of State Labor Productivity: The Changing Role of Density
     Journal of Regional Analysis and Policy, 2009, 39, (1), 10 View citations (2)
167. Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective
     Journal of Applied Econometrics, 2009, 24, (1), 35-75 View citations (14)
168. Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence
     Journal of International Money and Finance, 2009, 28, (3), 427-453 View citations (15)

2008

169. The Composition of Industry and the Duration of State Recessions
     Journal of Regional Analysis and Policy, 2008, 38, (3), 16 View citations (3)

2007

170. Determinants of state diesel fuel excise tax rates: the political economy of fuel taxation in the United States
     The Annals of Regional Science, 2007, 41, (1), 171-188 View citations (20)
171. Do increases in petroleum product prices put the incumbent party at risk in US presidential elections?
     Applied Economics, 2007, 39, (6), 727-737 View citations (3)
172. Domestic‐Foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models
     Southern Economic Journal, 2007, 73, (3), 814-829
173. 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 Investment Spending'. The results reported in this paper were generated using GAUSS 6.0. The GAUSS programs are available at http:||pages.slu.edu|faculty|rapachde|Research.htm
     Journal of Forecasting, 2007, 26, (1), 33-51 View citations (1)
174. Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure
     Journal of Economic Insight, 2007, 33, (2), 1-19

2006

175. IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY
     Journal of Financial Research, 2006, 29, (1), 79-93 View citations (14)
176. Identifying regime changes in closed-end fund discounts
     Journal of Economics and Finance, 2006, 30, (1), 115-132 View citations (1)
177. In-sample vs. out-of-sample tests of stock return predictability in the context of data mining
     Journal of Empirical Finance, 2006, 13, (2), 231-247 View citations (126)
178. On the prevalence of trends in primary commodity prices
     Journal of Development Economics, 2006, 79, (1), 146-167 View citations (106)
179. Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
     Journal of Financial Econometrics, 2006, 4, (2), 238-274 View citations (114)
180. The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior
     International Journal of Forecasting, 2006, 22, (2), 341-361 View citations (68)
181. The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration
     International Journal of Finance & Economics, 2006, 11, (2), 139-153 View citations (9)
182. What Drives Stock Prices? Identifying the Determinants of Stock Price Movements
     Southern Economic Journal, 2006, 73, (1), 55-78

2005

183. Macro variables and international stock return predictability
     International Journal of Forecasting, 2005, 21, (1), 137-166 View citations (191)
184. Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?
     Journal of Money, Credit and Banking, 2005, 37, (5), 887-906 View citations (104)
185. Valuation ratios and long-horizon stock price predictability
     Journal of Applied Econometrics, 2005, 20, (3), 327-344 View citations (27)
     Also in Journal of Applied Econometrics, 2005, 20, (3), 327-344 (2005) View citations (3)

2004

186. A Cautionary Note on the Order of Integration of Post‐war Aggregate Wage, Price and Productivity Measures
     Manchester School, 2004, 72, (2), 261-282
187. A cointegrated structural VAR model of the Canadian economy
     Applied Economics, 2004, 36, (3), 195-213 View citations (3)
188. Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes
     Economic Inquiry, 2004, 42, (2), 179-193 View citations (63)
     See also Working Paper Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes, Computing in Economics and Finance 2003 (2003) View citations (8) (2003)
189. Technological convergence among US regions and states
     Economics of Innovation and New Technology, 2004, 13, (2), 101-126 View citations (7)
190. Testing the monetary model of exchange rate determination: a closer look at panels
     Journal of International Money and Finance, 2004, 23, (6), 867-895 View citations (94)
191. The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries
     Southern Economic Journal, 2004, 70, (4), 920-941 View citations (1)
192. The persistence in international real interest rates
     International Journal of Finance & Economics, 2004, 9, (4), 339-346 View citations (42)

2002

193. Low-Frequency Movements in Stock Prices: A State-Space Decomposition
     The Review of Economics and Statistics, 2002, 84, (4), 649-667 View citations (69)
     See also Working Paper Low frequency movements in stock prices: a state space decomposition, Working Papers (2000) (2000)
194. Testing the monetary model of exchange rate determination: new evidence from a century of data
     Journal of International Economics, 2002, 58, (2), 359-385 View citations (172)

2001

195. Explaining stock price movements: is there a case for fundamentals?
     Economic and Financial Policy Review, 2001, (Q III), 22-34 View citations (21)
196. Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993
     Journal of Economics and Business, 2001, 53, (1), 85-102 View citations (14)

1999

197. Are Tax Effects Important in the Long‐Run Fisher Relationship? Evidence from the Municipal Bond Market
     Journal of Finance, 1999, 54, (1), 307-317 View citations (38)
198. Derivative activities and managerial incentives in the banking industry
     Journal of Corporate Finance, 1999, 5, (3), 251-276 View citations (27)
199. Models with Unexpected Components: The Case for Efficient Estimation
     Review of Quantitative Finance and Accounting, 1999, 13, (3), 295-313 View citations (3)
200. The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act
     Review of Financial Economics, 1999, 8, (2), 101-119 View citations (1)
     Also in Review of Financial Economics, 1999, 8, (2), 101-119 (1999)

1998

201. Cointegration, forecasting and international stock prices
     Global Finance Journal, 1998, 9, (2), 181-204 View citations (24)
202. Nonlinear dynamics and covered interest rate parity
     Empirical Economics, 1998, 23, (4), 535-559 View citations (64)
     See also Working Paper Nonlinear dynamics and covered interest rate parity, Working Papers (1997) View citations (2) (1997)
203. Two puzzles in the analysis of foreign exchange market efficiency
     International Review of Financial Analysis, 1998, 7, (2), 95-111 View citations (26)
     See also Working Paper Two Puzzles in the Analysis of Foreign Exchange Market Efficiency, Discussion Papers (1996) View citations (1) (1996)

1997

204. Convergence in Interest Rates and Inflation Rates across Countries and over Time
     Review of International Economics, 1997, 5, (1), 129-41 View citations (48)

1996

205. Abnormal profits and relative strength in mutual fund returns
     Review of Financial Economics, 1996, 5, (2), 101-116
     Also in Review of Financial Economics, 1996, 5, (2), 101-116 (1996) View citations (5)
206. Cointegration and the term structure: A multicountry comparison
     International Review of Economics & Finance, 1996, 5, (1), 21-34 View citations (13)
207. PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review
     Journal of Applied Econometrics, 1996, 11, (1), 105-15 View citations (1)
208. The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness
     Economic Journal, 1996, 106, (434), 26-38 View citations (17)

1995

209. DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS
     Journal of Financial Research, 1995, 18, (4), 415-430 View citations (21)
210. Public and private investment: Are there causal linkages?
     Journal of Macroeconomics, 1995, 17, (1), 1-30 View citations (71)
211. The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity
     Journal of Money, Credit and Banking, 1995, 27, (2), 476-97 View citations (12)
212. The expectations theory of interest rates: Cointegration and factor decomposition
     International Journal of Forecasting, 1995, 11, (2), 253-262 View citations (6)

1993

213. BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
     Journal of Time Series Analysis, 1993, 14, (3), 235-246 View citations (71)
214. Corporate Ownership and the Thrift Crisis
     Journal of Law and Economics, 1993, 36, (2), 719-56 View citations (26)

1992

215. Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets
     The Financial Review, 1992, 27, (4), 503-30 View citations (2)

1991

216. NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM
     Journal of Financial Research, 1991, 14, (1), 83-92 View citations (17)

1990

217. Monetary institutions, budget deficits and inflation: Empirical results for eight countries
     European Journal of Political Economy, 1990, 6, (4), 531-551 View citations (11)
218. The Adjustment of Expectations to a Change in Regime: Comment
     American Economic Review, 1990, 80, (4), 968-76 View citations (16)

1989

219. The Indeterminacy of the Optimal Aggregate for Stabilization Policy under Rational Expectations - L’indeterminatezza dell’aggregato monetario ottimale per la politica di stabilizzazione in presenza di aspettative razionali
     Economia Internazionale / International Economics, 1989, 42, (3-4), 258-278

1987

220. Alternative Modes of Deficit Financing and Endogeneous Monetary and Fiscal Policy in the U.S.A. 1923-1982
     Journal of Applied Econometrics, 1987, 2, (1), 1-25 View citations (1)
221. Keynes on Investment and the Business Cycle
     Review of Radical Political Economics, 1987, 19, (4), 39-54
222. Regulation, Scale and Productivity: Reply
     International Economic Review, 1987, 28, (2), 535-39
223. The determinants of international reserves in the small open economy: The case of Honduras
     Journal of Macroeconomics, 1987, 9, (3), 439-450

1984

224. Monetarism and the Aggregate Economy: Some Longer-Run Evidence
     The Review of Economics and Statistics, 1984, 66, (4), 619-29 View citations (11)

1983

225. Regulation, Scale Economies, and Productivity in Steam-Electric Generation
     International Economic Review, 1983, 24, (1), 57-79 View citations (29)

Edited books

2014

1. Recent Advances in Estimating Nonlinear Models
   Springer Books, Springer View citations (25)

2013

2. Challenges in Central Banking
   Cambridge Books, Cambridge University Press View citations (1)

2010

3. Challenges in Central Banking
   Cambridge Books, Cambridge University Press View citations (94)

Chapters

2015

1. The Stock Return Predictability and Stock Price Decomposition in the Chinese Equity Market
   Palgrave Macmillan