Details about David Gabauer
Access statistics for papers by David Gabauer.
Last updated 2021-01-01. Update your information in the RePEc Author Service.
Short-id: pga953
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Working Papers
2020
- 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)
- 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 
Also in Working Papers, University of Pretoria, Department of Economics (2020)
- Monetary Policy and Speculative Spillovers in Financial Markets
Working Papers, University of Pretoria, Department of Economics
- Sentiment and Financial Market Connectedness: The Role of Investor Happiness
Working Papers, University of Pretoria, Department of Economics
- Time-Varying Influence of Household Debt on Inequality in United Kingdom
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
Working Papers, University of Pretoria, Department of Economics
- Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
Working Papers, University of Pretoria, Department of Economics
- Time-Varying Spillover of US Trade War on the Growth of Emerging Economies
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States
Working Papers, University of Pretoria, Department of Economics
- Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness
Working Papers, University of Pretoria, Department of Economics
2019
- 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)
- 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)
- 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 
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2020)
- 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)
- 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 (1)
See also Journal Article in Finance Research Letters (2020)
2018
- Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
Working Papers, University of Pretoria, Department of Economics View citations (33)
See also Journal Article in Economics Letters (2018)
- Greek Economic Policy Uncertainty: Does it Matter for the European Union?
Working Papers, University of Pretoria, Department of Economics View citations (8)
- International Monetary Policy Spillovers: Evidence from a TVP-VAR
Working Papers, University of Pretoria, Department of Economics
- Oil volatility, oil and gas firms and portfolio diversification
BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University View citations (26)
See also Journal Article in Energy Economics (2018)
- On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics
Working Papers, University of Pretoria, Department of Economics View citations (1)
- 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 (28)
See also Journal Article in Economics Letters (2018)
2017
- Refined Measures of Dynamic Connectedness based on TVP-VAR
MPRA Paper, University Library of Munich, Germany View citations (25)
Journal Articles
2020
- 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) 
See also Working Paper (2019)
- Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness
Energy Economics, 2020, 91, (C)
- Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
Journal of Risk and Financial Management, 2020, 13, (4), 1-1 View citations (8)
- Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
Structural Change and Economic Dynamics, 2020, 52, (C), 167-173 View citations (5)
See also Working Paper (2019)
- 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) 
See also Working Paper (2019)
- 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
- 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 (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 (2)
- International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
International Review of Financial Analysis, 2019, 65, (C) View citations (3)
2018
- Dynamic connectedness of uncertainty across developed economies: A time-varying approach
Economics Letters, 2018, 166, (C), 63-75 View citations (35)
See also Working Paper (2018)
- Oil volatility, oil and gas firms and portfolio diversification
Energy Economics, 2018, 70, (C), 499-515 View citations (27)
See also Working Paper (2018)
- 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 (28)
See also Working Paper (2018)
- The dynamic connectedness of UK regional property returns
Urban Studies, 2018, 55, (14), 3110-3134 View citations (9)
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