Details about David Gabauer

Access statistics for papers by David Gabauer.

Last updated 2020-10-08. Update your information in the RePEc Author Service.

Short-id: pga953

Working Papers

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
2. 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
   Also in Working papers, University of Connecticut, Department of Economics (2020)
3. Monetary Policy and Speculative Spillovers in Financial Markets
   Working Papers, University of Pretoria, Department of Economics
4. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
   Working Papers, University of Pretoria, Department of Economics
5. Time-Varying Influence of Household Debt on Inequality in United Kingdom
   Working Papers, University of Pretoria, Department of Economics
6. Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
   Working Papers, University of Pretoria, Department of Economics
7. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
   Working Papers, University of Pretoria, Department of Economics
8. Time-Varying Spillover of US Trade War on the Growth of Emerging Economies
   Working Papers, University of Pretoria, Department of Economics
9. Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness
   Working Papers, University of Pretoria, Department of Economics

2019

10. 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)
11. 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 (2)
12. 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
13. 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)
14. 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

2018

15. Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (30)
    See also Journal Article in Economics Letters (2018)
16. Greek Economic Policy Uncertainty: Does it Matter for the European Union?
    Working Papers, University of Pretoria, Department of Economics View citations (8)
17. International Monetary Policy Spillovers: Evidence from a TVP-VAR
    Working Papers, University of Pretoria, Department of Economics
18. Oil volatility, oil and gas firms and portfolio diversification
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University View citations (17)
    See also Journal Article in Energy Economics (2018)
19. On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics
    Working Papers, University of Pretoria, Department of Economics View citations (1)
20. 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 (26)
    See also Journal Article in Economics Letters (2018)

2017

21. Refined Measures of Dynamic Connectedness based on TVP-VAR
    MPRA Paper, University Library of Munich, Germany View citations (23)

Journal Articles

2020

1. Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
   Journal of Risk and Financial Management, 2020, 13, (4), 1-23 View citations (4)
2. Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
   Structural Change and Economic Dynamics, 2020, 52, (C), 167-173 View citations (4)
   See also Working Paper (2019)
3. Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
   Journal of Forecasting, 2020, 39, (5), 788-796 View citations (1)

2019

4. 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 (16)
5. 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 (2)
6. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
   International Review of Financial Analysis, 2019, 65, (C) View citations (3)

2018

7. Dynamic connectedness of uncertainty across developed economies: A time-varying approach
   Economics Letters, 2018, 166, (C), 63-75 View citations (32)
   See also Working Paper (2018)
8. Oil volatility, oil and gas firms and portfolio diversification
   Energy Economics, 2018, 70, (C), 499-515 View citations (18)
   See also Working Paper (2018)
9. 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 (26)
   See also Working Paper (2018)
10. The dynamic connectedness of UK regional property returns
    Urban Studies, 2018, 55, (14), 3110-3134 View citations (9)