Details about David Gabauer

Access statistics for papers by David Gabauer.

Last updated 2021-09-14. Update your information in the RePEc Author Service.

Short-id: pga953

Working Papers

2021

1. 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 View citations (1)
2. 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
3. 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 View citations (1)
   See also Journal Article in Economics Letters (2021)
4. 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
5. 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

6. 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 View citations (1)
7. Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   Also in Working papers, University of Connecticut, Department of Economics (2020) View citations (1)
8. Monetary Policy and Speculative Spillovers in Financial Markets
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article in Research in International Business and Finance (2021)
9. Return Connectedness across Asset Classes around the COVID-19 Outbreak
   Working Papers, University of Pretoria, Department of Economics View citations (10)
   See also Journal Article in International Review of Financial Analysis (2021)
10. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics
11. Time-Varying Influence of Household Debt on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics View citations (2)
12. Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics
13. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2021)
14. Time-Varying Spillover of US Trade War on the Growth of Emerging Economies
    Working Papers, University of Pretoria, Department of Economics View citations (1)
15. Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States
    Working Papers, University of Pretoria, Department of Economics
16. Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Behavioral and Experimental Finance (2021)

2019

17. 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 View citations (2)
18. 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 View citations (5)
    See also Journal Article in The Quarterly Review of Economics and Finance (2021)
19. 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 View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2020)
20. Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Structural Change and Economic Dynamics (2020)
21. 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 in Finance Research Letters (2020)

2018

22. Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (68)
    See also Journal Article in Economics Letters (2018)
23. Greek Economic Policy Uncertainty: Does it Matter for the European Union?
    Working Papers, University of Pretoria, Department of Economics View citations (8)
24. International Monetary Policy Spillovers: Evidence from a TVP-VAR
    Working Papers, University of Pretoria, Department of Economics
25. Oil volatility, oil and gas firms and portfolio diversification
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University View citations (53)
    See also Journal Article in Energy Economics (2018)
26. On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics
    Working Papers, University of Pretoria, Department of Economics View citations (1)
27. 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 (60)
    See also Journal Article in Economics Letters (2018)

2017

28. Refined Measures of Dynamic Connectedness based on TVP-VAR
    MPRA Paper, University Library of Munich, Germany View citations (43)

Journal Articles

2021

1. A closer look into the global determinants of oil price volatility
   Energy Economics, 2021, 95, (C) View citations (2)
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
3. 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) View citations (4)
4. EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness
   The Quarterly Review of Economics and Finance, 2021, 79, (C), 1-14 View citations (3)
   See also Working Paper (2019)
5. Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach
   Economics Letters, 2021, 204, (C) View citations (1)
   See also Working Paper (2021)
6. Monetary policy and speculative spillovers in financial markets
   Research in International Business and Finance, 2021, 56, (C) View citations (2)
   See also Working Paper (2020)
7. Return connectedness across asset classes around the COVID-19 outbreak
   International Review of Financial Analysis, 2021, 73, (C) View citations (6)
   See also Working Paper (2020)
8. The impact of Euro through time: Exchange rate dynamics under different regimes
   International Journal of Finance & Economics, 2021, 26, (1), 1375-1408
9. 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
   See also Working Paper (2020)
10. Volatility connectedness of major cryptocurrencies: The role of investor happiness
    Journal of Behavioral and Experimental Finance, 2021, 30, (C)
    See also Working Paper (2020)

2020

11. 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) View citations (6)
    See also Working Paper (2019)
12. Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness
    Energy Economics, 2020, 91, (C) View citations (5)
13. Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
    JRFM, 2020, 13, (4), 1-23 View citations (34)
14. Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
    Structural Change and Economic Dynamics, 2020, 52, (C), 167-173 View citations (10)
    See also Working Paper (2019)
15. 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) View citations (6)
    See also Working Paper (2019)
16. Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
    Journal of Forecasting, 2020, 39, (5), 788-796 View citations (3)

2019

17. Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 37-51 View citations (42)
18. 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) View citations (3)
19. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
    International Review of Financial Analysis, 2019, 65, (C) View citations (7)

2018

20. Dynamic connectedness of uncertainty across developed economies: A time-varying approach
    Economics Letters, 2018, 166, (C), 63-75 View citations (70)
    See also Working Paper (2018)
21. Oil volatility, oil and gas firms and portfolio diversification
    Energy Economics, 2018, 70, (C), 499-515 View citations (54)
    See also Working Paper (2018)
22. 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 View citations (60)
    See also Working Paper (2018)
23. The dynamic connectedness of UK regional property returns
    Urban Studies, 2018, 55, (14), 3110-3134 View citations (15)