Details about David Gabauer

Homepage:	http://sites.google.com/view/davidgabauer
Workplace:	Faculty of Agribusiness and Commerce, Lincoln University, (more information at EDIRC)

Access statistics for papers by David Gabauer.

Last updated 2025-01-27. Update your information in the RePEc Author Service.

Short-id: pga953

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Working Papers

Journal Articles

2024

Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers
Financial Innovation, 2024, 10, (1), 1-26
Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R2 decomposed connectedness measures
Energy Economics, 2024, 136, (C) View citations (6)
Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures
The European Journal of Finance, 2024, 30, (13), 1470-1489 View citations (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 View citations (14)
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) View citations (13) (2020)
Gold, platinum and the predictability of bubbles in global stock markets
Resources Policy, 2024, 90, (C)
How connected is the oil-bank network? Firm-level and high-frequency evidence
Energy Economics, 2024, 136, (C) View citations (5)
See also Working Paper How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence, Working Papers (2024) View citations (5) (2024)
Investigating dynamic connectedness of global equity markets: the role of investor attention
Applied Economics, 2024, 56, (55), 7222-7243
Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach
International Review of Financial Analysis, 2024, 91, (C) View citations (17)
Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve
Finance Research Letters, 2024, 60, (C) View citations (16)
Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
Financial Innovation, 2024, 10, (1), 1-17 View citations (4)
See also Working Paper Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach, Working Papers (2021) View citations (5) (2021)
Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach
International Review of Economics & Finance, 2024, 93, (PB), 121-139 View citations (3)
The impact of oil shocks on green, clean, and socially responsible markets
Energy Economics, 2024, 136, (C) View citations (4)

2023

Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
Mathematics, 2023, 11, (9), 1-21 View citations (12)
See also Working Paper Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century, Working Papers (2021) (2021)
Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market
Finance Research Letters, 2023, 57, (C) View citations (25)
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 View citations (35)
Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets
Applied Economics, 2023, 55, (24), 2740-2754 View citations (6)
Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
Journal of Commodity Markets, 2023, 30, (C) View citations (20)
Global geopolitical risk and inflation spillovers across European and North American economies
Research in International Business and Finance, 2023, 66, (C) View citations (12)
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) View citations (48)
Model-free connectedness measures
Finance Research Letters, 2023, 54, (C) View citations (19)
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) View citations (32)

2022

Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies
Resources Policy, 2022, 78, (C) View citations (44)
Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market
Scottish Journal of Political Economy, 2022, 69, (3), 283-300 View citations (10)
See also Working Paper Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market, Working Papers in Economics & Finance (2020) View citations (2) (2020)
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) View citations (187)
Financial market connectedness: The role of investors’ happiness
Finance Research Letters, 2022, 44, (C) View citations (22)
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) View citations (8)
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)
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) View citations (26)
See also Working Paper Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves, Working Papers in Economics & Finance (2021) View citations (3) (2021)
On the transmission mechanism of Asia‐Pacific yield curve characteristics
International Journal of Finance & Economics, 2022, 27, (1), 473-488 View citations (2)
See also Working Paper On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics, Working Papers (2018) View citations (1) (2018)
Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic
Energy Economics, 2022, 111, (C) View citations (43)
The Evolution of Monetary Policy Focal Points
Journal of Economic Issues, 2022, 56, (2), 348-355 View citations (6)
See also Working Paper The Evolution of Monetary Policy Focal Points, Working Papers in Economics & Finance (2021) (2021)
Time-varying predictability of financial stress on inequality in United Kingdom
Journal of Economic Studies, 2022, 50, (5), 987-1007
See also Working Paper Time-Varying Predictability of Financial Stress on Inequality in United Kingdom, Working Papers (2020) (2020)
Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning
Journal of Forecasting, 2022, 41, (6), 1049-1064 View citations (4)

2021

A closer look into the global determinants of oil price volatility
Energy Economics, 2021, 95, (C) View citations (51)
A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification
The Annals of Regional Science, 2021, 66, (2), 279-307 View citations (7)
Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
Resources Policy, 2021, 73, (C) View citations (147)
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 (80)
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 (113)
See also Working Paper EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness, Working Papers in Economics & Finance (2019) View citations (5) (2019)
Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach
Economics Letters, 2021, 204, (C) View citations (112)
See also Working Paper Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach, Working Papers in Economics & Finance (2021) View citations (169) (2021)
Monetary policy and speculative spillovers in financial markets
Research in International Business and Finance, 2021, 56, (C) View citations (10)
See also Working Paper Monetary Policy and Speculative Spillovers in Financial Markets, Working Papers (2020) (2020)
Return connectedness across asset classes around the COVID-19 outbreak
International Review of Financial Analysis, 2021, 73, (C) View citations (267)
See also Working Paper Return Connectedness across Asset Classes around the COVID-19 Outbreak, Working Papers (2020) View citations (27) (2020)
The impact of Euro through time: Exchange rate dynamics under different regimes
International Journal of Finance & Economics, 2021, 26, (1), 1375-1408 View citations (6)
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 Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom, Working Papers (2020) (2020)
Time-varying influence of household debt on inequality in United Kingdom
Empirical Economics, 2021, 61, (4), 1917-1933 View citations (1)
See also Working Paper Time-Varying Influence of Household Debt on Inequality in United Kingdom, Working Papers (2020) View citations (3) (2020)
Time-varying spillovers between housing sentiment and housing market in the United States☆
Finance Research Letters, 2021, 42, (C) View citations (5)
Volatility connectedness of major cryptocurrencies: The role of investor happiness
Journal of Behavioral and Experimental Finance, 2021, 30, (C) View citations (40)
See also Working Paper Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness, Working Papers (2020) View citations (2) (2020)

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) View citations (21)
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) View citations (1) (2019)
Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness
Energy Economics, 2020, 91, (C) View citations (73)
Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
JRFM, 2020, 13, (4), 1-23 View citations (570)
Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
Structural Change and Economic Dynamics, 2020, 52, (C), 167-173 View citations (25)
See also Working Paper Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach, Working Papers (2019) View citations (2) (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) View citations (11)
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)
Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
Journal of Forecasting, 2020, 39, (5), 788-796 View citations (62)

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 (134)
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 (14)
International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
International Review of Financial Analysis, 2019, 65, (C) View citations (63)

2018

Dynamic connectedness of uncertainty across developed economies: A time-varying approach
Economics Letters, 2018, 166, (C), 63-75 View citations (209)
See also Working Paper Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach, Working Papers (2018) View citations (207) (2018)
Oil volatility, oil and gas firms and portfolio diversification
Energy Economics, 2018, 70, (C), 499-515 View citations (152)
See also Working Paper Oil volatility, oil and gas firms and portfolio diversification, BAFES Working Papers (2018) View citations (187) (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 (200)
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 (197) (2018)
The dynamic connectedness of UK regional property returns
Urban Studies, 2018, 55, (14), 3110-3134 View citations (36)