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Details about David Gabauer

Homepage:http://sites.google.com/view/davidgabauer
Workplace:Software Competence Center Hagenberg

Access statistics for papers by David Gabauer.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: pga953


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Working Papers

2024

  1. How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence
    Working Papers, University of Pretoria, Department of Economics

2023

  1. Geopolitical Risk and Inflation Spillovers across European and North American Economies
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  2. Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets
    Working Papers, University of Pretoria, Department of Economics

2022

  1. On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data
    Working Papers, University of Pretoria, Department of Economics
  2. Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)
    Working Papers, University of Pretoria, Department of Economics

2021

  1. 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 Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century, Mathematics, MDPI (2023) Downloads View citations (4) (2023)
  2. Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios, International Review of Financial Analysis, Elsevier (2022) Downloads View citations (4) (2022)
  3. Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (3)
    See also Journal Article Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves, Journal of International Financial Markets, Institutions and Money, Elsevier (2022) Downloads View citations (8) (2022)
  4. Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach
    Working Papers, University of Pretoria, Department of Economics View citations (20)
  5. Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (68)
    See also Journal Article Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach, Economics Letters, Elsevier (2021) Downloads View citations (36) (2021)
  6. On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures
    Working Papers, University of Pretoria, Department of Economics View citations (12)
  7. Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach, Financial Innovation, Springer (2024) Downloads (2024)
  8. The Evolution of Monetary Policy Focal Points
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads
    See also Journal Article The Evolution of Monetary Policy Focal Points, Journal of Economic Issues, Taylor & Francis Journals (2022) Downloads View citations (5) (2022)
  9. 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

  1. Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (2)
    See also Journal Article Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market, Scottish Journal of Political Economy, Scottish Economic Society (2022) Downloads View citations (4) (2022)
  2. Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models
    Working papers, University of Connecticut, Department of Economics Downloads View citations (11)
    Also in Working Papers, University of Pretoria, Department of Economics (2020) View citations (11)

    See also Journal Article Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models, International Review of Economics & Finance, Elsevier (2024) Downloads (2024)
  3. Monetary Policy and Speculative Spillovers in Financial Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Monetary policy and speculative spillovers in financial markets, Research in International Business and Finance, Elsevier (2021) Downloads View citations (8) (2021)
  4. Return Connectedness across Asset Classes around the COVID-19 Outbreak
    Working Papers, University of Pretoria, Department of Economics View citations (25)
    See also Journal Article Return connectedness across asset classes around the COVID-19 outbreak, International Review of Financial Analysis, Elsevier (2021) Downloads View citations (159) (2021)
  5. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  6. Time-Varying Influence of Household Debt on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Time-varying influence of household debt on inequality in United Kingdom, Empirical Economics, Springer (2021) Downloads (2021)
  7. Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Time-varying predictability of financial stress on inequality in United Kingdom, Journal of Economic Studies, Emerald Group Publishing Limited (2022) Downloads (2022)
  8. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom, Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer (2021) Downloads (2021)
  9. Time-Varying Spillover of US Trade War on the Growth of Emerging Economies
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  10. Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States
    Working Papers, University of Pretoria, Department of Economics
  11. Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Volatility connectedness of major cryptocurrencies: The role of investor happiness, Journal of Behavioral and Experimental Finance, Elsevier (2021) Downloads View citations (27) (2021)

2019

  1. A Regional Decomposition of US Housing Prices and Volume: Market Dynamics and Economic Diversification Opportunities
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (2)
  2. EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (5)
    See also Journal Article EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness, The Quarterly Review of Economics and Finance, Elsevier (2021) Downloads View citations (58) (2021)
  3. From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (1)
    See also Journal Article From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps, Journal of International Financial Markets, Institutions and Money, Elsevier (2020) Downloads View citations (19) (2020)
  4. Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach, Structural Change and Economic Dynamics, Elsevier (2020) Downloads View citations (20) (2020)
  5. Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data, Finance Research Letters, Elsevier (2020) Downloads View citations (10) (2020)

2018

  1. Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (158)
    See also Journal Article Dynamic connectedness of uncertainty across developed economies: A time-varying approach, Economics Letters, Elsevier (2018) Downloads View citations (160) (2018)
  2. Greek Economic Policy Uncertainty: Does it Matter for the European Union?
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  3. International Monetary Policy Spillovers: Evidence from a TVP-VAR
    Working Papers, University of Pretoria, Department of Economics
  4. Oil volatility, oil and gas firms and portfolio diversification
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University Downloads View citations (136)
    See also Journal Article Oil volatility, oil and gas firms and portfolio diversification, Energy Economics, Elsevier (2018) Downloads View citations (113) (2018)
  5. On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article On the transmission mechanism of Asia‐Pacific yield curve characteristics, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2022) Downloads View citations (2) (2022)
  6. On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach
    Working Papers, University of Pretoria, Department of Economics View citations (140)
    See also Journal Article On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach, Economics Letters, Elsevier (2018) Downloads View citations (143) (2018)

Journal Articles

2024

  1. Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models
    International Review of Economics & Finance, 2024, 89, (PB), 349-362 Downloads
    See also Working Paper Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models, Working papers (2020) Downloads View citations (11) (2020)
  2. Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach
    International Review of Financial Analysis, 2024, 91, (C) Downloads
  3. Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve
    Finance Research Letters, 2024, 60, (C) Downloads
  4. Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
    Financial Innovation, 2024, 10, (1), 1-17 Downloads
    See also Working Paper Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach, Working Papers (2021) View citations (3) (2021)

2023

  1. Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
    Mathematics, 2023, 11, (9), 1-21 Downloads View citations (4)
    See also Working Paper Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century, Working Papers (2021) (2021)
  2. Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market
    Finance Research Letters, 2023, 57, (C) Downloads
  3. Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
    International Review of Economics & Finance, 2023, 83, (C), 114-123 Downloads View citations (15)
  4. Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets
    Applied Economics, 2023, 55, (24), 2740-2754 Downloads
  5. Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
    Journal of Commodity Markets, 2023, 30, (C) Downloads View citations (2)
  6. Global geopolitical risk and inflation spillovers across European and North American economies
    Research in International Business and Finance, 2023, 66, (C) Downloads View citations (3)
  7. Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach
    Resources Policy, 2023, 84, (C) Downloads View citations (3)
  8. Model-free connectedness measures
    Finance Research Letters, 2023, 54, (C) Downloads View citations (6)
  9. Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies
    Energy Economics, 2023, 120, (C) Downloads View citations (7)

2022

  1. Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies
    Resources Policy, 2022, 78, (C) Downloads View citations (14)
  2. Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market
    Scottish Journal of Political Economy, 2022, 69, (3), 283-300 Downloads View citations (4)
    See also Working Paper Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market, Working Papers in Economics & Finance (2020) Downloads View citations (2) (2020)
  3. Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies
    Global Finance Journal, 2022, 51, (C) Downloads View citations (91)
  4. Financial market connectedness: The role of investors’ happiness
    Finance Research Letters, 2022, 44, (C) Downloads View citations (9)
  5. Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios
    International Review of Financial Analysis, 2022, 83, (C) Downloads View citations (4)
    See also Working Paper Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios, Working Papers (2021) (2021)
  6. Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves
    Journal of International Financial Markets, Institutions and Money, 2022, 81, (C) Downloads View citations (8)
    See also Working Paper Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves, Working Papers in Economics & Finance (2021) Downloads View citations (3) (2021)
  7. On the transmission mechanism of Asia‐Pacific yield curve characteristics
    International Journal of Finance & Economics, 2022, 27, (1), 473-488 Downloads View citations (2)
    See also Working Paper On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics, Working Papers (2018) View citations (1) (2018)
  8. Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic
    Energy Economics, 2022, 111, (C) Downloads View citations (15)
  9. The Evolution of Monetary Policy Focal Points
    Journal of Economic Issues, 2022, 56, (2), 348-355 Downloads View citations (5)
    See also Working Paper The Evolution of Monetary Policy Focal Points, Working Papers in Economics & Finance (2021) Downloads (2021)
  10. Time-varying predictability of financial stress on inequality in United Kingdom
    Journal of Economic Studies, 2022, 50, (5), 987-1007 Downloads
    See also Working Paper Time-Varying Predictability of Financial Stress on Inequality in United Kingdom, Working Papers (2020) (2020)
  11. Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning
    Journal of Forecasting, 2022, 41, (6), 1049-1064 Downloads View citations (2)

2021

  1. A closer look into the global determinants of oil price volatility
    Energy Economics, 2021, 95, (C) Downloads View citations (33)
  2. A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification
    The Annals of Regional Science, 2021, 66, (2), 279-307 Downloads View citations (5)
  3. Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
    Resources Policy, 2021, 73, (C) Downloads View citations (77)
  4. Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system
    Journal of Multinational Financial Management, 2021, 60, (C) Downloads View citations (47)
  5. EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness
    The Quarterly Review of Economics and Finance, 2021, 79, (C), 1-14 Downloads View citations (58)
    See also Working Paper EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness, Working Papers in Economics & Finance (2019) Downloads View citations (5) (2019)
  6. Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach
    Economics Letters, 2021, 204, (C) Downloads View citations (36)
    See also Working Paper Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach, Working Papers in Economics & Finance (2021) Downloads View citations (68) (2021)
  7. Monetary policy and speculative spillovers in financial markets
    Research in International Business and Finance, 2021, 56, (C) Downloads View citations (8)
    See also Working Paper Monetary Policy and Speculative Spillovers in Financial Markets, Working Papers (2020) (2020)
  8. Return connectedness across asset classes around the COVID-19 outbreak
    International Review of Financial Analysis, 2021, 73, (C) Downloads View citations (159)
    See also Working Paper Return Connectedness across Asset Classes around the COVID-19 Outbreak, Working Papers (2020) View citations (25) (2020)
  9. The impact of Euro through time: Exchange rate dynamics under different regimes
    International Journal of Finance & Economics, 2021, 26, (1), 1375-1408 Downloads View citations (4)
  10. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2021, 155, (3), 771-788 Downloads
    See also Working Paper Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom, Working Papers (2020) (2020)
  11. Time-varying influence of household debt on inequality in United Kingdom
    Empirical Economics, 2021, 61, (4), 1917-1933 Downloads
    See also Working Paper Time-Varying Influence of Household Debt on Inequality in United Kingdom, Working Papers (2020) View citations (3) (2020)
  12. Time-varying spillovers between housing sentiment and housing market in the United States☆
    Finance Research Letters, 2021, 42, (C) Downloads View citations (2)
  13. Volatility connectedness of major cryptocurrencies: The role of investor happiness
    Journal of Behavioral and Experimental Finance, 2021, 30, (C) Downloads View citations (27)
    See also Working Paper Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness, Working Papers (2020) View citations (2) (2020)

2020

  1. From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps
    Journal of International Financial Markets, Institutions and Money, 2020, 69, (C) Downloads View citations (19)
    See also Working Paper From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps, Working Papers in Economics & Finance (2019) Downloads View citations (1) (2019)
  2. Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness
    Energy Economics, 2020, 91, (C) Downloads View citations (39)
  3. Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
    JRFM, 2020, 13, (4), 1-23 Downloads View citations (272)
  4. Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
    Structural Change and Economic Dynamics, 2020, 52, (C), 167-173 Downloads View citations (20)
    See also Working Paper Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach, Working Papers (2019) View citations (2) (2019)
  5. Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data
    Finance Research Letters, 2020, 37, (C) Downloads View citations (10)
    See also Working Paper Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data, Working Papers (2019) View citations (3) (2019)
  6. Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
    Journal of Forecasting, 2020, 39, (5), 788-796 Downloads View citations (34)

2019

  1. Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 37-51 Downloads View citations (95)
  2. Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach
    Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) Downloads View citations (11)
  3. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
    International Review of Financial Analysis, 2019, 65, (C) Downloads View citations (41)

2018

  1. Dynamic connectedness of uncertainty across developed economies: A time-varying approach
    Economics Letters, 2018, 166, (C), 63-75 Downloads View citations (160)
    See also Working Paper Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach, Working Papers (2018) View citations (158) (2018)
  2. Oil volatility, oil and gas firms and portfolio diversification
    Energy Economics, 2018, 70, (C), 499-515 Downloads View citations (113)
    See also Working Paper Oil volatility, oil and gas firms and portfolio diversification, BAFES Working Papers (2018) Downloads View citations (136) (2018)
  3. On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach
    Economics Letters, 2018, 171, (C), 63-71 Downloads View citations (143)
    See also Working Paper On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach, Working Papers (2018) View citations (140) (2018)
  4. The dynamic connectedness of UK regional property returns
    Urban Studies, 2018, 55, (14), 3110-3134 Downloads View citations (31)

Chapters

2022

  1. Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity
    Springer View citations (25)
  2. Volatility Contagion Between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19: A TVP-VAR Extended Joint Connectedness Approach
    Springer View citations (2)
 
Page updated 2024-05-26