Details about Mehmet Balcilar
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Last updated 2023-05-02. Update your information in the RePEc Author Service.
Short-id: pba722
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Working Papers
2022
- Financial Connectedness and Risk Transmission Among MENA Countries: Evidence from Connectedness Network and Clustering Analysis
Working Papers, Economic Research Forum
- How Does the Economic Uncertainty Affect Asset Prices under Normal and Financial Distress Times?
IZA Discussion Papers, Institute of Labor Economics (IZA)
- Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energies (2022)
- On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal
Working Papers, University of Pretoria, Department of Economics
- Rare Disaster Risks and Gold over 700 Years: Evidence from Nonparametric Quantile Regressions
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Resources Policy (2022)
2021
- Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Mathematics (2023)
- 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)
- El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Sustainability (2021)
- Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The North American Journal of Economics and Finance (2022)
- Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning
Working Papers, University of Pretoria, Department of Economics View citations (2)
2020
- High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in Journal of Behavioral Finance (2021)
- Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Review of Economics & Finance (2021)
- The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Structural Change and Economic Dynamics (2021)
- Time-Varying Impact of Pandemics on Global Output Growth
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Finance Research Letters (2021)
- 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 (6)
2019
- 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 in The Quarterly Review of Economics and Finance (2020)
- Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in The North American Journal of Economics and Finance (2020)
- Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
Working Papers, Eastern Mediterranean University, Department of Economics View citations (31)
See also Journal Article in Energy Policy (2019)
- 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 (1)
- The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Journal of Finance & Economics (2022)
- The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
Working Papers, University of Pretoria, Department of Economics
- The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Emerging Markets Finance and Trade (2022)
- Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Empirical Economics (2021)
- 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 in The Journal of Real Estate Finance and Economics (2021)
2018
- A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices
Working Papers, University of Pretoria, Department of Economics View citations (8)
See also Journal Article in Resources Policy (2019)
- Asymmetric Dynamics of Insurance Premium: The Impact of Monetary Policy Uncertainty on Insurance Premiums in Japan
Working Papers, Eastern Mediterranean University, Department of Economics 
See also Journal Article in International Journal of Monetary Economics and Finance (2019)
- Asymmetric Effects of Inequality on Per Capita Real GDP of the United States
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Carbon dioxide emissions, energy consumption and economic growth: The historical decomposition evidence from G-7 countries
Working Papers, Eastern Mediterranean University, Department of Economics View citations (7)
- Dynamic return and volatility spillovers among S&P 500, crude oil and gold
Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
See also Journal Article in International Journal of Finance & Economics (2021)
- Examining the Causal Relationship between Globalization and Insurance Activities in Large Emerging Market (LEM) Economies: Evidence from Bootstrap Panel Granger Causality
Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
- Examining the Interactive Growth Effect of Development Aid and Institutional Quality in Sub-Saharan Africa
Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
See also Journal Article in Journal of Development Effectiveness (2020)
- Exchange rate and oil price pass-through to inflation in BRICS countries: Evidence from the spillover index and rolling-sample analysis
Working Papers, Eastern Mediterranean University, Department of Economics View citations (4)
- Firm-Level Political Risk and Asymmetric Volatility
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in The Journal of Economic Asymmetries (2018)
- Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Review of Development Economics (2021)
- Inequality in Carbon Intensity in EU-28: Analysis Based on Club Convergence
Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
- Insurance-Growth Nexus in Africa
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in The Geneva Papers on Risk and Insurance - Issues and Practice (2020)
- Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration
Working Papers, University of Pretoria, Department of Economics
- On the time-varying links between oil and gold: New insights from the rolling and recursive rolling approaches
Working Papers, Eastern Mediterranean University, Department of Economics View citations (4)
See also Journal Article in International Journal of Finance & Economics (2019)
- Spillover Dynamics Across Price Inflation and Selected Agricultural Commodity Prices
Working Papers, Eastern Mediterranean University, Department of Economics 
See also Journal Article in Journal of Economic Structures (2020)
- Spillover of Mortgage Default Risks in the United States: Evidence from Metropolitan Statistical Areas and States
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Journal of Economic Asymmetries (2019)
- The Dynamics of Energy Intensity Convergence in the EU-28 Countries
Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
- The Long-run Effect of Geopolitical Risks on Insurance Premiums
Working Papers, Eastern Mediterranean University, Department of Economics
- The Migration of Fear: An Analysis of Migration Choices of Syrian Refugees
Working Papers, Eastern Mediterranean University, Department of Economics 
See also Journal Article in The Quarterly Review of Economics and Finance (2019)
- The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in Economic Systems (2018)
- The renewable energy consumption and growth in the G-7 countries: Evidence from historical decomposition method
MPRA Paper, University Library of Munich, Germany View citations (16)
See also Journal Article in Renewable Energy (2018)
- The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters
Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
2017
- A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters
Working Papers, Eastern Mediterranean University, Department of Economics 
See also Journal Article in Empirica (2020)
- Can volume predict Bitcoin returns and volatility? A quantiles-based approach
Post-Print, HAL View citations (238)
See also Journal Article in Economic Modelling (2017)
- Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach
Working Papers, University of Pretoria, Department of Economics
- Date-stamping US housing market explosivity
Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) 
See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2018)
- Does Inflation Cause Gold Market Price Changes? Evidence on the G7 Countries from the Tests of Nonparametric Quantile Causality in Mean and Variance
MPRA Paper, University Library of Munich, Germany 
See also Journal Article in Applied Economics (2018)
- Does Inflation Cause Gold Prices? Evidence from G7 Countries
Working Papers, Eastern Mediterranean University, Department of Economics
- Does Oil Predict Gold? A Nonparametric Causality-in-Quantiles Approach
MPRA Paper, University Library of Munich, Germany View citations (34)
See also Journal Article in Resources Policy (2017)
- Economic Policy Uncertainty and Insurance
Working Papers, University of Pretoria, Department of Economics View citations (3)
- Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Advances in Decision Sciences (2018)
- Kuznets Curve for the US: A Reconsideration Using Cosummability
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2019)
- Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach
Working Papers, University of Pretoria, Department of Economics View citations (2)
Also in Working papers, University of Connecticut, Department of Economics (2017) View citations (3)
- The Relationship between the Inflation Rate and Inequality across U.S. States: A Semiparametric Approach
Working papers, University of Connecticut, Department of Economics View citations (2)
Also in Working Papers, University of Pretoria, Department of Economics (2016)
See also Journal Article in Quality & Quantity: International Journal of Methodology (2018)
- The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Multinational Financial Management (2018)
- The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters
Working Papers, Eastern Mediterranean University, Department of Economics
- 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 in International Review of Finance (2018)
2016
- A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
- Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach
Working Papers, University of Pretoria, Department of Economics View citations (3)
- Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach
Working Papers, University of Pretoria, Department of Economics View citations (15)
- 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 in Journal of Economics and Finance (2018)
- Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Sustainability (2017)
- 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)
- Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Research in International Business and Finance (2017)
- Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test
Working Papers, University of Pretoria, Department of Economics View citations (4)
- Does speculation in the oil market drive investor herding in net exporting nations?
Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
- Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (8)
- Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model
School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town View citations (2)
Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (2)
See also Journal Article in Empirical Economics (2017)
- Geopolitical Risks and Stock Market Dynamics of the BRICS
Working Papers, University of Pretoria, Department of Economics View citations (30)
See also Journal Article in Economic Systems (2018)
- LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index
Working Papers, University of Pretoria, Department of Economics View citations (16)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2016)
- Periodically Collapsing Bubbles in the South African Stock Market
Working Papers, University of Pretoria, Department of Economics View citations (16)
See also Journal Article in Research in International Business and Finance (2016)
- 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 (16)
See also Journal Article in The European Journal of Finance (2018)
- The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective
Working Papers, University of Pretoria, Department of Economics View citations (8)
See also Journal Article in Journal of Economics and Finance (2017)
- The Effect of Investor Sentiment on Gold Market Dynamics
Working Papers, University of Pretoria, Department of Economics
- The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Journal of Developing Areas (2020)
- The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests
Working Papers, University of Pretoria, Department of Economics View citations (7)
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2016)
- The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (34)
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (11)
See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2016)
2015
- 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 in Applied Economics (2018)
- Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?
Working Papers, Eastern Mediterranean University, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (1)
- 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 in Energy Economics (2017)
- Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa
Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
See also Journal Article in The Quarterly Review of Economics and Finance (2018)
- Do Precious Metal Prices Help in Forecasting South African Inflation?
Working Papers, Stellenbosch University, Department of Economics View citations (1)
Also in Working Papers, University of Pretoria, Department of Economics (2015) Working Papers, Eastern Mediterranean University, Department of Economics (2015) 
See also Journal Article in The North American Journal of Economics and Finance (2017)
- 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 in Open Economies Review (2016)
- Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in Resources Policy (2016)
- Forecasting Core Inflation: The Case of South Africa
Working Papers, University of Pretoria, Department of Economics
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) 
See also Journal Article in Applied Economics (2020)
- Identifying Periods of US Housing Market Explosivity
Working Papers, University of Pretoria, Department of Economics View citations (2)
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) View citations (1) Working Papers, Stellenbosch University, Department of Economics (2015) View citations (1)
- International Stock Return Predictability: Is the Role of U.S. Time-Varying?
Working Papers, Eastern Mediterranean University, Department of Economics View citations (4)
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (4)
See also Journal Article in Empirica (2017)
- On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Economics and Economic Policy (2017)
- Persistence of precious metal prices: a fractional integration approach with structural breaks
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (36)
Also in Working Papers, University of Pretoria, Department of Economics (2014)
See also Journal Article in Resources Policy (2015)
- Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model
Working Papers, University of Pretoria, Department of Economics View citations (5)
- Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test
Working Papers, University of Pretoria, Department of Economics View citations (2)
- South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach
Working Papers, University of Pretoria, Department of Economics View citations (8)
- THE ROLE OF NEWS-BASED UNCERTAINTY INDICES IN PREDICTING OIL MARKETS: A HYBRID NONPARAMETRIC QUANTILE CAUSALITY METHOD
Working Papers, Eastern Mediterranean University, Department of Economics View citations (13)
Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (38)
See also Journal Article in Empirical Economics (2017)
- 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)
- The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach
Working Papers, University of Pretoria, Department of Economics View citations (6)
- The South African Economic Response to Monetary Policy Uncertainty
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Economic Studies (2017)
2014
- Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter
Working Papers, University of Pretoria, Department of Economics View citations (3)
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (3)
See also Journal Article in Journal of Developing Areas (2016)
- Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries
Working Papers, Eastern Mediterranean University, Department of Economics 
Also in Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2012) View citations (1) IZA Discussion Papers, Institute of Labor Economics (IZA) (2012)  MPRA Paper, University Library of Munich, Germany (2012) View citations (4) EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey, Ekonomik Yaklasim Association (2013) View citations (1) ERC Working Papers, ERC - Economic Research Center, Middle East Technical University (2012)
- Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?
Working Papers, University of Pretoria, Department of Economics View citations (7)
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (2)
See also Journal Article in Applied Economics Letters (2015)
- Can Debt Ceiling and Government Shutdown Predict US Real Stock Returns? A Boot-strap Rolling-Window Approach
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test
Working Papers, University of Pretoria, Department of Economics View citations (21)
- Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model
Working Papers, University of Pretoria, Department of Economics View citations (6)
See also Journal Article in Emerging Markets Review (2015)
- Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality in quantiles test
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Empirica (2018)
- Dynamic Relationship between Oil Price and Inflation in South Africa
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in Journal of Developing Areas (2018)
- Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience
Working Papers, Eastern Mediterranean University, Department of Economics View citations (6)
Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) View citations (5) Working Papers, University of Pretoria, Department of Economics (2012) View citations (7) Working papers, University of Connecticut, Department of Economics (2012) View citations (4)
- Forecasting Aggregate Retail Sales: The Case of South Africa
Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (2)
See also Journal Article in International Journal of Production Economics (2015)
- Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation
Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (10)
See also Journal Article in Applied Economics (2016)
- Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors
Working papers, University of Connecticut, Department of Economics View citations (7)
Also in Working Papers, University of Pretoria, Department of Economics (2013)
See also Journal Article in Empirical Economics (2016)
- House Values and Proximity to a Landfill: A Quantile Regression Framework
Working Papers, University of Pretoria, Department of Economics
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014)
- Housing and the Business Cycle in South Africa
Working Papers, Eastern Mediterranean University, Department of Economics View citations (21)
Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)
See also Journal Article in Journal of Policy Modeling (2014)
- Is the Rand Really Decoupled from Economic Fundamentals?
Working Papers, University of Pretoria, Department of Economics
- Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013
Working Papers, University of Pretoria, Department of Economics View citations (3)
Also in Working papers, University of Connecticut, Department of Economics (2014) View citations (3)
See also Journal Article in Energy Economics (2015)
- Revisiting Herding Behavior in REITs: A Regime-Switching Approach
Working Papers, University of Pretoria, Department of Economics View citations (2)
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014)
- Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
Working Papers, Eastern Mediterranean University, Department of Economics View citations (5)
See also Journal Article in Energy Economics (2016)
- Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
Working Papers, Eastern Mediterranean University, Department of Economics View citations (9)
Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (9) Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (2)
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
- The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains
Working Papers, University of Nevada, Las Vegas , Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (5) Working papers, University of Connecticut, Department of Economics (2013) View citations (3)
- The Growth-Inflation Nexus for the US over 1801-2013: A Semiparametric Approach
Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)
- The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach
Working Papers, University of Pretoria, Department of Economics View citations (8)
- The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model
Working Papers, University of Pretoria, Department of Economics View citations (8)
Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (8)
- The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis
Working Papers, Eastern Mediterranean University, Department of Economics View citations (3)
Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)
See also Journal Article in African Development Review (2017)
2013
- Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in Journal of Developing Areas (2015)
- Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Journal of Applied Economics (2015)
- Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?
Working Papers, Economic Research Forum View citations (5)
- Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model
Working Papers, University of Pretoria, Department of Economics View citations (9)
- Housing and the Great Depression
Working Papers, University of Pretoria, Department of Economics View citations (5)
Also in Working papers, University of Connecticut, Department of Economics (2012) View citations (1) Working Papers, University of Nevada, Las Vegas , Department of Economics (2013) View citations (5)
See also Journal Article in Applied Economics (2014)
- Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Defence and Peace Economics (2014)
- Revisiting the Causal Relationship between Energy Consumption and Economic Growth in South Africa: Evidence from a Bootstrap Rolling Window Approach
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in International Journal of Economic Policy in Emerging Economies (2015)
- Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach
Working Papers, University of Pretoria, Department of Economics View citations (6)
Also in Working papers, University of Connecticut, Department of Economics (2013) View citations (8)
See also Journal Article in The North American Journal of Economics and Finance (2015)
- The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
Working Papers, University of Pretoria, Department of Economics View citations (11)
See also Journal Article in Emerging Markets Finance and Trade (2016)
- The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in European Journal of Comparative Economics (2013)
- Time-Varying Causality between Research Output and Economic Growth in the US
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in Scientometrics (2014)
- Time-Varying Linkages between Tourism Receipts and Economic Growth in South Africa
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Applied Economics (2014)
- Was the Recent Downturn in US GDP Predictable?
Working papers, University of Connecticut, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2012) Working Papers, University of Nevada, Las Vegas , Department of Economics (2012)
2012
- IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL
Working Papers, University of Pretoria, Department of Economics View citations (8)
Also in Working Papers, Stellenbosch University, Department of Economics (2012) View citations (7) Working Papers, Eastern Mediterranean University, Department of Economics (2012) View citations (3)
- Predicting BRICS Stock Returns Using ARFIMA Models
Working Papers, University of Pretoria, Department of Economics View citations (6)
- The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US
Working papers, University of Connecticut, Department of Economics View citations (3)
Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) View citations (3) Working Papers, University of Pretoria, Department of Economics (2012) View citations (6) Working Papers, Eastern Mediterranean University, Department of Economics (2012) View citations (5)
See also Journal Article in Applied Economics (2015)
2011
- "Ripple" Effects in South African House Prices
Working Papers, University of Pretoria, Department of Economics View citations (7)
- Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
Working Papers, University of Nevada, Las Vegas , Department of Economics View citations (2)
Also in Working Papers, University of Pretoria, Department of Economics (2010) Working Papers, Eastern Mediterranean University, Department of Economics (2010) View citations (1) Working papers, University of Connecticut, Department of Economics (2010) View citations (2)
See also Journal Article in Empirical Economics (2013)
- International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (6)
Also in ERC Working Papers, ERC - Economic Research Center, Middle East Technical University (2011) View citations (2) Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum (2011) View citations (7) Working Papers, Eastern Mediterranean University, Department of Economics (2011) View citations (1)
See also Journal Article in Bulletin of Economic Research (2013)
- Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach
Working Papers, University of Pretoria, Department of Economics View citations (13)
2010
- An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Economic Modelling (2011)
- Sources of Macroeconomic Fluctuations in MENA Countries
MPRA Paper, University Library of Munich, Germany View citations (3)
2007
- Point Optimal Invariant Tests of a Unit Root in Models with Structural Change
Working Papers, Eastern Mediterranean University, Department of Economics
Journal Articles
2023
- Boosting Energy Efficiency in Turkey: The Role of Public–Private Partnership Investment
Sustainability, 2023, 15, (3), 1-16
- Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
Mathematics, 2023, 11, (9), 1-21 
See also Working Paper (2021)
- Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1
Journal of International Financial Markets, Institutions and Money, 2023, 82, (C)
- Housing price uncertainty and housing prices in the UK in a time-varying environment
Empirica, 2023, 50, (2), 523-549
- Investing green for sustainable development without ditching economic growth
Sustainable Development, 2023, 31, (2), 728-743
- Is causality between globalization and energy consumption bidirectional or unidirectional in top and bottom globalized economies?
International Journal of Finance & Economics, 2023, 28, (2), 1939-1964
- On the Risk Spillover from Bitcoin to Altcoins: The Fear of Missing Out and Pump-and-Dump Scheme Effects
JRFM, 2023, 16, (1), 1-15
- Operational behaviours of multinational corporations, renewable energy transition, and environmental sustainability in Africa: Does the level of natural resource rents matter?
Resources Policy, 2023, 81, (C)
- Productivity and GDP: international evidence of persistence and trends over 130 years of data
Empirical Economics, 2023, 64, (3), 1219-1246
2022
- Adversities in Syria and their relation to their physical and mental health conditions as Syrian refugees in Turkey
Scottish Journal of Political Economy, 2022, 69, (1), 37-59
- Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies
Empirical Economics, 2022, 63, (4), 1741-1769 View citations (2)
- Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks
Physica A: Statistical Mechanics and its Applications, 2022, 604, (C) View citations (1)
- Evolving United States stock market volatility: The role of conventional and unconventional monetary policies
The North American Journal of Economics and Finance, 2022, 60, (C) View citations (1)
See also Working Paper (2021)
- Modelling the Dynamic Interaction between Economic Policy Uncertainty and Commodity Prices in India: The Dynamic Autoregressive Distributed Lag Approach
Mathematics, 2022, 10, (10), 1-21
- Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
Energies, 2022, 15, (22), 1-26 
See also Working Paper (2022)
- On the Determinants of Green Technology Diffusion: An Empirical Analysis of Economic, Social, Political, and Environmental Factors
Sustainability, 2022, 14, (4), 1-0 View citations (1)
- On the Dynamic Connectedness of the Stock, Oil, Clean Energy, and Technology Markets
Energies, 2022, 15, (5), 1-0 View citations (2)
- Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions
Resources Policy, 2022, 79, (C) 
See also Working Paper (2022)
- The COVID-19 effects on agricultural commodity markets
Agrekon, 2022, 61, (3), 239-265
- The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach
Emerging Markets Finance and Trade, 2022, 58, (4), 1008-1026 View citations (1)
See also Working Paper (2019)
- The investment volatility-dampening role of foreign aid in poor sub-Saharan African countries
The Journal of International Trade & Economic Development, 2022, 31, (5), 798-809
- The macroeconomic impact of economic uncertainty and financial shocks under low and high financial stress
The North American Journal of Economics and Finance, 2022, 63, (C)
- The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis
International Journal of Finance & Economics, 2022, 27, (2), 1979-1988 
See also Working Paper (2019)
- U.S. monetary policy and the predictability of global economic synchronization patterns
Journal of Economics and Finance, 2022, 46, (3), 473-492
- Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning
Journal of Forecasting, 2022, 41, (6), 1049-1064
2021
- Are long-run income and price elasticities of oil demand time-varying? New evidence from BRICS countries
Energy, 2021, 229, (C)
- Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach
The Quarterly Review of Economics and Finance, 2021, 79, (C), 290-302 View citations (2)
- Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
Resources Policy, 2021, 73, (C) View citations (38)
- Dynamic return and volatility spillovers among S&P 500, crude oil, and gold
International Journal of Finance & Economics, 2021, 26, (1), 153-170 View citations (7)
See also Working Paper (2018)
- El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements
Sustainability, 2021, 13, (14), 1-23 View citations (3)
See also Working Paper (2021)
- Exchange rate and oil price pass-through in the BRICS countries: Evidence from the spillover index and rolling-sample analysis
Energy, 2021, 229, (C) View citations (4)
- Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold
Mathematics, 2021, 9, (8), 1-20
- High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment
Journal of Behavioral Finance, 2021, 22, (4), 490-498 View citations (1)
See also Working Paper (2020)
- Housing sector and economic policy uncertainty: A GMM panel VAR approach
International Review of Economics & Finance, 2021, 76, (C), 114-126 View citations (5)
- Income inequality and economic growth: A re‐examination of theory and evidence
Review of Development Economics, 2021, 25, (2), 737-757 View citations (5)
See also Working Paper (2018)
- 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 (2020)
- Modelling the employment, income and price elasticities of outbound tourism demand in OECD countries
Tourism Economics, 2021, 27, (5), 971-990 View citations (1)
- 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 (6)
- Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets
Economic Modelling, 2021, 102, (C) View citations (5)
- 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 (7)
- The Time-Varying Effect of Asset Prices on Turkey’s Circular Economy
Sustainability, 2021, 13, (22), 1-0
- Time-varying evidence of predictability of financial stress in the United States over a century: The role of inequality
Structural Change and Economic Dynamics, 2021, 57, (C), 87-92 View citations (1)
See also Working Paper (2020)
- Time-varying impact of pandemics on global output growth
Finance Research Letters, 2021, 41, (C) View citations (3)
See also Working Paper (2020)
- Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains
Empirical Economics, 2021, 61, (6), 2963-2983 View citations (3)
See also Working Paper (2019)
- 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 (2019)
2020
- A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters
Empirica, 2020, 47, (3), 611-641 View citations (2)
See also Working Paper (2017)
- Asymmetric effects of inequality on real output levels of the United States
Eurasian Economic Review, 2020, 10, (1), 47-69 View citations (1)
- Do oil prices and exchange rates account for agricultural commodity market spillovers? Evidence from the Diebold and Yilmaz Index
Agrekon, 2020, 59, (3), 366-385 View citations (2)
- Examining the Effect of Globalization on Insurance Activities in Large Emerging Market Economies
Research in International Business and Finance, 2020, 53, (C) View citations (3)
- Examining the interactive growth effect of development aid and institutional quality in Sub-Saharan Africa
Journal of Development Effectiveness, 2020, 12, (4), 361-376 
See also Working Paper (2018)
- 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 (2019)
- Forecasting core inflation: the case of South Africa
Applied Economics, 2020, 52, (28), 3004-3022 View citations (2)
See also Working Paper (2015)
- Insurance and economic policy uncertainty
Research in International Business and Finance, 2020, 54, (C) View citations (11)
- Insurance-growth nexus in Africa
The Geneva Papers on Risk and Insurance - Issues and Practice, 2020, 45, (2), 335-360 View citations (2)
See also Working Paper (2018)
- 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 (12)
See also Working Paper (2019)
- On the nexus among carbon dioxide emissions, energy consumption and economic growth in G-7 countries: new insights from the historical decomposition approach
Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, 2020, 22, (8), 8097-8134 View citations (4)
- Spillover dynamics across price inflation and selected agricultural commodity prices
Journal of Economic Structures, 2020, 9, (1), 1-17 View citations (3)
See also Working Paper (2018)
- 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 (4)
- The Effectiveness Of Monetary Policy In South Africa Under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model
Journal of Developing Areas, 2020, 54, (4), 55-73 View citations (1)
See also Working Paper (2016)
- The Long-Run and Short-Run Exchange Rate Pass-Through during the Period of Economic Reforms in Nigeria: Is it Complete or Incomplete?
Journal for Economic Forecasting, 2020, (1), 151-172 View citations (2)
- 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 (6)
2019
- A wavelet analysis of the relationship between oil and natural gas prices
Resources Policy, 2019, 60, (C), 118-124 View citations (18)
See also Working Paper (2018)
- Asymmetric dynamics of insurance premium: the impact of monetary policy uncertainty on insurance premiums in Japan
International Journal of Monetary Economics and Finance, 2019, 12, (3), 233-247 View citations (2)
See also Working Paper (2018)
- Kuznets Curve for the US: A Reconsideration Using Cosummability
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2019, 142, (2), 827-843 View citations (6)
See also Working Paper (2017)
- On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches
International Journal of Finance & Economics, 2019, 24, (3), 1047-1065 View citations (14)
See also Working Paper (2018)
- Partisan Conflict and Income Inequality in the United States: A Nonparametric Causality-in-Quantiles Approach
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2019, 142, (1), 65-82 View citations (5)
- Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
Energy Policy, 2019, 134, (C) View citations (31)
See also Working Paper (2019)
- Revisiting the Exchange Rate Pass‐Through to Inflation in Africa’s Two Largest Economies: Nigeria and South Africa
African Development Review, 2019, 31, (2), 245-257 View citations (8)
- Spillover of mortgage default risks in the United States: Evidence from metropolitan statistical areas and states
The Journal of Economic Asymmetries, 2019, 19, (C), - 
See also Working Paper (2018)
- The Impact of Energy Market Uncertainty Shocks on Energy Transition in Europe
The Energy Journal, 2019, Volume 40, (The New Era of Energy Transition) View citations (4)
- The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach
Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) View citations (3)
- The migration of fear: An analysis of migration choices of Syrian refugees
The Quarterly Review of Economics and Finance, 2019, 73, (C), 95-110 View citations (6)
See also Working Paper (2018)
- The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters
Resources Policy, 2019, 61, (C), 572-584 View citations (9)
- The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea
International Review of Economics & Finance, 2019, 59, (C), 150-163 View citations (28)
- The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters
Physica A: Statistical Mechanics and its Applications, 2019, 534, (C) View citations (9)
2018
- 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 (23)
See also Working Paper (2015)
- Comparing the forecasting ability of financial conditions indices: The case of South Africa
The Quarterly Review of Economics and Finance, 2018, 69, (C), 245-259 View citations (6)
See also Working Paper (2015)
- Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks
The Journal of International Trade & Economic Development, 2018, 27, (6), 638-654 View citations (5)
- Date-stamping US housing market explosivity
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2018, 12, 1-33 View citations (4)
See also Working Paper (2017)
- Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality-in-quantiles test
Empirica, 2018, 45, (1), 29-47 View citations (1)
See also Working Paper (2014)
- 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 (5)
See also Working Paper (2016)
- Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Journal of International Financial Markets, Institutions and Money, 2018, 52, (C), 114-133 View citations (8)
- Does inflation cause gold market price changes? evidence on the G7 countries from the tests of nonparametric quantile causality in mean and variance
Applied Economics, 2018, 50, (17), 1891-1909 View citations (7)
See also Working Paper (2017)
- Dynamic Relationship Between Oil Price And Inflation In South Africa
Journal of Developing Areas, 2018, 52, (2), 73-93 View citations (13)
See also Working Paper (2014)
- Firm-level political risk and asymmetric volatility
The Journal of Economic Asymmetries, 2018, 18, (C), - View citations (7)
See also Working Paper (2018)
- Geopolitical risks and stock market dynamics of the BRICS
Economic Systems, 2018, 42, (2), 295-306 View citations (65)
See also Working Paper (2016)
- IS WINE A SAFE-HAVEN? EVIDENCE FROM A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST
Advances in Decision Sciences, 2018, 22, (1), 95-114 View citations (1)
See also Working Paper (2017)
- On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach
Energy Economics, 2018, 74, (C), 813-827 View citations (10)
- PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST
Bulletin of Economic Research, 2018, 70, (1), 74-87 View citations (20)
- 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 (16)
See also Working Paper (2016)
- The relationship between the inflation rate and inequality across U.S. states: a semiparametric approach
Quality & Quantity: International Journal of Methodology, 2018, 52, (5), 2413-2425 View citations (8)
See also Working Paper (2017)
- The renewable energy consumption and growth in the G-7 countries: Evidence from historical decomposition method
Renewable Energy, 2018, 126, (C), 594-604 View citations (17)
See also Working Paper (2018)
- The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test
Journal of Multinational Financial Management, 2018, 45, (C), 52-71 View citations (44)
See also Working Paper (2017)
- The synergistic effect of insurance and banking sector activities on economic growth in Africa
Economic Systems, 2018, 42, (4), 637-648 View citations (7)
See also Working Paper (2018)
- 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 (2017)
2017
- Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?
Resources Policy, 2017, 53, (C), 208-218 View citations (58)
- Can volume predict Bitcoin returns and volatility? A quantiles-based approach
Economic Modelling, 2017, 64, (C), 74-81 View citations (246)
See also Working Paper (2017)
- 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 (33)
See also Working Paper (2015)
- Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
Sustainability, 2017, 9, (10), 1-18 View citations (21)
See also Working Paper (2016)
- 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)
- Do precious metal prices help in forecasting South African inflation?
The North American Journal of Economics and Finance, 2017, 40, (C), 63-72 View citations (3)
See also Working Paper (2015)
- Does country risks predict stock returns and volatility? Evidence from a nonparametric approach
Research in International Business and Finance, 2017, 42, (C), 1173-1195 View citations (10)
See also Working Paper (2016)
- Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test
Finance Research Letters, 2017, 21, (C), 126-131 View citations (9)
- Does oil predict gold? A nonparametric causality-in-quantiles approach
Resources Policy, 2017, 52, (C), 257-265 View citations (34)
See also Working Paper (2017)
- Does speculation in the oil market drive investor herding in emerging stock markets?
Energy Economics, 2017, 65, (C), 50-63 View citations (20)
- Financial integration in small Islands: The case of Cyprus
International Review of Economics & Finance, 2017, 47, (C), 201-219 View citations (1)
- Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model
Empirical Economics, 2017, 53, (1), 117-135 View citations (2)
See also Working Paper (2016)
- Impact of macroeconomic factors and country risk ratings on GCC stock markets: evidence from a dynamic panel threshold model with regime switching
Applied Economics, 2017, 49, (13), 1255-1272 View citations (14)
- International stock return predictability: Is the role of U.S. time-varying?
Empirica, 2017, 44, (1), 121-146 View citations (24)
See also Working Paper (2015)
- Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach
Applied Economics, 2017, 49, (11), 1047-1054 View citations (17)
- On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test
International Economics and Economic Policy, 2017, 14, (4), 691-700 View citations (9)
See also Working Paper (2015)
- South Africa’s economic response to monetary policy uncertainty
Journal of Economic Studies, 2017, 44, (2), 282-293 View citations (5)
See also Working Paper (2015)
- Terorizmin Turkiye Finansal Piyasalari Uzerine Etkisi: Ampirik Bir Calisma
Ege Academic Review, 2017, 17, (1), 147-160
- Testing the dependency theory on small island economies: The case of Cyprus
Economic Modelling, 2017, 61, (C), 1-11 View citations (6)
- The Growth-Inflation Nexus for the U.S. from 1801 to 2013: A Semiparametric Approach
Journal of Applied Economics, 2017, 20, (1), 105-120 
Also in Journal of Applied Economics, 2017, 20, 105-120 (2017)
- The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis
African Development Review, 2017, 29, (2), 319-336 View citations (25)
See also Working Paper (2014)
- The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective
Journal of Economics and Finance, 2017, 41, (4), 774-793 View citations (8)
See also Working Paper (2016)
- The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach
Resources Policy, 2017, 51, (C), 77-84 View citations (46)
- The impact of US policy uncertainty on the monetary effectiveness in the Euro area
Journal of Policy Modeling, 2017, 39, (6), 1052-1064 View citations (19)
- The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
Empirical Economics, 2017, 53, (3), 879-889 View citations (84)
See also Working Paper (2015)
2016
- Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter
Journal of Developing Areas, 2016, 50, (1), 47-57 View citations (7)
See also Working Paper (2014)
- Can debt ceiling and government shutdown predict us real stock returns? A bootstrap rolling window approach. - Gli effetti sui rendimenti azionari reali negli USA del tetto del debito pubblico e del blocco della spesa
Economia Internazionale / International Economics, 2016, 69, (1), 11-32
- Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test
Regional Studies, 2016, 50, (10), 1728-1741 View citations (17)
- Characterising the South African business cycle: is GDP difference-stationary or trend-stationary in a Markov-switching setup? - Il ciclo economico del Sud Africa: il PIL è stazion ario alle differenze o stazionario nel trend in un modello Markov-switching?
Economia Internazionale / International Economics, 2016, 69, (1), 33-44
- 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 (76)
See also Working Paper (2015)
- Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test
Resources Policy, 2016, 49, (C), 74-80 View citations (121)
See also Working Paper (2015)
- Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns
The Journal of Real Estate Finance and Economics, 2016, 52, (3), 226-243 View citations (22)
- Forecasting South African inflation using non-linearmodels: a weighted loss-based evaluation
Applied Economics, 2016, 48, (26), 2412-2427 View citations (1)
See also Working Paper (2014)
- Forecasting US real private residential fixed investment using a large number of predictors
Empirical Economics, 2016, 51, (4), 1557-1580 View citations (3)
See also Working Paper (2014)
- LPPLS bubble indicators over two centuries of the S&P 500 index
Physica A: Statistical Mechanics and its Applications, 2016, 458, (C), 126-139 View citations (16)
See also Working Paper (2016)
- Periodically collapsing bubbles in the South African stock market
Research in International Business and Finance, 2016, 38, (C), 191-201 View citations (15)
See also Working Paper (2016)
- Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
Energy Economics, 2016, 54, (C), 159-172 View citations (64)
See also Working Paper (2014)
- THE EFFECTS OF FINANCIAL DEVELOPMENT ON INVESTMENT IN TURKEY
The Singapore Economic Review (SER), 2016, 61, (04), 1-21 View citations (3)
- Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach
Journal of International Financial Markets, Institutions and Money, 2016, 43, (C), 30-43 View citations (22)
See also Working Paper (2014)
- The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach
Emerging Markets Finance and Trade, 2016, 52, (3), 674-689 View citations (70)
See also Working Paper (2013)
- The dynamic response of the rand real exchange rate to fundamental shocks
Journal of Economic Studies, 2016, 43, (1), 108-121
- The relationship between oil and agricultural commodity prices in South Africa: A quantile causality approach
Journal of Developing Areas, 2016, 50, (3), 93-107 View citations (4)
Also in Journal of Developing Areas, 2016, 50, (2), 137-152 (2016) View citations (4)
- The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2016, 10, 1-20 View citations (34)
See also Working Paper (2016)
2015
- A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates
International Review of Economics & Finance, 2015, 40, (C), 72-89 View citations (43)
- Are there long-run diversification gains from the Dow Jones Islamic finance index?
Applied Economics Letters, 2015, 22, (12), 945-950 View citations (6)
See also Working Paper (2014)
- Causality Between Us Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
Journal of Applied Economics, 2015, 18, (2), 225-246 View citations (13)
Also in Journal of Applied Economics, 2015, 18, 225-246 (2015) View citations (23)
See also Working Paper (2013)
- Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests
Journal of Developing Areas, 2015, 49, (2), 163-181 View citations (15)
See also Working Paper (2013)
- Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model
Emerging Markets Review, 2015, 24, (C), 46-68 View citations (14)
See also Working Paper (2014)
- Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul
Emerging Markets Finance and Trade, 2015, 51, (1), 140-159 View citations (30)
- Forecasting aggregate retail sales: The case of South Africa
International Journal of Production Economics, 2015, 160, (C), 66-79 View citations (11)
See also Working Paper (2014)
- Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model
Economic Modelling, 2015, 44, (C), 215-228 View citations (12)
- Global risk exposures and industry diversification with Shariah-compliant equity sectors
Pacific-Basin Finance Journal, 2015, 35, (PB), 499-520 View citations (23)
- Herding behavior in real estate markets: Novel evidence from a Markov-switching model
Journal of Behavioral and Experimental Finance, 2015, 8, (C), 40-43 View citations (22)
- Interactions between real economic and financial sides of the US economy in a regime-switching environment
Applied Economics, 2015, 47, (60), 6493-6518 View citations (1)
- Persistence of precious metal prices: A fractional integration approach with structural breaks
Resources Policy, 2015, 44, (C), 57-64 View citations (36)
See also Working Paper (2015)
- Regime switching model of US crude oil and stock market prices: 1859 to 2013
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- Regional and global spillovers and diversification opportunities in the GCC equity sectors
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- Revisiting the causality between electricity consumption and economic growth in South Africa: a bootstrap rolling-window approach
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- The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains
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- The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US
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- The time-varying causality between spot and futures crude oil prices: A regime switching approach
International Review of Economics & Finance, 2015, 40, (C), 51-71 View citations (19)
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Applied Economics, 2015, 47, (28), 2985-3007 View citations (4)
2014
- Are there really bubbles in oil prices?
Physica A: Statistical Mechanics and its Applications, 2014, 416, (C), 631-638 View citations (16)
- Can food availability influence economic growth - the case of African countries
Agricultural Economics, 2014, 60, (5), 232-245
- EuroConference 2013 Symposium: International Conference on Business, Economics and Finance
Economic Systems, 2014, 38, (4), 469-469
- Fiscal Policy Shocks and the Dynamics of Asset Prices
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- Housing and the Great Depression
Applied Economics, 2014, 46, (24), 2966-2981 View citations (27)
See also Working Paper (2013)
- Housing and the business cycle in South Africa
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- Military expenditure, economic growth and structural instability: a case study of South Africa
Defence and Peace Economics, 2014, 25, (6), 619-633 View citations (16)
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- The Effect of Global Shocks and Volatility on Herd Behavior in Borsa Istanbul
BIFEC Book of Abstracts & Proceedings, 2014, 1, (2), 142-172
- Time-varying causality between research output and economic growth in US
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- Time-varying linkages between tourism receipts and economic growth in South Africa
Applied Economics, 2014, 46, (36), 4381-4398 View citations (18)
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- Turkiye’nin Ihracat Performansi: Ihracat Hacminin Temel Belirleyicilerinin Incelenmesi (1995-2012)
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The North American Journal of Economics and Finance, 2014, 29, (C), 418-440 View citations (45)
2013
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Scottish Journal of Political Economy, 2013, 60, (1), 1-42 View citations (21)
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Empirical Economics, 2013, 44, (2), 387-417 View citations (1)
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- Investor herds and regime-switching: Evidence from Gulf Arab stock markets
Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 295-321 View citations (76)
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Economic Modelling, 2013, 32, (C), 161-171 View citations (19)
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2012
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- Openness and financial development: time series evidence for Turkey
International Journal of Banking, Accounting and Finance, 2012, 4, (2), 172-201 View citations (5)
2011
- An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa
Economic Modelling, 2011, 28, (3), 891-899 View citations (20)
See also Working Paper (2010)
- On the Nonlinear Causality Between Inflation and Inflation Uncertainty in the G3 Countries
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Economic Modelling, 2011, 28, (1-2), 664-671 View citations (80)
Also in Economic Modelling, 2011, 28, (1), 664-671 (2011) View citations (78)
2010
- Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window
Energy Economics, 2010, 32, (6), 1398-1410 View citations (203)
2005
- A Comparative Analysis of Productivity Growth, Catch-Up, and Convergence in Transition Economies
Emerging Markets Finance and Trade, 2005, 41, (1), 6-28 View citations (24)
2004
- Persistence in Inflation: Does Aggregation Cause Long Memory?
Emerging Markets Finance and Trade, 2004, 40, (5), 25-56 View citations (14)
2003
- Multifractality of the Istanbul and Moscow Stock Market Returns
Emerging Markets Finance and Trade, 2003, 39, (2), 5-46 View citations (8)
Chapters
2022
- How Do Energy Market Shocks Affect Economic Activity in the US Under Changing Financial Conditions?
Springer View citations (1)
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