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Details about Rangan Gupta

Homepage:https://sites.google.com/site/ranganguptaeconomics/
Phone:+27 12 420 3460
Postal address:Department of Economics, University of Pretoria, Pretoria, 0002, South Africa
Workplace:Department of Economics, Faculty of Economic and Management Sciences, University of Pretoria, (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Rangan Gupta.

Last updated 2023-05-08. Update your information in the RePEc Author Service.

Short-id: pgu80


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Working Papers

2023

  1. Drivers of Realized Volatility for South Africa (and the BRIC Countries): Fundamentals versus Sentiment
    Working Papers, University of Pretoria, Department of Economics
  2. Geopolitical Risk and Inflation Spillovers across European and North American Economies
    Working Papers, University of Pretoria, Department of Economics
  3. Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India
    Working Papers, University of Pretoria, Department of Economics Downloads
  4. Return Volatility, Correlation, and Hedging of Green and Brown Stocks: Is there a Role for Climate Risk Factors?
    Working Papers, University of Pretoria, Department of Economics Downloads
  5. Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
  6. The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States
    Working Papers, University of Pretoria, Department of Economics Downloads

2022

  1. Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns
    Working Papers, University of Pretoria, Department of Economics
  2. Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment
    Working Papers, University of Pretoria, Department of Economics Downloads
  3. Climate Change and Inequality
    Working Papers, University of Pretoria, Department of Economics
  4. Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States
    Working Papers, University of Pretoria, Department of Economics
  5. Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  6. Climate Risks and Predictability of the Trading Volume of Gold: Evidence from an INGARCH Model
    Working Papers, University of Pretoria, Department of Economics
  7. Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Financial Markets (2023)
  8. Climate Risks and State-Level Stock-Market Realized Volatility
    Working Papers, University of Pretoria, Department of Economics
  9. Climate Shocks and Wealth Inequality in the United Kingdom: Evidence from Monthly Data
    Working Papers, University of Pretoria, Department of Economics
  10. Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Economics Letters (2022)
  11. Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2022)
  12. Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach
    Working Papers, University of Pretoria, Department of Economics Downloads
  13. Do Economic Conditions of U.S. States Predict the Realized Volatility of Oil-Price Returns? A Quantile Machine-Learning Approach
    Working Papers, University of Pretoria, Department of Economics
  14. Economic Disasters and Inequality
    Working Papers, University of Pretoria, Department of Economics
  15. Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in JRFM (2022)
  16. Forecasting More than Three Centuries of Economic Growth of the United Kingdom: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
  17. Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies
    Working Papers, University of Pretoria, Department of Economics Downloads
  18. Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models
    Working Papers, University of Pretoria, Department of Economics
  19. Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Finance Research Letters (2022)
  20. Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  21. Forecasting the Realized Variance of Oil-Price Returns Using Machine-Learning: Is there a Role for U.S. State-Level Uncertainty?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2022)
  22. Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500
    Working Papers, University of Pretoria, Department of Economics
  23. Herding in International REITs Markets around the COVID-19 Pandemic
    Working Papers, University of Pretoria, Department of Economics Downloads
  24. Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility
    Working Papers, University of Pretoria, Department of Economics
  25. Inflation-Inequality Puzzle: Is it Still Apparent?
    Working Papers, University of Pretoria, Department of Economics Downloads
  26. Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries
    Working Papers, University of Pretoria, Department of Economics
  27. Is Real Interest Rate a Monetary Phenomenon in Advanced Economies? Time-Varying Evidence from Over 700 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  28. Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  29. Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energies (2022)
  30. On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal
    Working Papers, University of Pretoria, Department of Economics
  31. 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 Downloads
  32. Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Economics Letters (2022)
  33. Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
    Working Papers, University of Pretoria, Department of Economics
  34. Predictability of Economic Slowdowns in Advanced Countries over Eight Centuries: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
  35. Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets
    Working Papers, University of Pretoria, Department of Economics Downloads
  36. Rare Disaster Risks and Gold over 700 Years: Evidence from Nonparametric Quantile Regressions
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Resources Policy (2022)
  37. Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form
    Working Papers, University of Pretoria, Department of Economics Downloads
  38. Revisiting International House Price Convergence Using House Price Level Data
    Working Papers, University of Pretoria, Department of Economics
  39. Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics Downloads
  40. Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)
    Working Papers, University of Pretoria, Department of Economics Downloads
  41. Temperature and Precipitation in the US States: Long Memory, Persistence and Time Trend
    Working Papers, University of Pretoria, Department of Economics
  42. Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2023)
  43. The Effects of Climate Risks on Economic Activity in a Panel of US States: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Economics Letters (2022)
  44. The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
    Working Papers, University of Pretoria, Department of Economics
  45. The Heterogeneous Impact of Temperature Growth on Real House Price Returns across the US States
    Working Papers, University of Pretoria, Department of Economics Downloads
  46. The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests
    Working Papers, University of Pretoria, Department of Economics
  47. The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (1)
  48. Time-Varying Parameter Four-Equation DSGE Model
    Working Papers, University of Pretoria, Department of Economics Downloads
  49. US Monetary Policy and BRICS Stock Market Bubbles
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2023)

2021

  1. A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Energies (2021)
  2. A Note on State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict
    Working Papers, University of Pretoria, Department of Economics
  3. A Note on the COVID-19 Shock and Real GDP in Emerging Economies: A Counterfactual Analysis from the Threshold-Augmented Global Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics
  4. A robust approach for outlier imputation: Singular Spectrum Decomposition
    Working Papers, University of Pretoria, Department of Economics
  5. Bitcoin Mining Activity and Volatility Dynamics in the Power Market
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Economics Letters (2021)
  6. Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment
    Working Papers, University of Pretoria, Department of Economics
  7. Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Resources Policy (2022)
  8. 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 in Mathematics (2023)
  9. Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data
    Working Papers, University of Pretoria, Department of Economics
  10. Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Energies (2021)
  11. Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  12. Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective
    Working Papers, University of Pretoria, Department of Economics Downloads
  13. Disaggregated Oil Shocks and Stock-Market Tail Risks: Evidence from a Panel of 48 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (6)
  14. Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests
    Working Papers, University of Pretoria, Department of Economics
  15. El Nino and Forecastability of Oil-Price Realized Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (7)
  16. El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach
    Working Papers, University of Pretoria, Department of Economics
  17. El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Sustainability (2021)
  18. Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2022)
  19. Exchange Rate Predictability with Nine Alternative Models for BRICS Countries
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Macroeconomics (2022)
  20. Financial Inclusion and Gender Inequality in sub-Saharan Africa
    Working Papers, University of Pretoria, Department of Economics
  21. Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Global Finance Journal (2022)
  22. Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  23. Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2023)
  24. Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty
    Working Papers, University of Pretoria, Department of Economics
  25. Forecasting Oil Price over 150 Years: The Role of Tail Risks
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    See also Journal Article in Resources Policy (2022)
  26. Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2022)
  27. Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2021) Downloads View citations (2)

    See also Journal Article in Resources Policy (2022)
  28. Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Forecasting (2022)
  29. 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 in International Review of Financial Analysis (2022)
  30. Forecasting US Output Growth with Large Information Sets
    Working Papers, University of Pretoria, Department of Economics
  31. Forecasting the Artificial Intelligence Index Returns: A Hybrid Approach
    Working Papers, University of Pretoria, Department of Economics
  32. Forecasting the Realized Variance of Oil-Price Returns: A Disaggregated Analysis of the Role of Uncertainty and Geopolitical Risk
    Working Papers, University of Pretoria, Department of Economics
  33. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Energies (2021)
  34. Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data
    Working Papers, University of Pretoria, Department of Economics View citations (12)
    See also Journal Article in Energy (2021)
  35. Geopolitical Risks and the High-Frequency Movements of the US Term Structure of Interest Rates
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Annals of Financial Economics (AFE) (2021)
  36. Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Finance Research Letters (2022)
  37. Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2022)
  38. Gold and the Global Financial Cycle
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  39. Government Effectiveness and Covid-19 Pandemic
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Sustainability (2021)
  40. High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests
    Working Papers, University of Pretoria, Department of Economics
  41. Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets
    Working Papers, University of Pretoria, Department of Economics
  42. Income Inequality and House Prices across US States
    GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2021)
  43. 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 (4)
  44. Interest Rate Uncertainty and the Predictability of Bank Revenues
    Working Papers, Copenhagen Business School, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2020)

    See also Journal Article in Journal of Forecasting (2022)
  45. Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Behavioral Finance (2023)
  46. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2022)
  47. Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Finance Research Letters (2022)
  48. 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 (4)
  49. Out-of-Sample Predictability of Gold Market Volatility: The Role of US Nonfarm Payroll
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2022)
  50. Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks
    Working Papers, University of Pretoria, Department of Economics
  51. Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in JRFM (2022)
  52. Price Effects after One-Day Abnormal Returns in Developed and Emerging Markets: ESG versus Traditional Indices
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2022)
  53. Productivity and GDP: International Evidence of Persistence and Trends Over 130 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Empirical Economics (2023)
  54. Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events
    Working Papers, University of Pretoria, Department of Economics
  55. Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  56. Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  57. Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  58. Social Capital and Protests in the United States
    Working Papers, University of Pretoria, Department of Economics
  59. Structural and Predictive Analyses with a Mixed Copula-Based Vector Autoregression Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Forecasting (2023)
  60. Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  61. The (Asymmetric) Effect of El Nino and La Nina on Gold and Silver Prices in a GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Resources Policy (2022)
  62. The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses
    Working Papers, University of Pretoria, Department of Economics
  63. The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2021) Downloads View citations (1)

    See also Chapter (2022)
  64. The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  65. The Effect of Oil Uncertainty Shock on Real GDP of 33 Countries: A Global VAR Approach
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Applied Economics Letters (2023)
  66. The Effect of US Uncertainty Shock on International Equity Markets: The Role of the Global Financial Cycle
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  67. The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in International Finance (2022)
  68. The Impact of Oil Price Shocks on Income Inequality: Evidence from State-Level Data of the United States
    Working Papers, University of Pretoria, Department of Economics
  69. The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Review of Economics & Finance (2023)
  70. The Non-Linear Response of US State-Level Tradable and Non-Tradable Inflation to Oil Shocks: The Role of Oil-Dependence
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2023)
  71. The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom
    Working Papers, University of Pretoria, Department of Economics Downloads
  72. Uncertainty Related to Infectious Diseases and Forecastability of the Realised Volatility of US Treasury Securities
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Annals of Financial Economics (AFE) (2021)
  73. 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)
  74. Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Forecasting (2022)
  75. Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns
    Working Papers, University of Pretoria, Department of Economics

2020

  1. 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets
    Working papers, University of Connecticut, Department of Economics Downloads View citations (4)
    Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (1)
  2. A Note on Investor Happiness and the Predictability of Realized Volatility of Gold
    Working Papers, University of Pretoria, Department of Economics View citations (17)
    See also Journal Article in Finance Research Letters (2021)
  3. A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Applied Economics Letters (2021)
  4. A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Annals of Financial Economics (AFE) (2022)
  5. A Note on the Time-Varying Impact of Global, Region- and Country-Specific Uncertainties on the Volatility of International Trade
    Working Papers, University of Pretoria, Department of Economics
  6. Analysing the Impact of Brexit on Global Uncertainty Using Functional Linear Regression with Point of Impact: The Role of Currency and Equity Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The Singapore Economic Review (SER) (2022)
  7. Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2021)
  8. COVID-19 Pandemic and Investor Herding in International Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Risks (2021)
  9. Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2021)
  10. Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Applied Economics Letters (2021)
  11. Dynamic Impact of Unconventional Monetary Policy on International REITs
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in JRFM (2021)
  12. Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  13. Endogenous Long-Term Productivity Performance in Advanced Countries: A Novel Two-Dimensional Fuzzy-Monte Carlo Approach
    Working Papers, University of Pretoria, Department of Economics
  14. 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 (5)
    Also in Working Papers, University of Pretoria, Department of Economics (2020) View citations (5)
  15. Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2021)
  16. Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2022)
  17. Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  18. Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  19. Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?
    Working Papers, University of Pretoria, Department of Economics Downloads View citations (1)
  20. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Computational Economics (2021)
  21. Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks
    Working Papers, University of Pretoria, Department of Economics
  22. Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Mathematics (2020)
  23. Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2022)
  24. Geopolitical Risks and Stock Market Volatility in the G7 Countries: A Century of Evidence from a Time-Varying Nonparametric Panel Data Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  25. Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Empirical Economics (2022)
  26. High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty
    Working Papers, University of Pretoria, Department of Economics
  27. High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Journal of Behavioral Finance (2021)
  28. Historical Forecasting of Interest Rate Mean and Volatility of the United States: Is there a Role of Uncertainty?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Annals of Financial Economics (AFE) (2020)
  29. House Price Synchronization across the US States: The Role of Structural Oil Shocks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2021)
  30. Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2020)
  31. Income Inequality and Oil Resources: Panel Evidence from the United States
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Policy (2021)
  32. Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in International Review of Economics & Finance (2021)
  33. Information Entropy, Continuous Improvement, and US Energy Performance: A Novel Stochastic-Entropic Analysis for Ideal Solutions (SEA-IS)
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Annals of Operations Research (2022)
  34. Investor Happiness and Predictability of the Realized Volatility of Oil Price
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in Sustainability (2020)
  35. Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Behavioral Finance (2023)
  36. Investor Sentiment and Dollar-Pound Exchange Rate Returns: Evidence from Over a Century of Data Using a Cross-Quantilogram Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2021)
  37. Investors' Uncertainty and Forecasting Stock Market Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    See also Journal Article in Journal of Behavioral Finance (2022)
  38. Is there a National Housing Market Bubble Brewing in the United States?
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section Downloads View citations (6)
    Also in Working Papers, University of Pretoria, Department of Economics (2020) View citations (6)
  39. Jumps in Energy and Non-Energy Commodities
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  40. Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Defence and Peace Economics (2022)
  41. Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2021)
  42. Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2022)
  43. Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Journal of Economic Structures (2020)
  44. 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)
  45. Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Applied Economics Letters (2021)
  46. OPEC News and Jumps in the Oil Market
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2021)
  47. Oil Price Shocks and Yield Curve Dynamics in Emerging Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2022)
  48. Oil Price and Exchange Rate Behaviour of the BRICS for Over a Century
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  49. Oil-Price Uncertainty and the U.K. Unemployment Rate: A Forecasting Experiment with Random Forests Using 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Resources Policy (2022)
  50. Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data
    Working Papers, University of Pretoria, Department of Economics
  51. Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  52. Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Economics and Business Letters (2020)
  53. Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Behavioral Finance (2022)
  54. Return Connectedness across Asset Classes around the COVID-19 Outbreak
    Working Papers, University of Pretoria, Department of Economics View citations (21)
    See also Journal Article in International Review of Financial Analysis (2021)
  55. Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in The North American Journal of Economics and Finance (2021)
  56. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  57. Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin
    Working Papers, University of Pretoria, Department of Economics View citations (18)
    See also Journal Article in The Quarterly Review of Economics and Finance (2022)
  58. Stock Markets and Exchange Rate Behaviour of the BRICS
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Forecasting (2021)
  59. Structure Dependence between Oil and Agricultural Commodities Returns: The Role of Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy (2021)
  60. The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective
    Working Papers, University of Pretoria, Department of Economics
  61. The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2021)
  62. The Effect of Air Quality and Weather on the Chinese Stock Market: Evidence from Shenzhen Stock Exchange
    Working Papers, University of Pretoria, Department of Economics
  63. The Effects of Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel Dataset of US States
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  64. The Effects of Public Expenditures on Labour Productivity in Europe
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Empirica (2021)
  65. The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Economics Letters (2021)
  66. The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2021)
  67. The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  68. The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 45 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in Energy Economics (2020)
  69. The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note
    Working Papers, University of Pretoria, Department of Economics View citations (18)
    See also Journal Article in Resources Policy (2020)
  70. The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in Research in International Business and Finance (2020)
  71. The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Forecasting (2022)
  72. The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  73. The Taylor Curve: International Evidence
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2021)
  74. The U.S. Term Structure and Return Volatility in Global REIT Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Advances in Decision Sciences (2020)
  75. Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  76. Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Structural Change and Economic Dynamics (2021)
  77. Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2021)
  78. Time-Varying Impact of Pandemics on Global Output Growth
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Finance Research Letters (2021)
  79. Time-Varying Influence of Household Debt on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Empirical Economics (2021)
  80. Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
    Working Papers, University of Pretoria, Department of Economics
  81. 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)
  82. Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2021)
  83. Time-Varying Spillover between Currency and Stock Markets in the United States: More than Two Centuries of Historical Evidence
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  84. Time-Varying Spillover of US Trade War on the Growth of Emerging Economies
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  85. Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States
    Working Papers, University of Pretoria, Department of Economics
  86. Uncertainty and Daily Predictability of Housing Returns and Volatility of the United States: Evidence from a Higher-Order Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The Quarterly Review of Economics and Finance (2021)
  87. Uncertainty and Tourism in Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Tourism Economics (2022)
  88. Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note
    Working Papers, University of Pretoria, Department of Economics
  89. Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2020) Downloads

    See also Journal Article in Journal of Multinational Financial Management (2021)
  90. 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 in Journal of Behavioral and Experimental Finance (2021)

2019

  1. A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in International Journal of Finance & Economics (2022)
  2. A Reconsideration of Kuznets Curve across Countries: Evidence from the Co-summability Approach
    Working Papers, University of Pretoria, Department of Economics
  3. Are Uncertainties across the World Convergent?
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Economics Bulletin (2020)
  4. Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (1)

    See also Journal Article in The North American Journal of Economics and Finance (2021)
  5. Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  6. Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of International Money and Finance (2020)
  7. Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspective of Hedgers’ Sentiment
    Working Papers, University of Pretoria, Department of Economics
  8. Does U.K.’s Real GDP have a Unit Root? Evidence from a Multi-Century Perspective
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  9. Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2021)
  10. Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Advances in Decision Sciences (2019)
  11. Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics Letters (2020)
  12. Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Journal of Behavioral Finance (2022)
  13. Fisher Variables and Income Inequality in the BRICS
    Working Papers, University of Pretoria, Department of Economics
  14. Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  15. Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Forecasting (2020)
  16. Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?
    Working Papers, University of Pretoria, Department of Economics View citations (18)
    See also Journal Article in Finance Research Letters (2020)
  17. Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss
    Working Papers, University of Pretoria, Department of Economics View citations (19)
    See also Journal Article in Journal of International Money and Finance (2020)
  18. Forecasting Realized Volatility of Bitcoin Returns: Tail Events and Asymmetric Loss
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in The European Journal of Finance (2021)
  19. Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in International Journal of Forecasting (2020)
  20. Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Emerging Markets Finance and Trade (2021)
  21. Giant Oil Discoveries and Conflicts
    Working Papers, University of Pretoria, Department of Economics
  22. Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2020)
  23. Gold, Platinum and the Predictability of Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Finance Research Letters (2021)
  24. Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Energy Economics (2020)
  25. Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economies (2020)
  26. Halloween Effect in Developed Stock Markets: A US Perspective
    Working Papers, University of Pretoria, Department of Economics
  27. High-Frequency Volatility Forecasting of US Housing Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Journal of Real Estate Finance and Economics (2021)
  28. Historical Evolution of Monthly Anomalies in International Stock Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2020)
  29. Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2020)
  30. How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Emerging Markets Finance and Trade (2021)
  31. Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  32. Inflation Aversion and the Growth-Inflation Relationship
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Annals of Economics and Finance (2019)
  33. Is the Housing Market in the United States Really Weakly-Efficient?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2020)
  34. Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Finance Research Letters (2020)
  35. Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model
    Working Papers, University of Pretoria, Department of Economics
  36. Moments-Based Spillovers across Gold and Oil Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2020)
  37. Monetary Policy Reaction to Uncertainty in Japan: Evidence from a Quantile-on-Quantile Interest Rate Rule
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Journal of Finance & Economics (2022)
  38. Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  39. Movements in International Bond Markets: The Role of Oil Prices
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2020)
  40. Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Sustainability (2021)
  41. Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Advances in Decision Sciences (2021)
  42. Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2020)
  43. Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Global Finance Journal (2021)
  44. Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (21)
    See also Journal Article in Finance Research Letters (2021)
  45. Price Gap Anomaly in the US Stock Market: The Whole Story
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2020)
  46. Price and Volatility Linkages between International REITs and Oil Markets
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2020)
  47. Rise and Fall of Calendar Anomalies over a Century
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in The North American Journal of Economics and Finance (2019)
  48. Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  49. Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Journal of the Operational Research Society (2022)
  50. Spillover of Sentiment in the European Union: Evidence from Time- and Frequency-Domains
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2020)
  51. 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)
  52. Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Property Investment & Finance (2020)
  53. Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economics and Business Letters (2020)
  54. The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  55. The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (31)
    See also Journal Article in Structural Change and Economic Dynamics (2019)
  56. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
    Working Papers, University of Pretoria, Department of Economics View citations (27)
    Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019) Downloads View citations (27)

    See also Journal Article in Energies (2019)
  57. The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach
    DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (1)

    See also Journal Article in Journal of Forecasting (2017)
  58. The Predictability between Bitcoin and US Technology Stock Returns: Granger Causality in Mean, Variance, and Quantile
    Working Papers, University of Pretoria, Department of Economics
  59. The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Forecasting (2020)
  60. The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Journal of Finance & Economics (2022)
  61. The Relationship between Economic Uncertainty and Corporate Tax Rates
    Working Papers, University of Pretoria, Department of Economics
  62. The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Evidence from Time- and Frequency-Domains
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2020)
  63. The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
    Working Papers, University of Pretoria, Department of Economics
  64. The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Emerging Markets Finance and Trade (2022)
  65. The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2020)
  66. The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States
    Working Papers, University of Pretoria, Department of Economics
  67. Threshold Effects of Inequality on Economic Growth in the US States: The Role of Human Capital to Physical Capital Ratio
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2020)
  68. 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)
  69. Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Empirical Economics (2021)
  70. Time-Varying Risk Aversion and the Predictability of Bond Premia
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Finance Research Letters (2020)
  71. Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economies (2020)
  72. Trade Uncertainties and the Hedging Abilities of Bitcoin
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Economic Notes (2020)
  73. Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  74. What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2021)

2018

  1. A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Resources Policy (2019)
  2. Are BRICS Exchange Rates Chaotic?
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Applied Economics Letters (2019)
  3. Asymmetric Effects of Inequality on Per Capita Real GDP of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  4. Bayesian Spatial Modeling for Housing Data in South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Sankhya B: The Indian Journal of Statistics (2021)
  5. Can Monetary Policy Lean against Housing Bubbles?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Economic Modelling (2022)
  6. Causality between Output and Income Inequality across U.S. States: Evidence from a Heterogeneous Mixed Panel Approach
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2017)
  7. Conventional and Unconventional Monetary Policy Reaction to Uncertainty in Advanced Economies: Evidence from Quantile Regressions
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2020)
  8. Does Financial Development Affect Income Inequality in the U.S. States? A Panel Data Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  9. Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin?
    Working Papers, University of Pretoria, Department of Economics View citations (12)
    See also Journal Article in International Review of Financial Analysis (2019)
  10. Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Economics (2019)
  11. Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Economics and Behavioral Studies (2018)
  12. Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
    Working Papers, University of Pretoria, Department of Economics View citations (116)
    See also Journal Article in Economics Letters (2018)
  13. Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2020)
  14. Effects of Geopolitical Risks on Trade Flows: Evidence from the Gravity Model
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Eurasian Economic Review (2019)
  15. Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Economics and Behavioral Studies (2019)
  16. Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Sustainability (2019)
  17. Firm-Level Political Risk and Asymmetric Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in The Journal of Economic Asymmetries (2018)
  18. Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  19. Forecasting Changes of Economic Inequality: A Boosting Approach
    Working Papers, University of Pretoria, Department of Economics
  20. Forecasting Interest Rate Volatility of the United Kingdom: Evidence from over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Applied Statistics (2020)
  21. Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?
    Working Papers, University of Pretoria, Department of Economics
  22. Forecasting with Second-Order Approximations and Markov Switching DSGE Models
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2018) Downloads View citations (1)

    See also Journal Article in Computational Economics (2020)
  23. Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2020)
  24. Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Economics Letters (2019)
  25. Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  26. Greek Economic Policy Uncertainty: Does it Matter for the European Union?
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  27. Growth Volatility and Inequality in the U.S.: A Wavelet Analysis
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2018)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
  28. Herding Behaviour in the Cryptocurrency Market
    Working Papers, University of Pretoria, Department of Economics View citations (16)
  29. High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach
    Working Papers, University of Pretoria, Department of Economics View citations (10)
  30. Impact of Volatility and Equity Market Uncertainty on Herd Behaviour: Evidence from UK REITs
    ERES, European Real Estate Society (ERES) Downloads View citations (6)
    Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (3)
  31. Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Review of Development Economics (2021)
  32. Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (21)
    See also Journal Article in The North American Journal of Economics and Finance (2018)
  33. Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Finance (2019)
  34. Insurance-Growth Nexus in Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The Geneva Papers on Risk and Insurance - Issues and Practice (2020)
  35. International Monetary Policy Spillovers: Evidence from a TVP-VAR
    Working Papers, University of Pretoria, Department of Economics
  36. Investor Sentiment Connectedness: Evidence from Linear and Nonlinear Causality Approaches
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Annals of Financial Economics (AFE) (2021)
  37. Investor Sentiment and Crash Risk in Safe Havens
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Journal of Economics and Behavioral Studies (2019)
  38. Is There a Role for Uncertainty in Forecasting Output Growth in OECD Countries? Evidence from a Time Varying Parameter-Panel Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2019)
  39. Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Macroeconomics (2020)
  40. Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Applied Statistics (2020)
  41. Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2021)
  42. Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Sustainability (2019)
  43. Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  44. Manager Sentiment and Stock Market Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  45. Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in The Quarterly Review of Economics and Finance (2020)
  46. Monetary Policy and Bubbles in US REITs
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in International Review of Finance (2021)
  47. Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics
  48. Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  49. Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (12)
    See also Journal Article in Structural Change and Economic Dynamics (2019)
  50. Oil Shocks and Volatility Jumps
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Review of Quantitative Finance and Accounting (2020)
  51. 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 in International Journal of Finance & Economics (2022)
  52. 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 (103)
    See also Journal Article in Economics Letters (2018)
  53. Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Urban Studies (2021)
  54. Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
  55. Persistence of Economic Uncertainty: A Comprehensive Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Economics (2019)
  56. Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Resources Policy (2019)
  57. Political Cycles in the United States and Stock Market Volatility in other Advanced Economies: An EGARCH Approach
    Working Papers, University of Pretoria, Department of Economics
  58. Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment
    Working Papers, University of Pretoria, Department of Economics
  59. Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Financial Analysis (2020)
  60. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Finance (2021)
  61. Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data
    Working Papers, University of Pretoria, Department of Economics View citations (7)
  62. Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
  63. Socio-Political Instability and Growth Dynamics
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economic Systems (2022)
  64. Spillover of Mortgage Default Risks in the United States: Evidence from Metropolitan Statistical Areas and States
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Journal of Economic Asymmetries (2019)
  65. Spillovers between Bitcoin and other Assets during Bear and Bull Markets
    Working Papers, University of Pretoria, Department of Economics View citations (85)
    See also Journal Article in Applied Economics (2018)
  66. Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Finance Research Letters (2019)
  67. Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices
    Post-Print, HAL View citations (70)
    Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (1)

    See also Journal Article in Resources Policy (2018)
  68. The Effectiveness of Monetary and Fiscal Policy Shocks on U.S. Inequality: The Role of Uncertainty
    2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists Downloads View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (1)

    See also Journal Article in Quality & Quantity: International Journal of Methodology (2019)
  69. The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels
    Working Papers, University of Pretoria, Department of Economics View citations (11)
  70. The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Finance Research Letters (2019)
  71. The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economic Research-Ekonomska Istraživanja (2019)
  72. The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economics and Business Letters (2019)
  73. The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Economic Systems (2018)
  74. Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Multinational Financial Management (2019)
  75. Time-Varying Impact of Geopolitical Risks on Oil Prices
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Defence and Peace Economics (2020)
  76. Time-Varying Impact of Uncertainty Shocks on the US Housing Market
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economics Letters (2019)
  77. Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2019)
  78. Time-Varying Risk Aversion and Realized Gold Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The North American Journal of Economics and Finance (2019)
  79. Uncertainty and Volatility Jumps in the Pound-Dollar Exchange Rate: Evidence from Over One Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  80. Volatility Jumps: The Role of Geopolitical Risks
    Working Papers, University of Pretoria, Department of Economics View citations (37)
    See also Journal Article in Finance Research Letters (2018)
  81. Why must it always be so Real with Tax Evasion?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2020)

2017

  1. A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  2. A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach
    Working Papers, University of Pretoria, Department of Economics
  3. A Note on the Technology Herd: Evidence from Large Institutional Investors
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Review of Behavioral Finance (2019)
  4. An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
  5. Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data
    Working Papers, University of Pretoria, Department of Economics
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2017) Downloads

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2022)
  6. Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2019)
  7. Asymmetric Behaviour in Nominal and Real Housing Prices: Evidence from Advanced and Emerging Economies
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  8. Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
  9. Can volume predict Bitcoin returns and volatility? A quantiles-based approach
    Post-Print, HAL View citations (238)
    See also Journal Article in Economic Modelling (2017)
  10. Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Macroeconomics (2018)
  11. Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  12. Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics
  13. Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Journal of International Trade & Economic Development (2018)
  14. Date-stamping US housing market explosivity
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) Downloads
    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2018)
  15. Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  16. Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2018)
  17. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
    Post-Print, HAL View citations (249)
    Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (9)

    See also Journal Article in Finance Research Letters (2017)
  18. Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  19. Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016
    Working Papers, University of Pretoria, Department of Economics View citations (33)
    See also Journal Article in Resources Policy (2017)
  20. Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries?
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in The North American Journal of Economics and Finance (2021)
  21. Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  22. Economic Policy Uncertainty and Insurance
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  23. Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in The European Journal of Finance (2019)
  24. Forecasting the U.S. Real House Price Index
    Papers, arXiv.org Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (1)
    Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (15)
    DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2014) Downloads View citations (11)

    See also Journal Article in Economic Modelling (2015)
  25. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Defence and Peace Economics (2019)
  26. Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016
    Working Papers, University of Pretoria, Department of Economics View citations (83)
    See also Journal Article in Finance Research Letters (2017)
  27. Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Emerging Markets Finance and Trade (2020)
  28. Inflation Dynamics in Uganda: A Quantile Regression Approach
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2017)

    See also Journal Article in Macroeconomics and Finance in Emerging Market Economies (2020)
  29. Is Wine a Good Choice for Investment?
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Pacific-Basin Finance Journal (2018)
  30. Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Advances in Decision Sciences (2018)
  31. Kuznets Curve for the US: A Reconsideration Using Cosummability
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2019)
  32. Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Journal of Reviews on Global Economics (2019)
  33. Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2018)
  34. Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016)
  35. Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Emerging Markets Finance and Trade (2018)
  36. Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) Downloads

    See also Journal Article in Empirical Economics (2020)
  37. Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE Approach
    Working Papers, University of Pretoria, Department of Economics
    Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) Downloads
  38. Near-Rational Expectations: How Far are Surveys from Rationality?
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2016)

    See also Journal Article in Journal of Economics and Econometrics (2017)
  39. Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach
    Working Papers, University of Pretoria, Department of Economics View citations (10)
    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
  40. News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Multinational Financial Management (2018)
  41. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Advances in Decision Sciences (2019)
  42. OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2018)
  43. Oil Returns and Volatility: The Role of Mergers and Acquisitions
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2018)
  44. Oil Speculation and Herding Behavior in Emerging Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Economics and Finance (2019)
  45. On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Quantitative Finance (2019)
  46. Openness and Growth: Is the Relationship Non-Linear?
    Working Papers, University of Pretoria, Department of Economics
  47. Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working papers, University of Connecticut, Department of Economics (2017) Downloads View citations (3)
  48. Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Manchester School (2019)
  49. Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Review of Economics & Finance (2019)
  50. Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Journal of Economics and Finance (2019)
  51. Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The North American Journal of Economics and Finance (2020)
  52. The Effect of Economic Uncertainty on the Housing Market Cycle
    Working Papers, University of Pretoria, Department of Economics View citations (12)
  53. The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in International Economics (2018)
  54. The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises
    Working Papers, University of Pretoria, Department of Economics View citations (29)
    See also Journal Article in The North American Journal of Economics and Finance (2017)
  55. The Relationship between the Inflation Rate and Inequality across U.S. States: A Semiparametric Approach
    Working papers, University of Connecticut, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2016)

    See also Journal Article in Quality & Quantity: International Journal of Methodology (2018)
  56. The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Forecasting (2018)
  57. The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Multinational Financial Management (2018)
  58. The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2019)
  59. The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Review of Financial Economics (2019)
  60. Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  61. Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  62. Time-Varying Rare Disaster Risks, Oil Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2018)
  63. Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Empirical Economics (2020)
  64. U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    Working papers, University of Connecticut, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (2)

    See also Journal Article in International Review of Finance (2019)
  65. Uncertainty and Forecasts of U.S. Recessions
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2020)
  66. Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Empirical Economics (2019)
  67. Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
  68. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note
    Working Papers, University of Pretoria, Department of Economics
  69. Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in International Review of Finance (2018)

2016

  1. A Time Series Analysis of Long Island Sound Lobster Fishery
    Working Papers, University of Pretoria, Department of Economics
  2. A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) Downloads View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)

    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2016)
  3. An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  4. Analysis of Herding in REITs of an Emerging Market: The Case of Turkey
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  5. Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  6. Asymmetric dynamics of insurance premium: The impacts of output and economic policy uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Empirical Economics (2019)
  7. Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  8. Can Weather Conditions in New York Predict South African Stock Returns?
    Working Papers, University of Pretoria, Department of Economics
  9. Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models
    Working Papers, University of Pretoria, Department of Economics View citations (22)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)
  10. Causality between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)

    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2018)
  11. Chaos in G7 Stock Markets using Over One Century of Data: A Note
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2019)
  12. Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach
    Working Papers, University of Pretoria, Department of Economics View citations (15)
  13. Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)
  14. Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)
  15. Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Economics and Finance (2018)
  16. Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  17. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Sustainability (2017)
  18. Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  19. Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in The Quarterly Review of Economics and Finance (2017)
  20. Do Trend Extraction Approaches Affect Causality Detection in Climate Change Studies?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
  21. Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Research in International Business and Finance (2017)
  22. Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2017)
  23. Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (14)
  24. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Developing Areas (2017)
  25. Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  26. Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Multinational Financial Management (2017)
  27. Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (8)
  28. Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  29. Efficiency in South African Agriculture: A Two-Stage Fuzzy Approach
    Working Papers, University of Pretoria, Department of Economics
  30. Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The Quarterly Review of Economics and Finance (2020)
  31. Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (2)

    See also Journal Article in Empirical Economics (2017)
  32. Forecasting US GNP Growth: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Journal of Forecasting (2018)
  33. Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of International Development (2019)
  34. Forecasting using a Nonlinear DSGE Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Central Banking Theory and Practice (2018)
  35. Geopolitical Risks and Stock Market Dynamics of the BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (30)
    See also Journal Article in Economic Systems (2018)
  36. Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Resources Policy (2018)
  37. Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Empirical Economics (2020)
  38. Impact of Activity Tax in the Property-Owning and Subletting of Fixed Property Sectors on the South African Economy: A CGE Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  39. Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)
  40. Income Inequality: A State-by-State Complex Network Analysis
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (3)
    DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2016) Downloads View citations (1)
  41. Is Inflation Persistence Different in Reality?
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    See also Journal Article in Economics Letters (2016)
  42. Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2014)
    Working papers, University of Connecticut, Department of Economics (2015) Downloads

    See also Journal Article in Bulletin of Economic Research (2020)
  43. LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2016)
  44. Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
    Post-Print, HAL View citations (19)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (2)

    See also Journal Article in International Review of Economics & Finance (2016)
  45. Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  46. Merger and Acquisitions in South African Banking: A Network DEA Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Research in International Business and Finance (2017)
  47. Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks
    Working Papers, University of Pretoria, Department of Economics View citations (13)
    See also Journal Article in International Journal of Finance & Economics (2019)
  48. On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Finance Research Letters (2019)
  49. Periodically Collapsing Bubbles in the South African Stock Market
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in Research in International Business and Finance (2016)
  50. Price Convergence Patterns across U.S. States
    Working Papers, University of Pretoria, Department of Economics
  51. Productive Efficiency of Connecticut Long Island Lobster Fishery Using a Finite Mixture Model
    Working Papers, University of Pretoria, Department of Economics
  52. Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Applied Economics (2019)
  53. Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in The European Journal of Finance (2018)
  54. Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  55. The Depreciation of the Pound Post-Brexit: Could it have been Predicted?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2017)
  56. The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Journal of Economics and Finance (2017)
  57. The Effect of Investor Sentiment on Gold Market Dynamics
    Working Papers, University of Pretoria, Department of Economics
  58. The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Developing Areas (2020)
  59. The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Review of Economics & Finance (2017)
  60. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  61. The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Empirica (2019)
  62. The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2016) Downloads
  63. The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  64. The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Finance Research Letters (2018)
  65. The Relationship between Population Growth and Standard-of-Living Growth Over 1870-2013: Evidence from a Bootstrapped Panel Granger Causality Test
    Working papers, University of Connecticut, Department of Economics Downloads
    See also Journal Article in Empirica (2017)
  66. The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Developing Areas (2018)
  67. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Open Economies Review (2017)
  68. The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach
    School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (1)

    See also Journal Article in Energy Economics (2017)
  69. The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Finance Research Letters (2018)
  70. The Term Premium as a Leading Macroeconomic Indicator
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  71. The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) Downloads View citations (34)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (11)

    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2016)
  72. The time-series linkages between US fiscal policy and asset prices
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (5)

    See also Journal Article in Public Finance Review (2020)
  73. Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
  74. Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  75. Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working papers, University of Connecticut, Department of Economics (2016) Downloads View citations (4)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2017)
  76. Trends and Cycles in Historical Gold and Silver Prices
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (13)

    See also Journal Article in Journal of International Money and Finance (2015)

2015

  1. A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2016)
  2. Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2017)
  3. Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  4. Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Applied Economics (2018)
  5. Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  6. Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads
  7. Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2017)
  8. Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads View citations (2)

    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
  9. Convergence of Health Care Expenditures across the US States: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2017)
  10. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
    Open Access publications, School of Economics, University College Dublin Downloads View citations (4)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (8)

    See also Journal Article in Applied Economics (2015)
  11. Detection of Multiple Bubbles in South African Electricity Prices
    Working Papers, University of Pretoria, Department of Economics
  12. Development, Poverty and Inequality: A Spatial Analysis of South African Provinces
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Developing Areas (2017)
  13. Do Commodities Herd? Evidence from a Time-Varying Stochastic Volatility Model
    Working Papers, University of Pretoria, Department of Economics View citations (12)
  14. Do Precious Metal Prices Help in Forecasting South African Inflation?
    Working Papers, Stellenbosch University, Department of Economics Downloads View citations (1)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads
    Working Papers, University of Pretoria, Department of Economics (2015)

    See also Journal Article in The North American Journal of Economics and Finance (2017)
  15. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Open Economies Review (2016)
  16. Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Resources Policy (2016)
  17. Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (41)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (40)
  18. Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Atlantic Economic Journal (2016)
  19. Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Southern Economic Journal (2016)
  20. Energy Demand in South Africa: Is it Asymmetric?
    Working Papers, University of Pretoria, Department of Economics
  21. Energy Efficiency Drivers in South Africa: 1965-2014
    Working Papers, University of Pretoria, Department of Economics
  22. Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data
    Working Papers, University of Pretoria, Department of Economics
  23. Forecasting Accuracy Evaluation of Tourist Arrivals: Evidence from Parametric and Non-Parametric Techniques
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  24. Forecasting Core Inflation: The Case of South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2015)

    See also Journal Article in Applied Economics (2020)
  25. Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2017)
  26. Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Forecasting (2017)
  27. Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy Economics (2017)
  28. Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Empirical Economics (2020)
  29. Forecasting the US CPI: Does Nonlinearity Matter?
    Working Papers, University of Pretoria, Department of Economics View citations (7)
  30. Has oil price predicted stock returns for over a century?
    Working Papers, Deakin University, Department of Economics Downloads View citations (212)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (12)

    See also Journal Article in Energy Economics (2015)
  31. How Independent are the South African Reserve Bank’s Monetary Policy Decisions? Evidence from a Global New-Keynesian DSGE Model
    Working Papers, University of Pretoria, Department of Economics
  32. Hydroelectricity Consumption and Economic Growth Nexus: Evidence from a Panel of Ten Largest Hydroelectricity Consumers
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Renewable and Sustainable Energy Reviews (2016)
  33. Identifying Asymmetries between Socially Responsible and Conventional Investments
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  34. Identifying Periods of US Housing Market Explosivity
    Working Papers, Stellenbosch University, Department of Economics Downloads View citations (1)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) Downloads View citations (1)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
  35. Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (27)
    See also Journal Article in Finance Research Letters (2016)
  36. Inflation-Growth Nexus in Africa: Evidence from a Pooled CCE Multiple Regime Panel Smooth Transition Model
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  37. International Stock Return Predictability: Is the Role of U.S. Time-Varying?
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (4)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (4)

    See also Journal Article in Empirica (2017)
  38. Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States
    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 (2017)
  39. Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Resources Policy (2016)
  40. Modeling Persistence of Carbon Emission Allowance Prices
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Renewable and Sustainable Energy Reviews (2016)
  41. Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-Type Volatility Models
    Working Papers, University of Pretoria, Department of Economics
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads
  42. Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    Also in FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents (2015) Downloads View citations (1)
  43. Oil Price Forecastability and Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (56)
    Also in Open Access publications, School of Economics, University College Dublin (2015) Downloads View citations (55)
    Working Papers, University of Milano-Bicocca, Department of Economics (2015) Downloads View citations (55)

    See also Journal Article in Economics Letters (2015)
  44. On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in The North American Journal of Economics and Finance (2016)
  45. On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Economics and Economic Policy (2017)
  46. On International Uncertainty Links: BART-Based Empirical Evidence for Canada
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Economics Letters (2016)
  47. Persistence of precious metal prices: a fractional integration approach with structural breaks
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (36)
    Also in Working Papers, University of Pretoria, Department of Economics (2014)

    See also Journal Article in Resources Policy (2015)
  48. Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2017)
  49. Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  50. Predicting Global Temperature Anomaly: A Definitive Investigation Using an Ensemble of Twelve Competing Forecasting Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  51. Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  52. Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Economics Letters (2015)
  53. Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  54. South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (8)
  55. THE ROLE OF NEWS-BASED UNCERTAINTY INDICES IN PREDICTING OIL MARKETS: A HYBRID NONPARAMETRIC QUANTILE CAUSALITY METHOD
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (13)
    Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (38)

    See also Journal Article in Empirical Economics (2017)
  56. Technical Efficiency of Connecticut Long Island Sound Lobster Fishery: A Nonparametric Approach to Aggregate Frontier Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards (2016)
  57. The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework
    Working Papers, University of Pretoria, Department of Economics
  58. The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
  59. The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Journal of International Trade & Economic Development (2016)
  60. The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  61. The Macroeconomic Effects of Uncertainty Shocks in India
    Working Papers, University of Pretoria, Department of Economics
  62. The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  63. The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (6)
    Also in CESifo Working Paper Series, CESifo (2015) Downloads View citations (6)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)

    See also Journal Article in Empirical Economics (2018)
  64. The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach
    Working Papers, University of Pretoria, Department of Economics View citations (6)
  65. The South African Economic Response to Monetary Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Economic Studies (2017)
  66. The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014
    Working Papers, University of Pretoria, Department of Economics
  67. The US Real GNP is Trend-Stationary After All
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2017)
  68. Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Energy (2016)
  69. Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2016)
  70. Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Economics and Finance (2018)
  71. Trust and Quality of Growth: A Note
    Research Africa Network Working Papers, Research Africa Network (RAN) Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (4)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (4)
    Working Papers of the African Governance and Development Institute., African Governance and Development Institute. (2015) Downloads View citations (4)

    See also Journal Article in Economics Bulletin (2016)
  72. US inflation dynamics on long range data
    DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics Downloads View citations (5)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (2)

    See also Journal Article in Applied Economics (2015)
  73. Uncertainty and Crude Oil Returns
    Working Papers, University of Pretoria, Department of Economics
    Also in Working papers, University of Connecticut, Department of Economics (2015) Downloads

    See also Journal Article in Energy Economics (2016)
  74. Unconventional Monetary Policy Shocks in OECD Countries: How Important is the Extent of Policy Uncertainty?
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in International Economics and Economic Policy (2018)

2014

  1. A Reinvestigation of the Oil Price and Consumer Price Nexus in South Africa: An Asymmetric Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  2. A Time-Varying Approach of the US Welfare Cost of Inflation
    Working papers, University of Connecticut, Department of Economics Downloads View citations (17)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (11)

    See also Journal Article in Macroeconomic Dynamics (2019)
  3. An Application of a New Seasonal Unit Root Test for Trending and Breaking Series to Industrial Production of the BRICS
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Developing Areas (2016)
  4. Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)

    See also Journal Article in Journal of Developing Areas (2016)
  5. Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries?
    Working Papers, University of Pretoria, Department of Economics View citations (10)
  6. Are there Environmental Kuznets Curves for US State-Level CO2 Emissions?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Renewable and Sustainable Energy Reviews (2017)
  7. Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (7)

    See also Journal Article in Applied Economics Letters (2015)
  8. Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Renewable and Sustainable Energy Reviews (2015)
  9. Can Debt Ceiling and Government Shutdown Predict US Real Stock Returns? A Boot-strap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  10. Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
    Working Papers, Department of Research, Ipag Business School Downloads View citations (26)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (1)
    Working Papers, Department of Research, Ipag Business School (2013) Downloads View citations (1)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
  11. Causal Link between Oil Price and Uncertainty in India
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  12. Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test
    Working Papers, University of Pretoria, Department of Economics View citations (21)
  13. Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Emerging Markets Review (2015)
  14. Convergence in U.S. Metropolitan Statistical Areas
    Working Papers, University of Pretoria, Department of Economics
  15. Date Stamping Historical Oil Price Bubbles: 1876-2014
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working Papers, Stellenbosch University, Department of Economics (2014) Downloads View citations (6)
  16. Did Baltic stock markets offer diversification benefits during the recent financial turmoil? Novel evidence from a nonparametric causality in quantiles test
    Working Papers, University of Pretoria, Department of Economics
  17. Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Panoeconomicus (2016)
  18. Does Sunspot Numbers Cause Global Temperatures? A Reconsideration Using a Non-Parametric Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2016)
  19. Does the South African Reserve Bank (SARB) Respond to Oil Price Movements? Historical Evidence from the Frequency Domain
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  20. Dutch Disease Effect of Oil Rents on Agriculture Value Added in MENA Countries
    Working Papers, University of Pretoria, Department of Economics View citations (28)
  21. Dynamic Relationship between Oil Price and Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Journal of Developing Areas (2018)
  22. Endogenous Fluctuations in an Endogenous Growth Model with Inflation Targeting
    Working Papers, University of Pretoria, Department of Economics View citations (11)
  23. Energy Efficiency of Selected OECD Countries: A Slacks Based Model with Undesirable Outputs
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2015)
  24. Evolution of the Monetary Transmission Mechanism in the US: The Role of Asset Returns
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads
    See also Journal Article in The Journal of Real Estate Finance and Economics (2016)
  25. Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  26. Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (6)
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) Downloads View citations (5)
    Working Papers, University of Pretoria, Department of Economics (2012) View citations (7)
    Working papers, University of Connecticut, Department of Economics (2012) Downloads View citations (4)
  27. Forecasting Aggregate Retail Sales: The Case of South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (2)

    See also Journal Article in International Journal of Production Economics (2015)
  28. Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Computational Economics (2017)
  29. Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation
    Working Papers, University of Pretoria, Department of Economics View citations (10)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (2)

    See also Journal Article in Applied Economics (2016)
  30. Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2015)
  31. Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors
    Working papers, University of Connecticut, Department of Economics Downloads View citations (7)
    Also in Working Papers, University of Pretoria, Department of Economics (2013)

    See also Journal Article in Empirical Economics (2016)
  32. Forecasting the Price of Gold
    Working Papers, University of Pretoria, Department of Economics View citations (26)
    See also Journal Article in Applied Economics (2015)
  33. Forecasting the Price of Gold Using Dynamic Model Averaging
    Working Papers, University of Pretoria, Department of Economics View citations (10)
    See also Journal Article in International Review of Financial Analysis (2015)
  34. Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality
    Working Papers, Stellenbosch University, Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2014)

    See also Journal Article in Economic Systems (2016)
  35. Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads View citations (3)
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2014) Downloads View citations (3)
    Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (3)
    Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)

    See also Journal Article in International Review of Economics & Finance (2016)
  36. House Values and Proximity to a Landfill: A Quantile Regression Framework
    Working Papers, University of Pretoria, Department of Economics
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads
  37. Housing and the Business Cycle in South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (21)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)

    See also Journal Article in Journal of Policy Modeling (2014)
  38. Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working Papers, Stellenbosch University, Department of Economics (2014) Downloads View citations (3)

    See also Journal Article in Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) (2016)
  39. Is the Rand Really Decoupled from Economic Fundamentals?
    Working Papers, University of Pretoria, Department of Economics
  40. Is the South African Reserve Bank Influenced by Exchange Rates when Setting Interest Rates?
    Working Papers, University of Pretoria, Department of Economics
  41. Is there an Environmental Kuznets Curve for South Africa? A Co-Summability Approach Using a Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Energy Economics (2015)
  42. Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Energy Economics (2017)
  43. On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data
    Working Papers, Stellenbosch University, Department of Economics Downloads View citations (7)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (2)

    See also Journal Article in Journal of Applied Statistics (2018)
  44. Persistence, Mean Reversion and Non-Linearities in US Housing Prices Over 1830-2013
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2016)
  45. Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (11)
  46. Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Empirical Economics (2016)
  47. Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013
    Working papers, University of Connecticut, Department of Economics Downloads View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)

    See also Journal Article in Energy Economics (2015)
  48. Relationship between Happiness and Smoking: A Bootstrap Panel Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  49. Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Economics (2016)
  50. Revisiting Herding Behavior in REITs: A Regime-Switching Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads
  51. Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa
    Working Papers, University of Pretoria, Department of Economics
    Also in WiSo-HH Working Paper Series, University of Hamburg, Faculty of Business, Economics and Social Sciences, WISO Research Laboratory (2014) Downloads

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
  52. Testing for Multiple Bubbles in the BRICS Stock Markets
    Working Papers, University of Pretoria, Department of Economics View citations (19)
  53. Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (9)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (9)
    Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (2)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)
  54. The Asymmetric Effect of Oil Price on Growth across US States
    Working Papers, University of Pretoria, Department of Economics
  55. The Causal Relationship between Energy Consumption and Economic Growth in South Africa: New Evidence from Asymmetric Causality in Frequency Domain
    Working Papers, University of Pretoria, Department of Economics
  56. The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads
    Also in Working papers, University of Connecticut, Department of Economics (2013) Downloads View citations (3)
    Working Papers, University of Pretoria, Department of Economics (2013) View citations (5)
  57. The Growth-Inflation Nexus for the US over 1801-2013: A Semiparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (2)
  58. The Nexus between Military Expenditures and Economic Growth in the BRICS and the US: A Bootstrap Panel Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  59. The Nonparametric Relationship between Oil and South African Agricultural Prices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  60. The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (8)
  61. The Relationship between Population Growth and Economic Growth Over 1870-2013: Evidence from a Bootstrapped Panel-Granger Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (12)
  62. The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) Downloads View citations (8)
  63. The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (3)
    Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)

    See also Journal Article in African Development Review (2017)
  64. Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  65. Time-Varying Effects of Housing and Stock Prices on U.S. Consumption
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads
    Also in Working papers, University of Connecticut, Department of Economics (2013) Downloads View citations (3)
    Working Papers, University of Pretoria, Department of Economics (2013) View citations (2)
  66. Time-Varying Persistence in US Inflation
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Empirical Economics (2017)
  67. Volatility Spillover between Energy and Financial Markets
    Working Papers, University of Pretoria, Department of Economics

2013

  1. A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Journal of Financial Economic Policy (2014)
  2. Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2015)
  3. Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
    Working Papers, Department of Research, Ipag Business School Downloads View citations (6)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (4)

    See also Journal Article in Economic Systems (2015)
  4. Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Global Business and Economics Review (2016)
  5. CROSS-COUNTRY EVIDENCE ON THE CAUSAL RELATIONSHIP BETWEEN POLICY UNCERTAINTY AND HOUSE PRICES
    Working Papers, University of Pretoria, Department of Economics View citations (8)
  6. Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  7. Causal relationship between nuclear energy consumption and economic growth in the G6 countries: Evidence from panel Granger causality tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  8. Causality between Economic Policy Uncertainty across Countries: Evidence from Linear and Nonlinear Tests
    Working Papers, University of Pretoria, Department of Economics View citations (10)
  9. Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Journal of Developing Areas (2015)
  10. Causality between Research Output and Economic Growth in BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Quality & Quantity: International Journal of Methodology (2015)
  11. Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Applied Economics (2015)
  12. Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Urban Studies (2015)
  13. Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Review of Urban & Regional Development Studies (2015)
  14. Convergence of Greenhouse Gas Emissions among G7 Countries
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2015)
  15. DGSE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (1)
  16. Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions
    Working Papers, University of Pretoria, Department of Economics
  17. Do we need a global VAR model to forecast inflation and output in South Africa?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Applied Economics (2015)
  18. Does Sunspot Numbers Cause Global Temperatures? Evidence from a Frequency Domain Causality Test
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2015)
  19. Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach
    Working Papers, University of Pretoria, Department of Economics View citations (70)
    See also Journal Article in Energy Economics (2013)
  20. Evolution of Monetary Policy in the US: The Role of Asset Prices
    Working papers, University of Connecticut, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (2)
  21. FORECASTING THE RAND-DOLLAR AND RAND-POUND EXCHANGE RATES USING DYNAMIC MODEL AVERAGING
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  22. Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The North American Journal of Economics and Finance (2014)
  23. Forecasting Indian Macroeconomic Variables Using Medium-Scale VAR Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  24. Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  25. Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  26. House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach
    Working Papers, University of Pretoria, Department of Economics View citations (10)
  27. Housing and the Great Depression
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (5)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (5)
    Working papers, University of Connecticut, Department of Economics (2012) Downloads View citations (1)

    See also Journal Article in Applied Economics (2014)
  28. Identifying a financial conditions index for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  29. MACRO SHOCKS AND HOUSE PRICES IN SOUTH AFRICA
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  30. Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Defence and Peace Economics (2014)
  31. Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  32. Oil Price Uncertainty and Manufacturing Production in South Africa
    Working Papers, University of Pretoria, Department of Economics
  33. Panel Granger causality between oil consumption and GDP: Evidence from the BRICS countries
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in International Journal of Sustainable Economy (2015)
  34. Persistence and Cycles in Historical Oil Prices Data
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2014)
  35. Revisiting the Causal Relationship between Energy Consumption and Economic Growth in South Africa: Evidence from a Bootstrap Rolling Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  36. Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in International Journal of Economic Policy in Emerging Economies (2015)
  37. Social Status, Inflation and Endogenous Growth in a Cash-in-Advance Economy: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  38. Tax evasion, financial development and inflation: theory and empirical evidence
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Banking & Finance (2014)
  39. Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    Also in Working papers, University of Connecticut, Department of Economics (2013) Downloads View citations (8)

    See also Journal Article in The North American Journal of Economics and Finance (2015)
  40. Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Applied Economics (2014)
  41. Testing for persistence with breaks and outliers in South African house prices
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (8)
    Also in Working Papers, University of Pretoria, Department of Economics (2012)
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012) Downloads
  42. Testing the Impact of Exchange Rate Uncertainty on Exports in South Africa
    Working Papers, University of Pretoria, Department of Economics
  43. Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Emerging Markets Finance and Trade (2015)
  44. The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    See also Journal Article in Emerging Markets Finance and Trade (2016)
  45. The Causal Relationship between Exports and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (10)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)

    See also Journal Article in International Journal of Economic Policy in Emerging Economies (2013)
  46. The Causal Relationship between House Prices and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (13)
  47. The Dynamic Relationship between House Prices and Output: Evidence from US Metropolitan Statistical Areas
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  48. The Impact of Oil Shocks on the South African Economy
    Working Papers, University of Pretoria, Department of Economics View citations (10)
  49. The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  50. The causal relationship between coal consumption and economic growth in the BRICS countries: Evidence from panel Granger causality tests
    Working Papers, University of Pretoria, Department of Economics
  51. The causal relationship between natural gas consumption and economic growth: Evidence from the G7 countries
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics Letters (2016)
  52. The causal relationship between renewable energy consumption and economic growth: Evidence from the G7 countries
    Working Papers, University of Pretoria, Department of Economics
  53. The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Energy Policy (2014)
  54. The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in European Journal of Comparative Economics (2013)
  55. Time-Varying Causality between Research Output and Economic Growth in the US
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Scientometrics (2014)
  56. Time-Varying Linkages between Tourism Receipts and Economic Growth in South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2014)
  57. Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Applied Economics (2015)
  58. Was the Recent Downturn in US GDP Predictable?
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2012)
    Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) Downloads

2012

  1. Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (6)
  2. Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (27)
  3. Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure
    OECD Economics Department Working Papers, OECD Publishing Downloads View citations (29)
    Also in Working Papers, University of Pretoria, Department of Economics (2011) View citations (15)

    See also Journal Article in Applied Economics Quarterly (formerly: Konjunkturpolitik) (2012)
  4. Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (24)
    See also Journal Article in Journal of Emerging Market Finance (2015)
  5. Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  6. HOUSE PRICES AND BALANCE OF TRADE DYNAMICS IN SOUTH AFRICA: EVIDENCE FROM AN AGNOSTIC IDENTIFICATION PROCEDURE
    Working Papers, University of Pretoria, Department of Economics
  7. IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    Also in Working Papers, Stellenbosch University, Department of Economics (2012) Downloads View citations (7)
    Working Papers, Eastern Mediterranean University, Department of Economics (2012) Downloads View citations (3)
  8. METROPOLITAN HOUSE PRICES IN INDIA: DO THEY CONVERGE?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  9. Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"
    Working Papers, University of Pretoria, Department of Economics View citations (7)
    See also Journal Article in Applied Econometrics and International Development (2012)
  10. Macroeconomic Surprises and Stock Returns in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    Also in Working Papers, Stellenbosch University, Department of Economics (2012) Downloads View citations (6)

    See also Journal Article in Studies in Economics and Finance (2013)
  11. Predicting BRICS Stock Returns Using ARFIMA Models
    Working Papers, University of Pretoria, Department of Economics View citations (6)
  12. Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending
    Working Papers, University of Pretoria, Department of Economics
  13. Real Interest Rate Persistence in South Africa: Evidence and Implications
    Working Papers, Stellenbosch University, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2012) View citations (1)

    See also Journal Article in Economic Change and Restructuring (2014)
  14. SHOULD THE SOUTH AFRICAN RESERVE BANK RESPOND TO EXCHANGE RATE FLUCTUATIONS? EVIDENCE FROM THE COSINE-SQUARED CEPSTRUM
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  15. Structural Breaks and Predictive Regressions Models of South African Equity Premium
    Working Papers, University of Pretoria, Department of Economics
  16. THE IMPACT OF HOUSE PRICES ON CONSUMPTION IN SOUTH AFRICA: EVIDENCE FROM PROVINCIAL-LEVEL PANEL VARs
    Working Papers, University of Pretoria, Department of Economics View citations (21)
    See also Journal Article in Housing Studies (2013)
  17. The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (5)
    Also in Working papers, University of Connecticut, Department of Economics (2012) Downloads View citations (3)
    Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) Downloads View citations (3)
    Working Papers, University of Pretoria, Department of Economics (2012) View citations (6)

    See also Journal Article in Applied Economics (2015)
  18. Using Large Data Sets to Forecast Sectoral Employment
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2011) Downloads View citations (3)
    Working Papers, University of Pretoria, Department of Economics (2011) View citations (2)

    See also Journal Article in Statistical Methods & Applications (2014)

2011

  1. "Ripple" Effects in South African House Prices
    Working Papers, University of Pretoria, Department of Economics View citations (7)
  2. Financial Variables and the Out-of-Sample Forecastability of the Growth Rate of Indian Industrial Production
    Working Papers, University of Pretoria, Department of Economics
  3. Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection
    Working Papers, University of Pretoria, Department of Economics
  4. Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (2)
    Also in Working papers, University of Connecticut, Department of Economics (2010) Downloads View citations (2)
    Working Papers, Eastern Mediterranean University, Department of Economics (2010) Downloads View citations (1)
    Working Papers, University of Pretoria, Department of Economics (2010)

    See also Journal Article in Empirical Economics (2013)
  5. House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data
    Working Papers, University of Pretoria, Department of Economics View citations (21)
  6. Intertemporal portfolio allocation and hedging demand: An application to South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Business Economics and Management (2014)
  7. Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (13)
  8. Macroeconomic Variables and South African Stock Return Predictability
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Economic Modelling (2013)
  9. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    See also Journal Article in Emerging Markets Finance and Trade (2016)
  10. Reconsidering the Welfare Cost of Inflation in the US: A Nonparametric Estimation of the Nonlinear Long-Run Money Demand Equation using Projection Pursuit Regressions
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in Empirical Economics (2014)
  11. Relationship between House Prices and Inflation in South Africa: An ARDL Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  12. Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Contemporary Economics (2013)
  13. The Effects of Monetary Policy On Real Farm Prices in South Africa
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Regional and Sectoral Economic Studies (2012)
  14. The Role of Asset Prices in Forecasting Inflation and Output in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Journal of Emerging Market Finance (2013)

2010

  1. An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Economic Modelling (2011)
  2. Bubbles in South African House Prices and their Impact on Consumption
    Working Papers, University of Pretoria, Department of Economics View citations (34)
  3. Evaluating the Welfare Cost of Inflation in a Monetary Endogenous Growth General Equilibrium Model: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  4. Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    Also in Working papers, University of Connecticut, Department of Economics (2010) Downloads View citations (1)
  5. Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  6. Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (2)
    Also in Working papers, University of Connecticut, Department of Economics (2009) Downloads View citations (6)
    Working Papers, University of Pretoria, Department of Economics (2009) View citations (4)

    See also Journal Article in Economic Modelling (2011)
  7. Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting
    Working Papers, University of Pretoria, Department of Economics View citations (11)
    See also Journal Article in Annals of Economics and Finance (2010)
  8. Production Lags and Growth Dynamics in an Overlapping Generations Endogenous Growth Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  9. South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economic Modelling (2012)
  10. Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Economic Modelling (2012)
  11. The Long-Run Impact of Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Journal of Policy Modeling (2013)
  12. The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Business Economics and Management (2011)
  13. Valuation Ratios and Stock Price Predictability in South Africa: Is it there?
    Working Papers, University of Pretoria, Department of Economics View citations (2)

2009

  1. "Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix
    Working papers, University of Connecticut, Department of Economics Downloads View citations (14)
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2009) Downloads View citations (5)
    Working Papers, University of Pretoria, Department of Economics (2009) View citations (1)

    See also Journal Article in The Annals of Regional Science (2012)
  2. COMPARING SOUTH AFRICAN INFLATION VOLATILITY ACROSS MONETARY POLICY REGIMES: AN APPLICATION OF SAPHE CRACKING
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in Journal of Developing Areas (2012)
  3. Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Econometrics and International Development (2010)
  4. Could We Have Predicted the Recent Downturn in Home Sales of the Four US Census Regions?
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  5. FORECASTING REAL US HOUSE PRICE: PRINCIPAL COMPONENTS VERSUS BAYESIAN REGRESSIONS
    Working Papers, University of Pretoria, Department of Economics View citations (5)
  6. Has the SARB Become More Effective Post Inflation Targeting?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Economic Change and Restructuring (2010)
  7. Is the Permanent Income Hypothesis Really Well-Suited for Forecasting?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  8. Modelling monetary policy in South Africa: Focus on inflation targeting era using a simple learning rule
    Working Papers, University of Pretoria, Department of Economics View citations (22)
  9. Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (1)
    Also in Working Papers, University of Pretoria, Department of Economics (2009) View citations (4)
    Working papers, University of Connecticut, Department of Economics (2009) Downloads View citations (21)
  10. Some Benefits of Reducing Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  11. THE BLESSING OF DIMENSIONALITY IN FORECASTING REAL HOUSE PRICE GROWTH IN THE NINE CENSUS DIVISIONS OF THE US
    Working Papers, University of Pretoria, Department of Economics View citations (18)
  12. THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Defence and Peace Economics (2010)
  13. THE EFFECT OF MONETARY POLICY ON HOUSE PRICE INFLATION: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    Also in EcoMod2009, EcoMod (2009) Downloads View citations (3)
  14. THE EFFECT OF MONETARY POLICY ON REAL HOUSE PRICE GROWTH IN SOUTH AFRICA: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Economic Modelling (2010)
  15. The Time-Series Properties of House Prices: A Case Study of the Southern California Market
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (8)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2012)
  16. The Time-Series Properties of Housing Prices: A Case Study of the Southern California Market
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    Also in Working papers, University of Connecticut, Department of Economics (2009) Downloads View citations (12)
  17. Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2009) Downloads View citations (6)
    Working papers, University of Connecticut, Department of Economics (2009) Downloads View citations (9)

2008

  1. A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (9)
  2. A New-Keynesian DSGE Model for Forecasting the South African Economy
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Forecasting (2009)
  3. COULD WE HAVE PREDICTED THE RECENT DOWNTURN IN THE SOUTH AFRICAN HOUSING MARKET?
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    See also Journal Article in Journal of Housing Economics (2009)
  4. Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  5. Costly Tax Enforcement and Financial Repression
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Economic Notes (2008)
  6. Costly Tax Enforcement and Financial Repression: A Reconsideration Using an Endogenous Growth Model
    Working Papers, University of Pretoria, Department of Economics
  7. Currency Substitution and Financial Repression
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in International Economic Journal (2011)
  8. Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The IUP Journal of Monetary Economics (2010)
  9. Financial Liberalisation and the Effectiveness of Monetary Policy on House Prices in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in The IUP Journal of Monetary Economics (2010)
  10. Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Indian Economic Review (2011)
  11. Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models
    Working Papers, University of Pretoria, Department of Economics View citations (16)
    See also Journal Article in Journal of Forecasting (2010)
  12. Forecasting the South African Economy: A DSGE-VAR Approach
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2008) Downloads
    Working Papers, University of Pretoria, Department of Economics (2007) View citations (6)
  13. Half-Life Deviations from PPP in the SADC
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  14. Is a DFM Well-Suited in Forecasting Regional House Price Inflation?
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  15. Market Microstructure Approach to the Exchange Rate Determination Puzzle
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The IUP Journal of Monetary Economics (2009)
  16. Measuring the Welfare Cost of Inflation in South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in South African Journal of Economics (2008)
  17. Measuring the Welfare Cost of Inflation in South Africa: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics View citations (2)
  18. Misalignment in the Growth-Maximizing Policies under Alternative Assumptions of Tax Evasion
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  19. Openness, Bureaucratic Corruption and Public Policy in an Endogenous Growth Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  20. Optimal Public Policy with Endogenous Mortality
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Economic Policy Reform (2010)
  21. Predicting Downturns in the US Housing Market: A Bayesian Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Journal of Real Estate Finance and Economics (2010)
  22. Should the SARB Have Stayed Time Inconsistent?
    Working Papers, University of Pretoria, Department of Economics
  23. Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (25)
    See also Journal Article in South African Journal of Economics (2008)
  24. Tax Evasion and Financial Repression: A Reconsideration Using Endogenous Growth Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Economic Studies (2009)
  25. Testing for Fractional Integration in SADC Real Exchange Rates
    Working Papers, University of Pretoria, Department of Economics View citations (4)
  26. Testing for PPP Using SADC Real Exchange Rates
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in South African Journal of Economics (2009)
  27. Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Studies in Economics and Econometrics (2009)
  28. Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Studies in Economics and Econometrics (2009)

2007

  1. A Panel Bargaining Model within the Regional Boundaries of the South African Grain Industry
    Working Papers, University of Pretoria, Department of Economics
  2. Bayesian Methods of Forecasting Inventory Investment in South Africa
    Working Papers, University of Pretoria, Department of Economics
  3. Forecasting the South African Economy with Gibbs Sampled BVECMs
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article in South African Journal of Economics (2007)
  4. Linking Global Economic Dynamics to a South African-Specific Credit Risk Correlation Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Economic Modelling (2009)
  5. Modelling Preferences of South African Grain Farmers for Adopting Derivative Contracts Using Discrete Choice Models
    Working Papers, University of Pretoria, Department of Economics
  6. Modelling and Forecasting the Metical-Rand Exchange Rate
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in The IUP Journal of Monetary Economics (2008)
  7. Tax Evasion and Financial Repression
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Economics and Business (2008)
  8. Temporal Causality between Budget Deficit and Interest Rate: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  9. Temporal Causality between Taxes and Public Expenditures: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (1)

2006

  1. A BVAR Model for the South African Economy
    Working Papers, University of Pretoria, Department of Economics View citations (17)
    See also Journal Article in South African Journal of Economics (2006)
  2. A Small-Scale DSGE Model for Forecasting the South African Economy
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in South African Journal of Economics (2007)
  3. Active versus Passive Policies of Unemployment: Growth and Public Finance Perspectives
    Working Papers, University of Pretoria, Department of Economics View citations (1)
  4. An Endogenous Growth Model of a Financially Repressed Small Open Economy
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Economic Journal (2009)
  5. An Investigation of Openness and Economic Growth Using Panel Estimation
    Working Papers, University of Pretoria, Department of Economics View citations (10)
  6. Financial Liberalization and a Possible Growth-Inflation Trade-Off
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Indian Economic Review (2009)
  7. Financial Liberalization with Productive Public Expenditure and A Curb Market
    Working Papers, University of Pretoria, Department of Economics
  8. Forecasting the South African Economy with VARs and VECMs
    Working Papers, University of Pretoria, Department of Economics View citations (26)
    See also Journal Article in South African Journal of Economics (2006)
  9. Growth-Effects of Inflation Targeting: The Role of Financial Sector Development
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Annals of Economics and Finance (2011)
  10. R&D, Openness, and Growth
    Working Papers, University of Pretoria, Department of Economics

2005

  1. A Generic Model of Financial Repression
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
  2. Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
    Working papers, University of Connecticut, Department of Economics Downloads
    See also Journal Article in The IUP Journal of Monetary Economics (2006)
  3. Costly State Monitoring and Reserve Requirements
    Working papers, University of Connecticut, Department of Economics Downloads View citations (10)
    See also Journal Article in Annals of Economics and Finance (2005)
  4. Effect of High Yielding Variety of Seeds in the State of West Bengal: An Empirical Quest
    Working Papers, University of Pretoria, Department of Economics
  5. Endogenous Tax Evasion and Reserve Requirements: A Comparative Study in the Context of European Economies
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (3)
  6. Financial Liberalization and Inflationary Dynamics
    Working papers, University of Connecticut, Department of Economics Downloads View citations (4)
  7. Financial Liberalization and Inflationary Dynamics in the Context of a Small Open Economy
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Pretoria, Department of Economics (2005)
  8. Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
    Working papers, University of Connecticut, Department of Economics Downloads View citations (1)
    See also Journal Article in International Economic Journal (2007)
  9. Financial Liberalization and the Dynamics of Inflation, the Nominal Exchange Rate and the Terms of Trade
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Indian Economic Review (2007)
  10. Financial Liberalization: A Myth or a Miracle Cure?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The IUP Journal of Monetary Economics (2008)
  11. Rational Expectations and the Effects of Financial Liberalization on Price Level and Output
    Working Papers, University of Pretoria, Department of Economics
  12. Revisiting the Inflation-Repression Relationship
    Working Papers, University of Pretoria, Department of Economics
  13. Revisiting the Temporal Causality between Money and Income
    Working Papers, University of Pretoria, Department of Economics
  14. The Macroeconomic Reform and the Demand for Money in India
    Working Papers, University of Pretoria, Department of Economics View citations (2)

Journal Articles

2023

  1. A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting
    Financial Innovation, 2023, 9, (1), 1-23 Downloads
  2. A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models
    Applied Economics Letters, 2023, 30, (1), 37-42 Downloads
  3. Climate Change and Inequality: Evidence from the United States
    Sustainability, 2023, 15, (6), 1-11 Downloads
  4. Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
    Mathematics, 2023, 11, (9), 1-21 Downloads
    See also Working Paper (2021)
  5. Climate risks and realized volatility of major commodity currency exchange rates
    Journal of Financial Markets, 2023, 62, (C) Downloads
    See also Working Paper (2022)
  6. Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach
    Financial Innovation, 2023, 9, (1), 1-22 Downloads
  7. Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment
    Mathematics, 2023, 11, (6), 1-26 Downloads
  8. Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic
    The Quarterly Review of Economics and Finance, 2023, 88, (C), 295-302 Downloads
    See also Working Paper (2021)
  9. Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period
    The North American Journal of Economics and Finance, 2023, 64, (C) Downloads
  10. Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning
    Journal of Behavioral Finance, 2023, 24, (1), 111-122 Downloads
    See also Working Paper (2021)
  11. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data
    Journal of Behavioral Finance, 2023, 24, (1), 56-72 Downloads
    See also Working Paper (2020)
  12. Productivity and GDP: international evidence of persistence and trends over 130 years of data
    Empirical Economics, 2023, 64, (3), 1219-1246 Downloads
    See also Working Paper (2021)
  13. Structural and predictive analyses with a mixed copula‐based vector autoregression model
    Journal of Forecasting, 2023, 42, (2), 223-239 Downloads
    See also Working Paper (2021)
  14. Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
    The Quarterly Review of Economics and Finance, 2023, 88, (C), 303-314 Downloads
    See also Working Paper (2022)
  15. The effect of oil uncertainty shock on real GDP of 33 countries: a global VAR approach
    Applied Economics Letters, 2023, 30, (3), 269-274 Downloads View citations (1)
    See also Working Paper (2021)
  16. The impacts of oil price volatility on financial stress: Is the COVID-19 period different?
    International Review of Economics & Finance, 2023, 85, (C), 520-532 Downloads
    See also Working Paper (2021)
  17. The non-linear response of US state-level tradable and non-tradable inflation to oil shocks: The role of oil-dependence
    Research in International Business and Finance, 2023, 64, (C) Downloads
    See also Working Paper (2021)
  18. The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
    Financial Innovation, 2023, 9, (1), 1-22 Downloads
  19. The role of oil and risk shocks in the high‐frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market
    International Journal of Finance & Economics, 2023, 28, (2), 1845-1857 Downloads
  20. US monetary policy and BRICS stock market bubbles
    Finance Research Letters, 2023, 51, (C) Downloads View citations (1)
    See also Working Paper (2022)
  21. Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
    Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (1), 25-47 Downloads

2022

  1. A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT
    Annals of Financial Economics (AFE), 2022, 17, (02), 1-9 Downloads
    See also Working Paper (2020)
  2. A Note on the COVID-19 Shock and Real GDP in Emerging Economies
    Emerging Markets Finance and Trade, 2022, 58, (1), 93-101 Downloads View citations (1)
  3. A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data
    International Journal of Finance & Economics, 2022, 27, (1), 384-400 Downloads View citations (1)
    See also Working Paper (2019)
  4. ANALYZING THE IMPACT OF BREXIT ON GLOBAL UNCERTAINTY USING FUNCTIONAL LINEAR REGRESSION WITH POINT OF IMPACT: THE ROLE OF CURRENCY AND EQUITY MARKETS
    The Singapore Economic Review (SER), 2022, 67, (04), 1377-1388 Downloads
    See also Working Paper (2020)
  5. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 73-98 Downloads
    See also Working Paper (2017)
  6. Can monetary policy lean against housing bubbles?
    Economic Modelling, 2022, 110, (C) Downloads View citations (4)
    See also Working Paper (2018)
  7. Climate risks and forecastability of the realized volatility of gold and other metal prices
    Resources Policy, 2022, 77, (C) Downloads View citations (1)
    See also Working Paper (2021)
  8. Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks
    Economics Letters, 2022, 217, (C) Downloads View citations (1)
    See also Working Paper (2022)
  9. Commodity Prices and Forecastability of International Stock Returns over a Century: Sentiments versus Fundamentals with Focus on South Africa
    Emerging Markets Finance and Trade, 2022, 58, (9), 2620-2636 Downloads View citations (2)
  10. Contagious diseases and gold: Over 700 years of evidence from quantile regressions
    Finance Research Letters, 2022, 50, (C) Downloads View citations (1)
    See also Working Paper (2022)
  11. Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
    Journal of Behavioral Finance, 2022, 23, (3), 241-261 Downloads
    See also Working Paper (2019)
  12. Evolving United States stock market volatility: The role of conventional and unconventional monetary policies
    The North American Journal of Economics and Finance, 2022, 60, (C) Downloads View citations (1)
    See also Working Paper (2021)
  13. Exchange rate predictability with nine alternative models for BRICS countries
    Journal of Macroeconomics, 2022, 71, (C) Downloads
    See also Working Paper (2021)
  14. Financial market connectedness: The role of investors’ happiness
    Finance Research Letters, 2022, 44, (C) Downloads View citations (4)
  15. Financial turbulence, systemic risk and the predictability of stock market volatility
    Global Finance Journal, 2022, 52, (C) Downloads View citations (2)
    See also Working Paper (2021)
  16. Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
    JRFM, 2022, 15, (11), 1-15 Downloads
    See also Working Paper (2022)
  17. Forecasting charge-off rates with a panel Tobit model: the role of uncertainty
    Applied Economics Letters, 2022, 29, (10), 927-931 Downloads
    See also Working Paper (2020)
  18. Forecasting oil and gold volatilities with sentiment indicators under structural breaks
    Energy Economics, 2022, 105, (C) Downloads View citations (11)
    See also Working Paper (2021)
  19. Forecasting oil prices over 150 years: The role of tail risks
    Resources Policy, 2022, 75, (C) Downloads View citations (3)
    See also Working Paper (2021)
  20. Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty
    Resources Policy, 2022, 75, (C) Downloads View citations (2)
    See also Working Paper (2021)
  21. Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis
    Journal of Forecasting, 2022, 41, (2), 303-315 Downloads View citations (3)
    See also Working Paper (2021)
  22. Forecasting returns of major cryptocurrencies: Evidence from regime-switching factor models
    Finance Research Letters, 2022, 49, (C) Downloads View citations (1)
    See also Working Paper (2022)
  23. Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?
    International Journal of Finance & Economics, 2022, 27, (2), 2146-2152 Downloads
  24. 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
    See also Working Paper (2021)
  25. Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?
    Energy Economics, 2022, 114, (C) Downloads
    See also Working Paper (2022)
  26. Geopolitical risks and historical exchange rate volatility of the BRICS
    International Review of Economics & Finance, 2022, 77, (C), 179-190 Downloads View citations (5)
    See also Working Paper (2020)
  27. Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model
    Finance Research Letters, 2022, 47, (PA) Downloads View citations (1)
    See also Working Paper (2021)
  28. Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model
    Energy Economics, 2022, 108, (C) Downloads View citations (5)
    See also Working Paper (2021)
  29. Globalization, long memory, and real interest rate convergence: a historical perspective
    Empirical Economics, 2022, 63, (5), 2331-2355 Downloads
    See also Working Paper (2020)
  30. Information entropy, continuous improvement, and US energy performance: a novel stochastic-entropic analysis for ideal solutions (SEA-IS)
    Annals of Operations Research, 2022, 313, (1), 289-318 Downloads
    See also Working Paper (2020)
  31. Interest rate uncertainty and the predictability of bank revenues
    Journal of Forecasting, 2022, 41, (8), 1559-1569 Downloads
    See also Working Paper (2021)
  32. Investors’ Uncertainty and Forecasting Stock Market Volatility
    Journal of Behavioral Finance, 2022, 23, (3), 327-337 Downloads View citations (3)
    See also Working Paper (2020)
  33. Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
    Defence and Peace Economics, 2022, 33, (2), 150-161 Downloads View citations (2)
    See also Working Paper (2020)
  34. Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty
    The Journal of Real Estate Finance and Economics, 2022, 64, (4), 523-545 Downloads
    See also Working Paper (2020)
  35. Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions
    Journal of Forecasting, 2022, 41, (1), 134-157 Downloads View citations (3)
  36. Monetary policy reaction to uncertainty in Japan: Evidence from a quantile‐on‐quantile interest rate rule
    International Journal of Finance & Economics, 2022, 27, (2), 2041-2053 Downloads
    See also Working Paper (2019)
  37. Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach
    International Journal of Finance & Economics, 2022, 27, (2), 2089-2109 Downloads
  38. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning
    Finance Research Letters, 2022, 45, (C) Downloads
    See also Working Paper (2021)
  39. Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
    JRFM, 2022, 15, (8), 1-26 Downloads View citations (3)
  40. Oil price shocks and yield curve dynamics in emerging markets
    International Review of Economics & Finance, 2022, 80, (C), 613-623 Downloads View citations (1)
    See also Working Paper (2020)
  41. Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high‐frequency data†
    Scottish Journal of Political Economy, 2022, 69, (2), 169-185 Downloads View citations (1)
  42. Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data
    Finance Research Letters, 2022, 46, (PB) Downloads View citations (1)
    See also Working Paper (2021)
  43. Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
    Energies, 2022, 15, (22), 1-26 Downloads
    See also Working Paper (2022)
  44. Oil-price uncertainty and the U.K. unemployment rate: A forecasting experiment with random forests using 150 years of data
    Resources Policy, 2022, 77, (C) Downloads View citations (3)
    See also Working Paper (2020)
  45. On the transmission mechanism of Asia‐Pacific yield curve characteristics
    International Journal of Finance & Economics, 2022, 27, (1), 473-488 Downloads
    See also Working Paper (2018)
  46. Out-of-sample predictability of gold market volatility: The role of US Nonfarm Payroll
    The Quarterly Review of Economics and Finance, 2022, 86, (C), 482-488 Downloads
    See also Working Paper (2021)
  47. Persistence of state-level uncertainty of the United States: The role of climate risks
    Economics Letters, 2022, 215, (C) Downloads View citations (3)
    See also Working Paper (2022)
  48. Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks☆
    The North American Journal of Economics and Finance, 2022, 59, (C) Downloads View citations (3)
  49. Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases
    JRFM, 2022, 15, (1), 1-0 Downloads
    See also Working Paper (2021)
  50. Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties
    Journal of Behavioral Finance, 2022, 23, (2), 189-209 Downloads
    See also Working Paper (2020)
  51. Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices
    The North American Journal of Economics and Finance, 2022, 59, (C) Downloads
    See also Working Paper (2021)
  52. Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions
    Resources Policy, 2022, 79, (C) Downloads
    See also Working Paper (2022)
  53. Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests
    Journal of the Operational Research Society, 2022, 73, (8), 1755-1767 Downloads
    See also Working Paper (2019)
  54. Socio-political instability and growth dynamics
    Economic Systems, 2022, 46, (4) Downloads
    See also Working Paper (2018)
  55. Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin
    The Quarterly Review of Economics and Finance, 2022, 84, (C), 398-406 Downloads View citations (1)
    See also Working Paper (2020)
  56. The (Asymmetric) effect of El Niño and La Niña on gold and silver prices in a GVAR model
    Resources Policy, 2022, 78, (C) Downloads View citations (2)
    See also Working Paper (2021)
  57. The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach
    Emerging Markets Finance and Trade, 2022, 58, (4), 1008-1026 Downloads View citations (1)
    See also Working Paper (2019)
  58. The State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict
    Sustainability, 2022, 14, (18), 1-9 Downloads
  59. The behaviour of real interest rates: New evidence from a 'suprasecular' perspective
    International Finance, 2022, 25, (1), 46-64 Downloads
  60. The effects of climate risks on economic activity in a panel of US states: The role of uncertainty
    Economics Letters, 2022, 213, (C) Downloads View citations (6)
    See also Working Paper (2022)
  61. The financial US uncertainty spillover multiplier: Evidence from a GVAR model
    International Finance, 2022, 25, (3), 313-340 Downloads
    See also Working Paper (2021)
  62. The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis
    International Journal of Finance & Economics, 2022, 27, (2), 1979-1988 Downloads
    See also Working Paper (2019)
  63. The role of investor sentiment in forecasting housing returns in China: A machine learning approach
    Journal of Forecasting, 2022, 41, (8), 1725-1740 Downloads
    See also Working Paper (2020)
  64. Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning
    Journal of Forecasting, 2022, 41, (6), 1049-1064 Downloads
  65. Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis
    Journal of Forecasting, 2022, 41, (7), 1525-1556 Downloads
    See also Working Paper (2021)
  66. Uncertainty and tourism in Africa
    Tourism Economics, 2022, 28, (4), 964-978 Downloads View citations (1)
    See also Working Paper (2020)
  67. Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note
    International Review of Finance, 2022, 22, (3), 540-550 Downloads

2021

  1. A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
    Energies, 2021, 14, (20), 1-0 Downloads View citations (4)
    See also Working Paper (2021)
  2. A note on investor happiness and the predictability of realized volatility of gold
    Finance Research Letters, 2021, 39, (C) Downloads View citations (6)
    See also Working Paper (2020)
  3. A note on oil price shocks and the forecastability of gold realized volatility
    Applied Economics Letters, 2021, 28, (21), 1889-1897 Downloads View citations (1)
    See also Working Paper (2020)
  4. Bayesian Spatial Modeling for Housing Data in South Africa
    Sankhya B: The Indian Journal of Statistics, 2021, 83, (2), 395-414 Downloads
    See also Working Paper (2018)
  5. Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
    Finance Research Letters, 2021, 43, (C) Downloads
    See also Working Paper (2020)
  6. Bitcoin mining activity and volatility dynamics in the power market
    Economics Letters, 2021, 209, (C) Downloads View citations (1)
    See also Working Paper (2021)
  7. COVID-19 Pandemic and Investor Herding in International Stock Markets
    Risks, 2021, 9, (9), 1-11 Downloads View citations (17)
    See also Working Paper (2020)
  8. Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment
    Energies, 2021, 14, (23), 1-0 Downloads View citations (3)
    See also Working Paper (2021)
  9. Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
    The North American Journal of Economics and Finance, 2021, 55, (C) Downloads View citations (6)
    See also Working Paper (2019)
  10. Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach
    The Quarterly Review of Economics and Finance, 2021, 79, (C), 290-302 Downloads View citations (2)
  11. Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics
    Research in International Business and Finance, 2021, 58, (C) Downloads View citations (3)
  12. Do oil-price shocks predict the realized variance of U.S. REITs?
    Energy Economics, 2021, 104, (C) Downloads View citations (4)
    See also Working Paper (2020)
  13. Does inequality help in forecasting equity premium in a panel of G7 countries?
    The North American Journal of Economics and Finance, 2021, 57, (C) Downloads View citations (4)
    See also Working Paper (2017)
  14. Dynamic Impact of Unconventional Monetary Policy on International REITs
    JRFM, 2021, 14, (9), 1-19 Downloads View citations (5)
    See also Working Paper (2020)
  15. Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom
    Applied Economics Letters, 2021, 28, (18), 1594-1599 Downloads
    See also Working Paper (2020)
  16. Dynamic impact of the U.S. monetary policy on oil market returns and volatility
    The Quarterly Review of Economics and Finance, 2021, 80, (C), 159-169 Downloads
    See also Working Paper (2019)
  17. El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements
    Sustainability, 2021, 13, (14), 1-23 Downloads View citations (3)
    See also Working Paper (2021)
  18. Evolution of price effects after one-day abnormal returns in the US stock market
    The North American Journal of Economics and Finance, 2021, 57, (C) Downloads View citations (4)
    See also Working Paper (2020)
  19. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
    Computational Economics, 2021, 57, (1), 29-53 Downloads View citations (7)
    See also Working Paper (2020)
  20. Forecasting power of infectious diseases-related uncertainty for gold realized variance
    Finance Research Letters, 2021, 42, (C) Downloads View citations (15)
  21. Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss
    The European Journal of Finance, 2021, 27, (16), 1626-1644 Downloads View citations (3)
    See also Working Paper (2019)
  22. Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis
    Emerging Markets Finance and Trade, 2021, 57, (15), 4312-4329 Downloads
    See also Working Paper (2019)
  23. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
    Energies, 2021, 14, (14), 1-15 Downloads View citations (5)
    See also Working Paper (2021)
  24. GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES
    Annals of Financial Economics (AFE), 2021, 16, (03), 1-16 Downloads
    See also Working Paper (2021)
  25. Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data
    Energy, 2021, 235, (C) Downloads View citations (11)
    See also Working Paper (2021)
  26. Gold, platinum and the predictability of bond risk premia
    Finance Research Letters, 2021, 38, (C) Downloads View citations (2)
    See also Working Paper (2019)
  27. Government Effectiveness and the COVID-19 Pandemic
    Sustainability, 2021, 13, (6), 1-15 Downloads View citations (5)
    See also Working Paper (2021)
  28. High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment
    Journal of Behavioral Finance, 2021, 22, (4), 490-498 Downloads View citations (1)
    See also Working Paper (2020)
  29. High-Frequency Volatility Forecasting of US Housing Markets
    The Journal of Real Estate Finance and Economics, 2021, 62, (2), 283-317 Downloads View citations (4)
    See also Working Paper (2019)
  30. House price synchronization across the US states: The role of structural oil shocks
    The North American Journal of Economics and Finance, 2021, 56, (C) Downloads View citations (5)
    See also Working Paper (2020)
  31. How Do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
    Emerging Markets Finance and Trade, 2021, 57, (15), 4286-4311 Downloads View citations (1)
    See also Working Paper (2019)
  32. INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES
    Annals of Financial Economics (AFE), 2021, 16, (04), 1-29 Downloads View citations (1)
    See also Working Paper (2018)
  33. Income inequality and economic growth: A re‐examination of theory and evidence
    Review of Development Economics, 2021, 25, (2), 737-757 Downloads View citations (5)
    See also Working Paper (2018)
  34. Income inequality and oil resources: Panel evidence from the United States
    Energy Policy, 2021, 159, (C) Downloads View citations (2)
    See also Working Paper (2020)
  35. Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities
    International Review of Economics & Finance, 2021, 71, (C), 289-298 Downloads View citations (25)
    See also Working Paper (2020)
  36. Inflation-targeting and inflation volatility: International evidence from the cosine-squared cepstrum
    International Economics, 2021, (167), 29-38 Downloads View citations (1)
    Also in International Economics, 2021, 167, (C), 29-38 (2021) Downloads View citations (3)
  37. Investor sentiment and dollar-pound exchange rate returns: Evidence from over a century of data using a cross-quantilogram approach
    Finance Research Letters, 2021, 38, (C) Downloads View citations (3)
    See also Working Paper (2020)
  38. Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio
    International Review of Economics & Finance, 2021, 71, (C), 779-810 Downloads
    See also Working Paper (2020)
  39. Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (5), 289-310 Downloads
    See also Working Paper (2018)
  40. Monetary policy and bubbles in US REITs
    International Review of Finance, 2021, 21, (2), 675-687 Downloads View citations (2)
    See also Working Paper (2018)
  41. Monetary policy and speculative spillovers in financial markets
    Research in International Business and Finance, 2021, 56, (C) Downloads View citations (5)
    See also Working Paper (2020)
  42. Movements in real estate uncertainty in the United States: the role of oil shocks
    Applied Economics Letters, 2021, 28, (13), 1059-1065 Downloads
    See also Working Paper (2020)
  43. Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
    Sustainability, 2021, 13, (3), 1-20 Downloads View citations (1)
    See also Working Paper (2019)
  44. Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory
    Advances in Decision Sciences, 2021, 25, (1), 188-215 Downloads View citations (1)
    See also Working Paper (2019)
  45. OPEC news and jumps in the oil market
    Energy Economics, 2021, 96, (C) Downloads View citations (3)
    See also Working Paper (2020)
  46. Oil Price and Exchange Rate Behaviour of the BRICS
    Emerging Markets Finance and Trade, 2021, 57, (7), 2042-2051 Downloads View citations (8)
  47. Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach
    Global Finance Journal, 2021, 48, (C) Downloads View citations (26)
    See also Working Paper (2019)
  48. Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data
    Urban Studies, 2021, 58, (1), 53-72 Downloads View citations (2)
    See also Working Paper (2018)
  49. Point and density forecasting of macroeconomic and financial uncertainties of the USA
    Journal of Forecasting, 2021, 40, (4), 700-707 Downloads
  50. Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty
    Finance Research Letters, 2021, 38, (C) Downloads View citations (10)
    See also Working Paper (2019)
  51. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
    International Review of Finance, 2021, 21, (1), 324-335 Downloads View citations (2)
    See also Working Paper (2018)
  52. Return connectedness across asset classes around the COVID-19 outbreak
    International Review of Financial Analysis, 2021, 73, (C) Downloads View citations (102)
    See also Working Paper (2020)
  53. Risk aversion and Bitcoin returns in extreme quantiles
    Economics Bulletin, 2021, 41, (3), 1374-1386 Downloads
  54. Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach
    The North American Journal of Economics and Finance, 2021, 55, (C) Downloads View citations (11)
    See also Working Paper (2020)
  55. Stock markets and exchange rate behavior of the BRICS
    Journal of Forecasting, 2021, 40, (8), 1581-1595 Downloads View citations (4)
    See also Working Paper (2020)
  56. Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks
    Energy, 2021, 219, (C) Downloads View citations (22)
    See also Working Paper (2020)
  57. THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES
    Annals of Financial Economics (AFE), 2021, 16, (01), 1-13 Downloads View citations (1)
  58. The Effect of Air Quality and Weather on the Chinese Stock: Evidence from Shenzhen Stock Exchange
    Sustainability, 2021, 13, (5), 1-20 Downloads
  59. The Taylor curve: international evidence
    Applied Economics, 2021, 53, (40), 4680-4691 Downloads
    See also Working Paper (2020)
  60. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach
    Research in International Business and Finance, 2021, 58, (C) Downloads View citations (4)
    See also Working Paper (2020)
  61. The effects of public expenditures on labour productivity in Europe
    Empirica, 2021, 48, (4), 845-874 Downloads
    See also Working Paper (2020)
  62. The impact of disaggregated oil shocks on state-level consumption of the United States
    Applied Economics Letters, 2021, 28, (21), 1818-1824 Downloads View citations (1)
    See also Working Paper (2020)
  63. The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence
    Finance Research Letters, 2021, 43, (C) Downloads View citations (3)
    See also Working Paper (2020)
  64. 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 (2020)
  65. Time-varying evidence of predictability of financial stress in the United States over a century: The role of inequality
    Structural Change and Economic Dynamics, 2021, 57, (C), 87-92 Downloads View citations (1)
    See also Working Paper (2020)
  66. Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment
    The North American Journal of Economics and Finance, 2021, 58, (C) Downloads View citations (6)
    See also Working Paper (2020)
  67. Time-varying impact of pandemics on global output growth
    Finance Research Letters, 2021, 41, (C) Downloads View citations (3)
    See also Working Paper (2020)
  68. Time-varying influence of household debt on inequality in United Kingdom
    Empirical Economics, 2021, 61, (4), 1917-1933 Downloads
    See also Working Paper (2020)
  69. Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains
    Empirical Economics, 2021, 61, (6), 2963-2983 Downloads View citations (3)
    See also Working Paper (2019)
  70. Time-varying risk aversion and forecastability of the US term structure of interest rates
    Finance Research Letters, 2021, 42, (C) Downloads View citations (1)
    See also Working Paper (2020)
  71. Time-varying spillovers between housing sentiment and housing market in the United States☆
    Finance Research Letters, 2021, 42, (C) Downloads View citations (1)
  72. Time‐varying impact of global, region‐, and country‐specific uncertainties on the volatility of international trade
    Contemporary Economic Policy, 2021, 39, (4), 691-700 Downloads
  73. UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES
    Annals of Financial Economics (AFE), 2021, 16, (02), 1-12 Downloads
    See also Working Paper (2021)
  74. Uncertainty and daily predictability of housing returns and volatility of the United States: Evidence from a higher-order nonparametric causality-in-quantiles test
    The Quarterly Review of Economics and Finance, 2021, 82, (C), 200-206 Downloads View citations (4)
    See also Working Paper (2020)
  75. Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data
    Journal of Multinational Financial Management, 2021, 61, (C) Downloads View citations (2)
    See also Working Paper (2020)
  76. Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia
    International Review of Finance, 2021, 21, (2), 661-674 Downloads
  77. Volatility connectedness of major cryptocurrencies: The role of investor happiness
    Journal of Behavioral and Experimental Finance, 2021, 30, (C) Downloads View citations (16)
    See also Working Paper (2020)
  78. What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data
    The Journal of Real Estate Finance and Economics, 2021, 62, (1), 81-107 Downloads
    See also Working Paper (2019)

2020

  1. 125 ​Years of time-varying effects of fiscal policy on financial markets
    International Review of Economics & Finance, 2020, 70, (C), 303-320 Downloads View citations (4)
  2. Are Uncertainties across the World Convergent?
    Economics Bulletin, 2020, 40, (1), 855-862 Downloads View citations (3)
    See also Working Paper (2019)
  3. Asymmetric effects of inequality on real output levels of the United States
    Eurasian Economic Review, 2020, 10, (1), 47-69 Downloads View citations (1)
  4. Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (3), 17 Downloads View citations (3)
    Also in Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (3), 17 (2020) Downloads View citations (3)

    See also Working Paper (2018)
  5. Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows
    Journal of International Money and Finance, 2020, 109, (C) Downloads View citations (3)
    See also Working Paper (2019)
  6. Does real U.K. GDP have a unit root? Evidence from a multi-century perspective
    Applied Economics, 2020, 52, (10), 1070-1087 Downloads View citations (1)
  7. Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2020, 147, (3), 747-762 Downloads View citations (3)
    See also Working Paper (2018)
  8. Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data
    Applied Economics Letters, 2020, 27, (16), 1305-1311 Downloads View citations (7)
    See also Working Paper (2019)
  9. Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?
    Mathematics, 2020, 8, (11), 1-16 Downloads
    See also Working Paper (2020)
  10. Forecasting core inflation: the case of South Africa
    Applied Economics, 2020, 52, (28), 3004-3022 Downloads View citations (2)
    See also Working Paper (2015)
  11. Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs
    Economics Letters, 2020, 186, (C) Downloads View citations (10)
  12. Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty
    The Quarterly Review of Economics and Finance, 2020, 76, (C), 243-248 Downloads View citations (5)
    See also Working Paper (2016)
  13. Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
    Journal of Applied Statistics, 2020, 47, (6), 1128-1143 Downloads View citations (2)
    See also Working Paper (2018)
  14. Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages
    Journal of Forecasting, 2020, 39, (6), 966-985 Downloads View citations (2)
    See also Working Paper (2019)
  15. Forecasting output growth using a DSGE-based decomposition of the South African yield curve
    Empirical Economics, 2020, 58, (1), 351-378 Downloads View citations (1)
    See also Working Paper (2015)
  16. Forecasting realized gold volatility: Is there a role of geopolitical risks?
    Finance Research Letters, 2020, 35, (C) Downloads View citations (41)
    See also Working Paper (2019)
  17. Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss
    Journal of International Money and Finance, 2020, 104, (C) Downloads View citations (57)
    See also Working Paper (2019)
  18. Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
    International Journal of Forecasting, 2020, 36, (3), 933-948 Downloads View citations (53)
    See also Working Paper (2019)
  19. Forecasting with Second-Order Approximations and Markov-Switching DSGE Models
    Computational Economics, 2020, 56, (4), 747-771 Downloads View citations (1)
    See also Working Paper (2018)
  20. Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data
    Applied Economics Letters, 2020, 27, (19), 1562-1566 Downloads View citations (1)
    See also Working Paper (2018)
  21. Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model
    Emerging Markets Finance and Trade, 2020, 55, (8), 1841-1856 Downloads
    Also in Emerging Markets Finance and Trade, 2019, 55, (8), 1841-1856 (2019) Downloads View citations (16)

    See also Working Paper (2017)
  22. Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data
    Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) Downloads View citations (24)
    See also Working Paper (2019)
  23. Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model
    Energy Economics, 2020, 88, (C) Downloads View citations (48)
    See also Working Paper (2019)
  24. Graph theory-based network analysis of regional uncertainties of the US Economy
    Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) Downloads View citations (2)
  25. Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting
    Economies, 2020, 8, (1), 1-14 Downloads View citations (1)
    See also Working Paper (2019)
  26. HISTORICAL FORECASTING OF INTEREST RATE MEAN AND VOLATILITY OF THE UNITED STATES: IS THERE A ROLE OF UNCERTAINTY?
    Annals of Financial Economics (AFE), 2020, 15, (04), 1-17 Downloads View citations (1)
    See also Working Paper (2020)
  27. Halloween Effect in developed stock markets: A historical perspective
    International Economics, 2020, 161, (C), 130-138 Downloads View citations (3)
    Also in International Economics, 2020, (161), 130-138 (2020) Downloads
  28. Historical evolution of monthly anomalies in international stock markets
    Research in International Business and Finance, 2020, 52, (C) Downloads View citations (2)
    See also Working Paper (2019)
  29. Historical volatility of advanced equity markets: The role of local and global crises
    Finance Research Letters, 2020, 34, (C) Downloads View citations (1)
    See also Working Paper (2019)
  30. Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model
    Empirical Economics, 2020, 58, (5), 2309-2332 Downloads View citations (2)
    See also Working Paper (2016)
  31. Infectious Diseases, Market Uncertainty and Oil Market Volatility
    Energies, 2020, 13, (16), 1-8 Downloads View citations (48)
  32. Inflation dynamics in Uganda: a quantile regression approach
    Macroeconomics and Finance in Emerging Market Economies, 2020, 13, (2), 161-187 Downloads
    See also Working Paper (2017)
  33. Insurance and economic policy uncertainty
    Research in International Business and Finance, 2020, 54, (C) Downloads View citations (11)
  34. Insurance-growth nexus in Africa
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2020, 45, (2), 335-360 Downloads View citations (2)
    See also Working Paper (2018)
  35. Investor Happiness and Predictability of the Realized Volatility of Oil Price
    Sustainability, 2020, 12, (10), 1-11 Downloads View citations (16)
    See also Working Paper (2020)
  36. Is real per capita state personal income stationary? New nonlinear, asymmetric panel‐data evidence
    Bulletin of Economic Research, 2020, 72, (1), 50-62 Downloads View citations (3)
    See also Working Paper (2016)
  37. Is the Housing Market in the United States Really Weakly-Efficient?
    Applied Economics Letters, 2020, 27, (14), 1124-1134 Downloads View citations (1)
    See also Working Paper (2019)
  38. Is the response of the bank of England to exchange rate movements frequency-dependent?
    Journal of Macroeconomics, 2020, 63, (C) Downloads
    See also Working Paper (2018)
  39. Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements
    Journal of Applied Statistics, 2020, 47, (6), 1109-1127 Downloads
    See also Working Paper (2018)
  40. Local currency bond risk premia of emerging markets: The role of local and global factors
    Finance Research Letters, 2020, 33, (C) Downloads View citations (2)
    See also Working Paper (2019)
  41. Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas
    The Quarterly Review of Economics and Finance, 2020, 76, (C), 207-217 Downloads View citations (3)
    See also Working Paper (2018)
  42. Modeling US historical time-series prices and inflation using alternative long-memory approaches
    Empirical Economics, 2020, 58, (4), 1491-1511 Downloads
  43. Moments-based spillovers across gold and oil markets
    Energy Economics, 2020, 89, (C) Downloads View citations (18)
    See also Working Paper (2019)
  44. Monetary policy and financial frictions in a small open-economy model for Uganda
    Empirical Economics, 2020, 59, (3), 1213-1241 Downloads
    See also Working Paper (2017)
  45. Monetary policy uncertainty spillovers in time and frequency domains
    Journal of Economic Structures, 2020, 9, (1), 1-30 Downloads View citations (4)
    See also Working Paper (2020)
  46. Monetary policy, financial frictions and structural changes in Uganda: a Markov-switching DSGE approach
    Economic Research-Ekonomska Istraživanja, 2020, 33, (1), 1538-1561 Downloads
  47. Movements in international bond markets: The role of oil prices
    International Review of Economics & Finance, 2020, 68, (C), 47-58 Downloads View citations (17)
    See also Working Paper (2019)
  48. Oil price uncertainty and movements in the US government bond risk premia
    The North American Journal of Economics and Finance, 2020, 52, (C) Downloads View citations (12)
    See also Working Paper (2019)
  49. Oil shocks and volatility jumps
    Review of Quantitative Finance and Accounting, 2020, 54, (1), 247-272 Downloads View citations (9)
    See also Working Paper (2018)
  50. Predicting firm-level volatility in the United States: the role of monetary policy uncertainty
    Economics and Business Letters, 2020, 9, (3), 167-177 Downloads View citations (1)
    See also Working Paper (2020)
  51. Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models
    International Review of Financial Analysis, 2020, 68, (C) Downloads View citations (5)
    See also Working Paper (2018)
  52. Price and volatility linkages between international REITs and oil markets
    Energy Economics, 2020, 88, (C) Downloads View citations (13)
    See also Working Paper (2019)
  53. Price gap anomaly in the US stock market: The whole story
    The North American Journal of Economics and Finance, 2020, 52, (C) Downloads View citations (1)
    See also Working Paper (2019)
  54. Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data
    The North American Journal of Economics and Finance, 2020, 51, (C) Downloads View citations (10)
    See also Working Paper (2017)
  55. Spillover of sentiment in the European Union: Evidence from time- and frequency-domains
    International Review of Economics & Finance, 2020, 68, (C), 105-130 Downloads View citations (4)
    See also Working Paper (2019)
  56. 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 (17)
    See also Working Paper (2019)
  57. Spillovers between US real estate and financial assets in time and frequency domains
    Journal of Property Investment & Finance, 2020, 38, (6), 525-537 Downloads View citations (6)
    See also Working Paper (2019)
  58. Testing the white noise hypothesis in high-frequency housing returns of the United States
    Economics and Business Letters, 2020, 9, (3), 178-188 Downloads
    See also Working Paper (2019)
  59. The Effectiveness Of Monetary Policy In South Africa Under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model
    Journal of Developing Areas, 2020, 54, (4), 55-73 Downloads View citations (1)
    See also Working Paper (2016)
  60. The Time-series Linkages between US Fiscal Policy and Asset Prices
    Public Finance Review, 2020, 48, (3), 303-339 Downloads View citations (2)
    See also Working Paper (2016)
  61. The US Term Structure and Return Volatility in Global REIT Markets
    Advances in Decision Sciences, 2020, 24, (3), 84-109 Downloads
    See also Working Paper (2020)
  62. The effect of global and regional stock market shocks on safe haven assets
    Structural Change and Economic Dynamics, 2020, 54, (C), 297-308 Downloads View citations (6)
  63. The impact of US uncertainty shocks on a panel of advanced and emerging market economies
    The Journal of International Trade & Economic Development, 2020, 29, (6), 711-721 Downloads View citations (21)
  64. The impact of macroeconomic factors on income inequality: Evidence from the BRICS
    Economic Modelling, 2020, 91, (C), 559-567 Downloads View citations (4)
  65. The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries
    Energy Economics, 2020, 91, (C) Downloads View citations (16)
    See also Working Paper (2020)
  66. The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles
    Journal of Forecasting, 2020, 39, (6), 957-965 Downloads View citations (11)
    See also Working Paper (2019)
  67. The predictive power of oil price shocks on realized volatility of oil: A note
    Resources Policy, 2020, 69, (C) Downloads View citations (18)
    See also Working Paper (2020)
  68. The relationship between monetary policy and uncertainty in advanced economies: Evidence from time- and frequency-domains
    The Quarterly Review of Economics and Finance, 2020, 78, (C), 70-87 Downloads View citations (2)
    See also Working Paper (2019)
  69. The role of an aligned investor sentiment index in predicting bond risk premia of the U.S
    Journal of Financial Markets, 2020, 51, (C) Downloads View citations (12)
  70. The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach
    Research in International Business and Finance, 2020, 54, (C) Downloads View citations (15)
    See also Working Paper (2020)
  71. The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach
    Applied Economics, 2020, 52, (5), 528-536 Downloads View citations (1)
    See also Working Paper (2019)
  72. Threshold effects of inequality on economic growth in the US states: the role of human capital to physical capital ratio
    Applied Economics Letters, 2020, 27, (19), 1546-1551 Downloads View citations (1)
    See also Working Paper (2019)
  73. Time-Varying Impact of Geopolitical Risks on Oil Prices
    Defence and Peace Economics, 2020, 31, (6), 692-706 Downloads View citations (25)
    See also Working Paper (2018)
  74. Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
    Economies, 2020, 8, (1), 1-12 Downloads View citations (1)
    See also Working Paper (2019)
  75. Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries
    Advances in Decision Sciences, 2020, 24, (4), 44-76 Downloads View citations (4)
  76. 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 (9)
    See also Working Paper (2019)
  77. Time-varying risk aversion and the predictability of bond premia
    Finance Research Letters, 2020, 34, (C) Downloads View citations (5)
    See also Working Paper (2019)
  78. Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data
    Empirical Economics, 2020, 58, (5), 2249-2285 Downloads View citations (3)
    See also Working Paper (2017)
  79. Trade uncertainties and the hedging abilities of Bitcoin
    Economic Notes, 2020, 49, (3) Downloads View citations (15)
    See also Working Paper (2019)
  80. Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective
    Research in International Business and Finance, 2020, 52, (C) Downloads View citations (16)
  81. Uncertainty and Forecasts of U.S. Recessions
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (4), 20 Downloads View citations (7)
    See also Working Paper (2017)
  82. Volatility forecasting with bivariate multifractal models
    Journal of Forecasting, 2020, 39, (2), 155-167 Downloads View citations (9)
  83. Why must it always be so Real with tax evasion?
    The Quarterly Review of Economics and Finance, 2020, 78, (C), 304-308 Downloads
    See also Working Paper (2018)

2019

  1. A TIME-VARYING APPROACH OF THE US WELFARE COST OF INFLATION
    Macroeconomic Dynamics, 2019, 23, (2), 775-797 Downloads View citations (6)
    See also Working Paper (2014)
  2. A note on the technology herd: evidence from large institutional investors
    Review of Behavioral Finance, 2019, 11, (3), 294-308 Downloads View citations (3)
    See also Working Paper (2017)
  3. A re-evaluation of the term spread as a leading indicator
    International Review of Economics & Finance, 2019, 64, (C), 476-492 Downloads View citations (2)
  4. A wavelet analysis of the relationship between oil and natural gas prices
    Resources Policy, 2019, 60, (C), 118-124 Downloads View citations (18)
    See also Working Paper (2018)
  5. Are BRICS exchange rates chaotic?
    Applied Economics Letters, 2019, 26, (13), 1104-1110 Downloads View citations (7)
    See also Working Paper (2018)
  6. Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
    Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (3), 17 Downloads View citations (9)
    See also Working Paper (2017)
  7. Are there Really Long-Run Diversification Benefits from Sustainable Investments?
    International Journal of Business and Economics, 2019, 18, (2), 141-163 Downloads
  8. Asymmetric dynamics of insurance premium: the impacts of output and economic policy uncertainty
    Empirical Economics, 2019, 57, (6), 1959-1978 Downloads View citations (10)
    See also Working Paper (2016)
  9. Chaos in G7 stock markets using over one century of data: A note
    Research in International Business and Finance, 2019, 47, (C), 304-310 Downloads View citations (5)
    See also Working Paper (2016)
  10. Does financial development affect income inequality in the U.S. States?
    Journal of Policy Modeling, 2019, 41, (6), 1043-1056 Downloads View citations (8)
  11. Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?
    International Review of Financial Analysis, 2019, 61, (C), 29-36 Downloads View citations (99)
    See also Working Paper (2018)
  12. Does inequality really matter in forecasting real housing returns of the United Kingdom?
    International Economics, 2019, (159), 18-25 Downloads View citations (5)
    Also in International Economics, 2019, 159, (C), 18-25 (2019) Downloads View citations (5)

    See also Working Paper (2018)
  13. Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market
    Advances in Decision Sciences, 2019, 23, (1), 88-113 Downloads View citations (2)
    See also Working Paper (2019)
  14. Effects of geopolitical risks on trade flows: evidence from the gravity model
    Eurasian Economic Review, 2019, 9, (4), 515-530 Downloads View citations (19)
    See also Working Paper (2018)
  15. Efficiency in BRICS Currency Markets Using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability
    Journal of Economics and Behavioral Studies, 2019, 11, (1), 152-165 Downloads View citations (3)
    See also Working Paper (2018)
  16. Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
    Sustainability, 2019, 11, (2), 1-15 Downloads View citations (17)
    See also Working Paper (2018)
  17. Exchange rate returns and volatility: the role of time-varying rare disaster risks
    The European Journal of Finance, 2019, 25, (2), 190-203 Downloads View citations (13)
    See also Working Paper (2017)
  18. Forecasting (downside and upside) realized exchange-rate volatility: Is there a role for realized skewness and kurtosis?
    Physica A: Statistical Mechanics and its Applications, 2019, 532, (C) Downloads View citations (7)
  19. Forecasting the Probability of Recessions in South Africa: the Role of Decomposed Term Spread and Economic Policy Uncertainty
    Journal of International Development, 2019, 31, (1), 101-116 Downloads View citations (10)
    See also Working Paper (2016)
  20. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
    Defence and Peace Economics, 2019, 30, (3), 367-379 Downloads View citations (24)
    See also Working Paper (2017)
  21. Geopolitical risks and recessions in a panel of advanced economies: evidence from over a century of data
    Applied Economics Letters, 2019, 26, (16), 1317-1321 Downloads View citations (4)
    See also Working Paper (2018)
  22. 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 (8)
  23. Growth volatility and inequality in the U.S.: A wavelet analysis
    Physica A: Statistical Mechanics and its Applications, 2019, 521, (C), 48-73 Downloads View citations (3)
    See also Working Paper (2018)
  24. Herding behaviour in cryptocurrencies
    Finance Research Letters, 2019, 29, (C), 216-221 Downloads View citations (85)
  25. Inflation Aversion and the Growth-Inflation Relationship
    Annals of Economics and Finance, 2019, 20, (2), 803-815 Downloads
    See also Working Paper (2019)
  26. Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests
    International Finance, 2019, 22, (2), 221-240 Downloads View citations (6)
    See also Working Paper (2018)
  27. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
    International Review of Financial Analysis, 2019, 65, (C) Downloads View citations (30)
  28. Investor Sentiment and Crash Risk in Safe Havens
    Journal of Economics and Behavioral Studies, 2019, 10, (6), 97-108 Downloads View citations (2)
    See also Working Paper (2018)
  29. Is there a role for uncertainty in forecasting output growth in OECD countries? Evidence from a time-varying parameter-panel vector autoregressive model
    Applied Economics, 2019, 51, (33), 3624-3631 Downloads View citations (9)
    See also Working Paper (2018)
  30. Kuznets Curve for the US: A Reconsideration Using Cosummability
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2019, 142, (2), 827-843 Downloads View citations (6)
    See also Working Paper (2017)
  31. Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks
    Journal of Reviews on Global Economics, 2019, 8, 239-257 Downloads View citations (6)
    See also Working Paper (2017)
  32. MACROECONOMIC UNCERTAINTY AND THE COMOVEMENT IN BUYING VERSUS RENTING IN THE USA
    Advances in Decision Sciences, 2019, 23, (3), 93-121 Downloads View citations (3)
  33. Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector
    Sustainability, 2019, 11, (10), 1-12 Downloads View citations (11)
    See also Working Paper (2018)
  34. Measuring the Productive Efficiency of the Connecticut Long Island Lobster Sound Fishery Using a Novel Finite Mixture Model
    Marine Resource Economics, 2019, 34, (3), 267 - 285 Downloads
  35. Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks
    International Journal of Finance & Economics, 2019, 24, (1), 412-426 Downloads View citations (41)
    See also Working Paper (2016)
  36. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Advances in Decision Sciences, 2019, 23, (4), 1-23 Downloads View citations (3)
    See also Working Paper (2017)
  37. Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data
    Applied Energy, 2019, 233-234, 612-621 Downloads View citations (85)
  38. Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis
    Structural Change and Economic Dynamics, 2019, 50, (C), 51-55 Downloads View citations (16)
    See also Working Paper (2018)
  39. Oil speculation and herding behavior in emerging stock markets
    Journal of Economics and Finance, 2019, 43, (1), 44-56 Downloads View citations (10)
    See also Working Paper (2017)
  40. On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees
    Finance Research Letters, 2019, 30, (C), 160-169 Downloads View citations (1)
    See also Working Paper (2016)
  41. On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
    Quantitative Finance, 2019, 19, (5), 843-858 Downloads View citations (17)
    See also Working Paper (2017)
  42. PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES
    Advances in Decision Sciences, 2019, 23, (2), 151-163 Downloads View citations (1)
  43. Partisan Conflict and Income Inequality in the United States: A Nonparametric Causality-in-Quantiles Approach
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2019, 142, (1), 65-82 Downloads View citations (5)
  44. Persistence in trends and cycles of gold and silver prices: Evidence from historical data
    Physica A: Statistical Mechanics and its Applications, 2019, 514, (C), 345-354 Downloads View citations (5)
    See also Working Paper (2018)
  45. Persistence of economic uncertainty: a comprehensive analysis
    Applied Economics, 2019, 51, (41), 4477-4498 Downloads View citations (8)
    See also Working Paper (2018)
  46. Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data
    Manchester School, 2019, 87, (1), 24-36 Downloads
    See also Working Paper (2017)
  47. Point and density forecasts of oil returns: The role of geopolitical risks
    Resources Policy, 2019, 62, (C), 580-587 Downloads View citations (45)
    See also Working Paper (2018)
  48. Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
    International Review of Economics & Finance, 2019, 59, (C), 458-467 Downloads View citations (5)
    See also Working Paper (2017)
  49. Price jumps in developed stock markets: the role of monetary policy committee meetings
    Journal of Economics and Finance, 2019, 43, (2), 298-312 Downloads View citations (6)
    See also Working Paper (2017)
  50. Reprint of: Chaos in G7 stock markets using over one century of data: A note
    Research in International Business and Finance, 2019, 49, (C), 315-321 Downloads View citations (5)
  51. Revisiting the twin deficits hypothesis: a quantile cointegration analysis over the period 1791-2013
    Journal of Applied Economics, 2019, 22, (1), 117-131 Downloads View citations (1)
    See also Working Paper (2016)
  52. Rise and fall of calendar anomalies over a century
    The North American Journal of Economics and Finance, 2019, 49, (C), 181-205 Downloads View citations (16)
    See also Working Paper (2019)
  53. Spillover of mortgage default risks in the United States: Evidence from metropolitan statistical areas and states
    The Journal of Economic Asymmetries, 2019, 19, (C), - Downloads
    See also Working Paper (2018)
  54. Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach
    Finance Research Letters, 2019, 28, (C), 398-411 Downloads View citations (18)
    See also Working Paper (2018)
  55. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
    Energies, 2019, 12, (17), 1-17 Downloads View citations (27)
    See also Working Paper (2019)
  56. The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for an Oil-Importing Country: The Case of South Africa
    Emerging Markets Finance and Trade, 2019, 55, (7), 1593-1618 Downloads View citations (11)
  57. The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis
    Structural Change and Economic Dynamics, 2019, 50, (C), 132-147 Downloads View citations (30)
    See also Working Paper (2019)
  58. The effectiveness of monetary and fiscal policy shocks on U.S. inequality: the role of uncertainty
    Quality & Quantity: International Journal of Methodology, 2019, 53, (1), 283-295 Downloads View citations (15)
    See also Working Paper (2018)
  59. The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model
    Empirica, 2019, 46, (2), 353-368 Downloads View citations (46)
    See also Working Paper (2016)
  60. The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests
    Finance Research Letters, 2019, 29, (C), 315-322 Downloads View citations (8)
    See also Working Paper (2018)
  61. The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea
    International Review of Economics & Finance, 2019, 59, (C), 150-163 Downloads View citations (28)
  62. The role of housing sentiment in forecasting U.S. home sales growth: evidence from a Bayesian compressed vector autoregressive model
    Economic Research-Ekonomska Istraživanja, 2019, 32, (1), 2554-2567 Downloads
    See also Working Paper (2018)
  63. The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data
    Economics and Business Letters, 2019, 8, (3), 138-146 Downloads View citations (2)
    See also Working Paper (2018)
  64. The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data
    The North American Journal of Economics and Finance, 2019, 47, (C), 391-405 Downloads
    See also Working Paper (2017)
  65. The role of time‐varying rare disaster risks in predicting bond returns and volatility
    Review of Financial Economics, 2019, 37, (3), 327-340 Downloads View citations (4)
    See also Working Paper (2017)
  66. The stock-bond nexus and investors’ behavior in mature and emerging markets
    Studies in Economics and Finance, 2019, 38, (3), 562-582 Downloads
  67. Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017
    Journal of Multinational Financial Management, 2019, 49, (C), 81-88 Downloads View citations (4)
    See also Working Paper (2018)
  68. Time-varying impact of uncertainty shocks on the US housing market
    Economics Letters, 2019, 180, (C), 15-20 Downloads View citations (10)
    See also Working Paper (2018)
  69. Time-varying predictability of oil market movements over a century of data: The role of US financial stress
    The North American Journal of Economics and Finance, 2019, 50, (C) Downloads View citations (12)
    See also Working Paper (2018)
  70. Time-varying risk aversion and realized gold volatility
    The North American Journal of Economics and Finance, 2019, 50, (C) Downloads View citations (31)
    See also Working Paper (2018)
  71. Time–frequency relationship between US inflation and inflation uncertainty: evidence from historical data
    Scottish Journal of Political Economy, 2019, 66, (5), 673-702 Downloads View citations (4)
  72. US Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    International Review of Finance, 2019, 19, (4), 851-862 Downloads View citations (3)
    See also Working Paper (2017)
  73. Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence
    Empirical Economics, 2019, 56, (1), 61-79 Downloads View citations (3)
    See also Working Paper (2017)
  74. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies
    Journal of Central Banking Theory and Practice, 2019, 8, (3), 39-50 Downloads View citations (1)

2018

  1. Asymmetric causality between military expenditures and economic growth in top six defense spenders
    Quality & Quantity: International Journal of Methodology, 2018, 52, (3), 1193-1207 Downloads View citations (10)
  2. Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles
    The Quarterly Review of Economics and Finance, 2018, 69, (C), 297-307 Downloads View citations (79)
    See also Working Paper (2017)
  3. Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
    Applied Economics, 2018, 50, (53), 5712-5727 Downloads View citations (23)
    See also Working Paper (2015)
  4. Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (2), 15 Downloads View citations (17)
    See also Working Paper (2016)
  5. Causality Between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2018, 135, (1), 269-289 Downloads View citations (6)
    See also Working Paper (2016)
  6. Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty
    Journal of Macroeconomics, 2018, 57, (C), 317-337 Downloads View citations (73)
    See also Working Paper (2017)
  7. Comparing the forecasting ability of financial conditions indices: The case of South Africa
    The Quarterly Review of Economics and Finance, 2018, 69, (C), 245-259 Downloads View citations (6)
    See also Working Paper (2015)
  8. Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across States in the U.S
    International Advances in Economic Research, 2018, 24, (2), 147-161 Downloads View citations (6)
  9. Correction to: Causality Between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2018, 140, (2), 867-871 Downloads View citations (3)
  10. Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach
    Risks, 2018, 6, (3), 1-22 Downloads View citations (2)
  11. Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks
    The Journal of International Trade & Economic Development, 2018, 27, (6), 638-654 Downloads View citations (5)
    See also Working Paper (2017)
  12. Date stamping historical periods of oil price explosivity: 1876–2014
    Energy Economics, 2018, 70, (C), 582-587 Downloads View citations (46)
  13. Date-stamping US housing market explosivity
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2018, 12, 1-33 Downloads View citations (4)
    See also Working Paper (2017)
  14. Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach
    Journal of Economics and Finance, 2018, 42, (2), 339-351 Downloads View citations (5)
    See also Working Paper (2016)
  15. Do house prices hedge inflation in the US? A quantile cointegration approach
    International Review of Economics & Finance, 2018, 54, (C), 15-26 Downloads View citations (10)
    See also Working Paper (2017)
  16. Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities
    Journal of Economics and Behavioral Studies, 2018, 10, (2), 120-132 Downloads View citations (2)
    See also Working Paper (2018)
  17. Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model
    Emerging Markets Review, 2018, 34, (C), 124-142 Downloads View citations (39)
  18. Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆
    The North American Journal of Economics and Finance, 2018, 43, (C), 87-96 Downloads View citations (28)
  19. Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note
    Empirica, 2018, 45, (1), 49-57 Downloads View citations (6)
  20. Dynamic Relationship Between Oil Price And Inflation In South Africa
    Journal of Developing Areas, 2018, 52, (2), 73-93 Downloads View citations (13)
    See also Working Paper (2014)
  21. Dynamic connectedness of uncertainty across developed economies: A time-varying approach
    Economics Letters, 2018, 166, (C), 63-75 Downloads View citations (118)
    See also Working Paper (2018)
  22. Endogenous fluctuations in an endogenous growth model: An analysis of inflation targeting as a policy
    The Quarterly Review of Economics and Finance, 2018, 69, (C), 1-8 Downloads View citations (4)
  23. Firm-level political risk and asymmetric volatility
    The Journal of Economic Asymmetries, 2018, 18, (C), - Downloads View citations (7)
    See also Working Paper (2018)
  24. Forecasting US GNP growth: The role of uncertainty
    Journal of Forecasting, 2018, 37, (5), 541-559 Downloads View citations (9)
    See also Working Paper (2016)
  25. Forecasting using a Nonlinear DSGE Model
    Journal of Central Banking Theory and Practice, 2018, 7, (2), 73-98 Downloads View citations (1)
    See also Working Paper (2016)
  26. Geopolitical risks and stock market dynamics of the BRICS
    Economic Systems, 2018, 42, (2), 295-306 Downloads View citations (65)
    See also Working Paper (2016)
  27. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
    Resources Policy, 2018, 57, (C), 196-212 Downloads View citations (9)
    See also Working Paper (2016)
  28. HIGH FREQUENCY IMPACT OF MONETARY POLICY AND MACROECONOMIC SURPRISES ON US MSAS, AGGREGATE US HOUSING RETURNS AND ASYMMETRIC VOLATILITY
    Advances in Decision Sciences, 2018, 22, (1), 204-229 Downloads View citations (27)
  29. IS WINE A SAFE-HAVEN? EVIDENCE FROM A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST
    Advances in Decision Sciences, 2018, 22, (1), 95-114 Downloads View citations (1)
    See also Working Paper (2017)
  30. Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures
    International Economics, 2018, (156), 247-253 Downloads View citations (12)
    Also in International Economics, 2018, 156, (C), 247-253 (2018) Downloads View citations (12)

    See also Working Paper (2017)
  31. Inflation–growth nexus: evidence from a pooled CCE multiple-regime panel smooth transition model
    Empirical Economics, 2018, 54, (3), 913-944 Downloads View citations (8)
  32. Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis
    The North American Journal of Economics and Finance, 2018, 46, (C), 103-113 Downloads View citations (21)
    See also Working Paper (2018)
  33. Is wine a good choice for investment?
    Pacific-Basin Finance Journal, 2018, 51, (C), 171-183 Downloads View citations (25)
    See also Working Paper (2017)
  34. Macroeconomic uncertainty, growth and inflation in the Eurozone: a causal approach
    Applied Economics Letters, 2018, 25, (14), 1029-1033 Downloads
    See also Working Paper (2017)
  35. Market efficiency of Baltic stock markets: A fractional integration approach
    Physica A: Statistical Mechanics and its Applications, 2018, 511, (C), 251-262 Downloads View citations (11)
    See also Working Paper (2016)
  36. Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach
    Emerging Markets Finance and Trade, 2018, 54, (15), 3552-3565 Downloads View citations (2)
    See also Working Paper (2017)
  37. Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach
    The Quarterly Review of Economics and Finance, 2018, 70, (C), 203-213 Downloads View citations (98)
    See also Working Paper (2017)
  38. News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets
    Journal of Multinational Financial Management, 2018, 47-48, 76-90 Downloads View citations (11)
    See also Working Paper (2017)
  39. OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach
    The North American Journal of Economics and Finance, 2018, 45, (C), 206-214 Downloads View citations (19)
    See also Working Paper (2017)
  40. Oil returns and volatility: The role of mergers and acquisitions
    Energy Economics, 2018, 71, (C), 62-69 Downloads View citations (6)
    See also Working Paper (2017)
  41. On the directional accuracy of inflation forecasts: evidence from South African survey data
    Journal of Applied Statistics, 2018, 45, (5), 884-900 Downloads View citations (3)
    See also Working Paper (2014)
  42. 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 (105)
    See also Working Paper (2018)
  43. PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST
    Bulletin of Economic Research, 2018, 70, (1), 74-87 Downloads View citations (20)
  44. Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models
    Physica A: Statistical Mechanics and its Applications, 2018, 509, (C), 121-139 Downloads View citations (9)
    See also Working Paper (2015)
  45. Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data
    Economics Letters, 2018, 167, (C), 36-39 Downloads View citations (9)
  46. Social Status, Inflation and Endogenous Growth in A Cash‐in‐Advance Economy: A Reconsideration using the Credit Channel
    Manchester School, 2018, 86, (5), 622-640 Downloads
  47. South Africa’s monetary policy independence: evidence from a Global New-Keynesian DSGE model
    Applied Economics Letters, 2018, 25, (12), 840-846 Downloads View citations (1)
  48. Spillovers between Bitcoin and other assets during bear and bull markets
    Applied Economics, 2018, 50, (55), 5935-5949 Downloads View citations (84)
    See also Working Paper (2018)
  49. THE RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND TRADING VOLUME: EVIDENCE FROM SOUTH AFRICA
    Journal of Developing Areas, 2018, 52, (1), 99-114 Downloads View citations (13)
    See also Working Paper (2016)
  50. Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries
    The European Journal of Finance, 2018, 24, (4), 333-346 Downloads View citations (16)
    See also Working Paper (2016)
  51. Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices
    Resources Policy, 2018, 57, (C), 224-235 Downloads View citations (76)
    See also Working Paper (2018)
  52. Testing the Efficiency of the Art Market Using Quantile†Based Unit Root Tests with Sharp and Smooth Breaks
    Manchester School, 2018, 86, (4), 488-511 Downloads View citations (6)
  53. The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk
    Physica A: Statistical Mechanics and its Applications, 2018, 507, (C), 446-469 Downloads View citations (24)
    See also Working Paper (2015)
  54. The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis
    Finance Research Letters, 2018, 24, (C), 1-9 Downloads View citations (6)
    See also Working Paper (2016)
  55. The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis
    Empirical Economics, 2018, 55, (3), 913-935 Downloads View citations (1)
    See also Working Paper (2015)
  56. The relationship between the inflation rate and inequality across U.S. states: a semiparametric approach
    Quality & Quantity: International Journal of Methodology, 2018, 52, (5), 2413-2425 Downloads View citations (8)
    See also Working Paper (2017)
  57. The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test
    Journal of Multinational Financial Management, 2018, 45, (C), 52-71 Downloads View citations (44)
    See also Working Paper (2017)
  58. The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions
    Journal of Forecasting, 2018, 37, (7), 705-719 Downloads View citations (23)
    See also Working Paper (2017)
  59. The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach
    Finance Research Letters, 2018, 25, (C), 131-136 Downloads View citations (10)
    See also Working Paper (2016)
  60. The synergistic effect of insurance and banking sector activities on economic growth in Africa
    Economic Systems, 2018, 42, (4), 637-648 Downloads View citations (7)
    See also Working Paper (2018)
  61. Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data
    Physica A: Statistical Mechanics and its Applications, 2018, 506, (C), 1060-1080 Downloads View citations (6)
    See also Working Paper (2017)
  62. Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013
    Journal of Economics and Finance, 2018, 42, (4), 795-806 Downloads View citations (1)
    See also Working Paper (2015)
  63. Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data
    Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 632-647 Downloads View citations (10)
    See also Working Paper (2017)
  64. Time-varying rare disaster risks, oil returns and volatility
    Energy Economics, 2018, 75, (C), 239-248 Downloads View citations (39)
    See also Working Paper (2017)
  65. U.S. state-level carbon dioxide emissions: Does it affect health care expenditure?
    Renewable and Sustainable Energy Reviews, 2018, 91, (C), 521-530 Downloads View citations (14)
  66. UK macroeconomic volatility: Historical evidence over seven centuries
    Journal of Policy Modeling, 2018, 40, (4), 767-789 Downloads
  67. Unconventional monetary policy shocks in OECD countries: how important is the extent of policy uncertainty?
    International Economics and Economic Policy, 2018, 15, (3), 683-703 Downloads View citations (9)
    See also Working Paper (2015)
  68. Volatility jumps: The role of geopolitical risks
    Finance Research Letters, 2018, 27, (C), 247-258 Downloads View citations (36)
    See also Working Paper (2018)
  69. Volatility spillovers across global asset classes: Evidence from time and frequency domains
    The Quarterly Review of Economics and Finance, 2018, 70, (C), 194-202 Downloads View citations (71)
    See also Working Paper (2017)
  70. Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
    International Review of Finance, 2018, 18, (3), 495-506 Downloads View citations (1)
    See also Working Paper (2017)

2017

  1. Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 131, (2), 527-542 Downloads View citations (1)
    See also Working Paper (2015)
  2. Are there Environmental Kuznets Curves for US state-level CO2 emissions?
    Renewable and Sustainable Energy Reviews, 2017, 69, (C), 551-558 Downloads View citations (40)
    See also Working Paper (2014)
  3. Can (unusual) weather conditions in New York predict South African stock returns?
    Research in International Business and Finance, 2017, 41, (C), 377-386 Downloads View citations (4)
  4. Can volume predict Bitcoin returns and volatility? A quantiles-based approach
    Economic Modelling, 2017, 64, (C), 74-81 Downloads View citations (246)
    See also Working Paper (2017)
  5. Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data
    Energy Economics, 2017, 61, (C), 72-86 Downloads View citations (33)
    See also Working Paper (2015)
  6. Convergence of Health Care Expenditures Across the US States: A Reconsideration
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 133, (1), 303-316 Downloads View citations (3)
    See also Working Paper (2015)
  7. Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area
    Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 129-139 Downloads View citations (12)
    See also Working Paper (2016)
  8. Development, Poverty and Inequality: A Spatial Analysis of South African Provinces
    Journal of Developing Areas, 2017, 51, (1), 19-32 Downloads
    See also Working Paper (2015)
  9. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
    Sustainability, 2017, 9, (10), 1-18 Downloads View citations (21)
    See also Working Paper (2016)
  10. Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test
    International Review of Economics & Finance, 2017, 48, (C), 269-279 Downloads View citations (4)
  11. Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data
    International Finance, 2017, 20, (3), 289-316 Downloads View citations (28)
  12. Do precious metal prices help in forecasting South African inflation?
    The North American Journal of Economics and Finance, 2017, 40, (C), 63-72 Downloads View citations (3)
    See also Working Paper (2015)
  13. Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach
    The Quarterly Review of Economics and Finance, 2017, 65, (C), 276-284 Downloads View citations (18)
    See also Working Paper (2016)
  14. Do trend extraction approaches affect causality detection in climate change studies?
    Physica A: Statistical Mechanics and its Applications, 2017, 469, (C), 604-624 Downloads View citations (4)
    See also Working Paper (2016)
  15. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
    Finance Research Letters, 2017, 23, (C), 87-95 Downloads View citations (261)
    See also Working Paper (2017)
  16. Does country risks predict stock returns and volatility? Evidence from a nonparametric approach
    Research in International Business and Finance, 2017, 42, (C), 1173-1195 Downloads View citations (10)
    See also Working Paper (2016)
  17. Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach
    The Quarterly Review of Economics and Finance, 2017, 65, (C), 50-60 Downloads View citations (26)
    See also Working Paper (2016)
  18. Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016
    Resources Policy, 2017, 54, (C), 53-57 Downloads View citations (33)
    See also Working Paper (2017)
  19. Does the US. macroeconomic news make the South African stock market riskier?
    Journal of Developing Areas, 2017, 51, (4), 17-27 Downloads View citations (4)
    See also Working Paper (2016)
  20. Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model
    Journal of Multinational Financial Management, 2017, 40, (C), 92-102 Downloads View citations (73)
    See also Working Paper (2016)
  21. Electricity demand in South Africa: is it asymmetric?
    OPEC Energy Review, 2017, 41, (3), 226-238 Downloads View citations (3)
  22. Evidence of persistence in U.S. short and long-term interest rates
    Journal of Policy Modeling, 2017, 39, (5), 775-789 Downloads View citations (3)
  23. Financial tail risks in conventional and Islamic stock markets: A comparative analysis
    Pacific-Basin Finance Journal, 2017, 42, (C), 60-82 Downloads View citations (24)
  24. Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis
    Computational Economics, 2017, 49, (1), 83-97 Downloads View citations (4)
    See also Working Paper (2014)
  25. Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model
    Empirical Economics, 2017, 53, (1), 117-135 Downloads View citations (2)
    See also Working Paper (2016)
  26. Forecasting accuracy evaluation of tourist arrivals
    Annals of Tourism Research, 2017, 63, (C), 112-127 Downloads View citations (34)
  27. Forecasting inflation in an inflation targeting economy: structural versus nonstructural models
    Applied Economics, 2017, 49, (24), 2316-2321 Downloads
    See also Working Paper (2015)
  28. Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR
    Journal of Forecasting, 2017, 36, (6), 640-650 Downloads View citations (2)
    See also Working Paper (2015)
  29. Forecasting oil and stock returns with a Qual VAR using over 150years off data
    Energy Economics, 2017, 62, (C), 181-186 Downloads View citations (39)
    See also Working Paper (2015)
  30. Geopolitical risks and the oil-stock nexus over 1899–2016
    Finance Research Letters, 2017, 23, (C), 165-173 Downloads View citations (81)
    See also Working Paper (2017)
  31. Has the correlation of inflation and stock prices changed in the United States over the last two centuries?
    Research in International Business and Finance, 2017, 42, (C), 1-8 Downloads View citations (6)
  32. Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 178-191 Downloads View citations (73)
    See also Working Paper (2016)
  33. Income inequality: A complex network analysis of US states
    Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 423-437 Downloads View citations (1)
  34. International stock return predictability: Is the role of U.S. time-varying?
    Empirica, 2017, 44, (1), 121-146 Downloads View citations (24)
    See also Working Paper (2015)
  35. Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 133, (2), 543-560 Downloads View citations (5)
    See also Working Paper (2015)
  36. Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach
    Applied Economics, 2017, 49, (11), 1047-1054 Downloads View citations (17)
  37. Merger and acquisitions in South African banking: A network DEA model
    Research in International Business and Finance, 2017, 41, (C), 362-376 Downloads View citations (9)
    See also Working Paper (2016)
  38. Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
    Renewable and Sustainable Energy Reviews, 2017, 69, (C), 692-704 Downloads View citations (28)
  39. Near-Rational Expectations: How Far are Surveys from Rationality?
    Journal of Economics and Econometrics, 2017, 60, (1), 1-27 Downloads
    See also Working Paper (2017)
  40. Oil price shocks and China's economy: Reactions of the monetary policy to oil price shocks
    Energy Economics, 2017, 62, (C), 61-69 Downloads View citations (40)
    See also Working Paper (2014)
  41. On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test
    International Economics and Economic Policy, 2017, 14, (4), 691-700 Downloads View citations (9)
    See also Working Paper (2015)
  42. Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries
    Environmental & Resource Economics, 2017, 67, (4), 869-883 Downloads View citations (6)
  43. Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2017, 131, (1), 393-405 Downloads View citations (2)
    See also Working Paper (2015)
  44. South Africa’s economic response to monetary policy uncertainty
    Journal of Economic Studies, 2017, 44, (2), 282-293 Downloads View citations (5)
    See also Working Paper (2015)
  45. South Africa’s inflation persistence: a quantile regression framework
    Economic Change and Restructuring, 2017, 50, (4), 367-386 Downloads View citations (4)
  46. The Growth-Inflation Nexus for the U.S. from 1801 to 2013: A Semiparametric Approach
    Journal of Applied Economics, 2017, 20, (1), 105-120 Downloads
    Also in Journal of Applied Economics, 2017, 20, 105-120 (2017) Downloads
  47. The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis
    African Development Review, 2017, 29, (2), 319-336 Downloads View citations (25)
    See also Working Paper (2014)
  48. The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach
    Journal of Forecasting, 2017, 36, (2), 109-121 Downloads View citations (5)
    See also Working Paper (2019)
  49. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach
    Open Economies Review, 2017, 28, (1), 47-59 Downloads View citations (7)
    See also Working Paper (2016)
  50. The US real GNP is trend-stationary after all
    Applied Economics Letters, 2017, 24, (8), 510-514 Downloads View citations (8)
    See also Working Paper (2015)
  51. The depreciation of the pound post-Brexit: Could it have been predicted?
    Finance Research Letters, 2017, 21, (C), 206-213 Downloads View citations (9)
    See also Working Paper (2016)
  52. The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective
    Journal of Economics and Finance, 2017, 41, (4), 774-793 Downloads View citations (8)
    See also Working Paper (2016)
  53. The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach
    Resources Policy, 2017, 51, (C), 77-84 Downloads View citations (46)
  54. The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches
    International Review of Economics & Finance, 2017, 51, (C), 283-294 Downloads View citations (10)
    See also Working Paper (2016)
  55. The impact of US policy uncertainty on the monetary effectiveness in the Euro area
    Journal of Policy Modeling, 2017, 39, (6), 1052-1064 Downloads View citations (19)
  56. The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises
    The North American Journal of Economics and Finance, 2017, 42, (C), 640-653 Downloads View citations (30)
    See also Working Paper (2017)
  57. The nexus between military expenditures and economic growth in the BRICS and the US: an empirical note
    Defence and Peace Economics, 2017, 28, (5), 609-620 Downloads View citations (2)
  58. The relationship between population growth and standard-of-living growth over 1870–2013: evidence from a bootstrapped panel Granger causality test
    Empirica, 2017, 44, (1), 175-201 Downloads View citations (4)
    See also Working Paper (2016)
  59. The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
    Empirical Economics, 2017, 53, (3), 879-889 Downloads View citations (84)
    See also Working Paper (2015)
  60. The role of oil prices in the forecasts of South African interest rates: A Bayesian approach
    Energy Economics, 2017, 61, (C), 270-278 Downloads View citations (1)
    See also Working Paper (2016)
  61. The time-varying correlation between output and prices in the United States over the period 1800–2014
    Economic Systems, 2017, 41, (1), 98-108 Downloads View citations (2)
  62. Time-varying persistence in US inflation
    Empirical Economics, 2017, 53, (2), 423-439 Downloads View citations (5)
    See also Working Paper (2014)
  63. Time-varying persistence of inflation: evidence from a wavelet-based approach
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 18 Downloads View citations (2)
    See also Working Paper (2016)

2016

  1. A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2016, 10, 1-15 Downloads View citations (3)
    See also Working Paper (2016)
  2. A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices
    Applied Economics, 2016, 48, (31), 2895-2898 Downloads View citations (13)
    See also Working Paper (2015)
  3. AN APPLICATION OF A NEW SEASONAL UNIT ROOT TEST FOR TRENDING AND BREAKING SERIES TO INDUSTRIAL PRODUCTION OF THE BRICS
    Journal of Developing Areas, 2016, 50, (4), 183-194 Downloads
    See also Working Paper (2014)
  4. Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter
    Journal of Developing Areas, 2016, 50, (1), 47-57 Downloads View citations (7)
    See also Working Paper (2014)
  5. Are there housing bubbles in South Africa? Evidence from SPSM-based panel KSS test with a Fourier function
    Global Business and Economics Review, 2016, 18, (5), 517-532 Downloads View citations (1)
    See also Working Paper (2013)
  6. Can debt ceiling and government shutdown predict us real stock returns? A bootstrap rolling window approach. - Gli effetti sui rendimenti azionari reali negli USA del tetto del debito pubblico e del blocco della spesa
    Economia Internazionale / International Economics, 2016, 69, (1), 11-32 Downloads
  7. Causal Relationship between Asset Prices and Output in the United States: Evidence from the State-Level Panel Granger Causality Test
    Regional Studies, 2016, 50, (10), 1728-1741 Downloads View citations (17)
  8. Characterising the South African business cycle: is GDP difference-stationary or trend-stationary in a Markov-switching setup? - Il ciclo economico del Sud Africa: il PIL è stazion ario alle differenze o stazionario nel trend in un modello Markov-switching?
    Economia Internazionale / International Economics, 2016, 69, (1), 33-44 Downloads
  9. Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
    Panoeconomicus, 2016, 63, (3), 273-291 Downloads View citations (8)
    See also Working Paper (2014)
  10. Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test
    Open Economies Review, 2016, 27, (2), 229-250 Downloads View citations (76)
    See also Working Paper (2015)
  11. Does sunspot numbers cause global temperatures? A reconsideration using non-parametric causality tests
    Physica A: Statistical Mechanics and its Applications, 2016, 460, (C), 54-65 Downloads View citations (6)
    See also Working Paper (2014)
  12. Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test
    Resources Policy, 2016, 49, (C), 74-80 Downloads View citations (121)
    See also Working Paper (2015)
  13. Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note
    Atlantic Economic Journal, 2016, 44, (3), 377-386 Downloads View citations (17)
    See also Working Paper (2015)
  14. Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty, and the Macroeconomy
    Southern Economic Journal, 2016, 83, (2), 609-624 Downloads View citations (6)
    See also Working Paper (2015)
  15. Erratum to: Real estate returns predictability revisited: novel evidence from the US REITs market
    Empirical Economics, 2016, 51, (3), 1191-1191 Downloads View citations (28)
  16. Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns
    The Journal of Real Estate Finance and Economics, 2016, 52, (3), 226-243 Downloads View citations (22)
    See also Working Paper (2014)
  17. Forecasting South African inflation using non-linearmodels: a weighted loss-based evaluation
    Applied Economics, 2016, 48, (26), 2412-2427 Downloads View citations (1)
    See also Working Paper (2014)
  18. Forecasting US consumer price index: does nonlinearity matter?
    Applied Economics, 2016, 48, (46), 4462-4475 Downloads View citations (9)
  19. Forecasting US real private residential fixed investment using a large number of predictors
    Empirical Economics, 2016, 51, (4), 1557-1580 Downloads View citations (3)
    See also Working Paper (2014)
  20. Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
    Energy Economics, 2016, 56, (C), 117-133 Downloads View citations (74)
  21. Forecasting the South African inflation rate: On asymmetric loss and forecast rationality
    Economic Systems, 2016, 40, (1), 82-92 Downloads View citations (4)
    See also Working Paper (2014)
  22. Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching
    International Review of Economics & Finance, 2016, 45, (C), 559-571 Downloads View citations (35)
    See also Working Paper (2014)
  23. Hydroelectricity consumption and economic growth nexus: Evidence from a panel of ten largest hydroelectricity consumers
    Renewable and Sustainable Energy Reviews, 2016, 62, (C), 318-325 Downloads View citations (14)
    See also Working Paper (2015)
  24. Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis
    Finance Research Letters, 2016, 18, (C), 291-296 Downloads View citations (60)
    See also Working Paper (2015)
  25. Inflation forecasts and forecaster herding: Evidence from South African survey data
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2016, 62, (C), 42-50 Downloads View citations (5)
    See also Working Paper (2014)
  26. Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model
    Resources Policy, 2016, 48, (C), 77-84 Downloads View citations (36)
    See also Working Paper (2015)
  27. Is inflation persistence different in reality?
    Economics Letters, 2016, 148, (C), 55-58 Downloads View citations (9)
    See also Working Paper (2016)
  28. LPPLS bubble indicators over two centuries of the S&P 500 index
    Physica A: Statistical Mechanics and its Applications, 2016, 458, (C), 126-139 Downloads View citations (16)
    See also Working Paper (2016)
  29. Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
    International Review of Economics & Finance, 2016, 43, (C), 443-456 Downloads View citations (21)
    See also Working Paper (2016)
  30. Modeling persistence of carbon emission allowance prices
    Renewable and Sustainable Energy Reviews, 2016, 55, (C), 221-226 Downloads View citations (11)
    See also Working Paper (2015)
  31. On economic uncertainty, stock market predictability and nonlinear spillover effects
    The North American Journal of Economics and Finance, 2016, 36, (C), 184-191 Downloads View citations (41)
    See also Working Paper (2015)
  32. On international uncertainty links: BART-based empirical evidence for Canada
    Economics Letters, 2016, 143, (C), 24-27 Downloads View citations (25)
    See also Working Paper (2015)
  33. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors
    Emerging Markets Finance and Trade, 2016, 52, (8), 1935-1955 Downloads View citations (6)
    See also Working Paper (2011)
  34. Periodically collapsing bubbles in the South African stock market
    Research in International Business and Finance, 2016, 38, (C), 191-201 Downloads View citations (15)
    See also Working Paper (2016)
  35. Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013
    Applied Economics, 2016, 48, (34), 3244-3252 Downloads
    See also Working Paper (2014)
  36. Real estate returns predictability revisited: novel evidence from the US REITs market
    Empirical Economics, 2016, 51, (3), 1165-1190 Downloads View citations (29)
    See also Working Paper (2014)
  37. Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing
    Applied Economics, 2016, 48, (24), 2301-2308 Downloads View citations (18)
    See also Working Paper (2014)
  38. Stock price dynamics and the business cycle in an estimated DSGE model for South Africa
    Journal of International Financial Markets, Institutions and Money, 2016, 44, (C), 166-182 Downloads View citations (6)
    See also Working Paper (2014)
  39. Technical efficiency of Connecticut Long Island Sound lobster fishery: a nonparametric approach to aggregate frontier analysis
    Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2016, 81, (3), 1533-1548 Downloads View citations (2)
    See also Working Paper (2015)
  40. Testing for bubbles in the BRICS stock markets
    Journal of Economic Studies, 2016, 43, (4), 646-660 Downloads
  41. Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach
    Journal of International Financial Markets, Institutions and Money, 2016, 43, (C), 30-43 Downloads View citations (22)
    See also Working Paper (2014)
  42. The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach
    Emerging Markets Finance and Trade, 2016, 52, (3), 674-689 Downloads View citations (70)
    See also Working Paper (2013)
  43. The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach
    The Journal of International Trade & Economic Development, 2016, 25, (7), 978-991 Downloads View citations (2)
    See also Working Paper (2015)
  44. The Nonparametric Relationship between Oil and South African Agricultural Prices - La relazione nonparametrica tra il prezzo del petrolio e i prezzi dei prodotti agricoli in Sud Africa
    Economia Internazionale / International Economics, 2016, 69, (2), 93-112 Downloads
  45. The causal relationship between natural gas consumption and economic growth: evidence from the G7 countries
    Applied Economics Letters, 2016, 23, (1), 38-46 Downloads View citations (7)
    See also Working Paper (2013)
  46. The dynamic response of the rand real exchange rate to fundamental shocks
    Journal of Economic Studies, 2016, 43, (1), 108-121 Downloads
  47. The relationship between oil and agricultural commodity prices in South Africa: A quantile causality approach
    Journal of Developing Areas, 2016, 50, (3), 93-107 Downloads View citations (4)
    Also in Journal of Developing Areas, 2016, 50, (2), 137-152 (2016) Downloads View citations (4)
  48. The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2016, 10, 1-20 Downloads View citations (34)
    See also Working Paper (2016)
  49. Time series analysis of persistence in crude oil price volatility across bull and bear regimes
    Energy, 2016, 109, (C), 29-37 Downloads View citations (33)
    See also Working Paper (2015)
  50. Time series effects of dissolved oxygen and nitrogen on Long Island Sound lobster harvest
    Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2016, 84, (3), 1849-1858 Downloads
  51. Time-frequency relationship between US output with commodity and asset prices
    Applied Economics, 2016, 48, (3), 227-242 Downloads View citations (8)
    See also Working Paper (2015)
  52. Trust and quality of growth: a note
    Economics Bulletin, 2016, 36, (3), 1854-1867 Downloads View citations (8)
    See also Working Paper (2015)
  53. Uncertainty and crude oil returns
    Energy Economics, 2016, 55, (C), 92-100 Downloads View citations (129)
    See also Working Paper (2015)

2015

  1. Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function
    Applied Economics, 2015, 47, (1), 32-53 Downloads View citations (5)
    See also Working Paper (2013)
  2. Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test
    Economic Systems, 2015, 39, (2), 288-300 Downloads View citations (49)
    See also Working Paper (2013)
  3. Are there long-run diversification gains from the Dow Jones Islamic finance index?
    Applied Economics Letters, 2015, 22, (12), 945-950 Downloads View citations (6)
    See also Working Paper (2014)
  4. Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?
    Renewable and Sustainable Energy Reviews, 2015, 52, (C), 19-23 Downloads View citations (12)
    See also Working Paper (2014)
  5. CONVERGENCE IN PROVINCIAL-LEVEL SOUTH AFRICAN HOUSE PRICES: EVIDENCE FROM THE CLUB CONVERGENCE AND CLUSTERING PROCEDURE
    Review of Urban & Regional Development Studies, 2015, 27, (1), 2-17 Downloads View citations (10)
    See also Working Paper (2013)
  6. Can We Beat the Random-Walk Model for the South African Rand–U.S. Dollar and South African Rand–UK Pound Exchange Rates? Evidence from Dynamic Model Averaging
    Emerging Markets Finance and Trade, 2015, 51, (3), 502-524 Downloads View citations (3)
  7. Causal Link between Oil Price and Uncertainty in India - Relazione di causalità tra prezzo del petrolio e incertezza in India
    Economia Internazionale / International Economics, 2015, 68, (4), 437-450 Downloads
  8. Causality Between Us Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
    Journal of Applied Economics, 2015, 18, (2), 225-246 Downloads View citations (13)
    Also in Journal of Applied Economics, 2015, 18, 225-246 (2015) Downloads View citations (23)

    See also Working Paper (2013)
  9. Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests
    Journal of Developing Areas, 2015, 49, (2), 163-181 Downloads View citations (15)
    See also Working Paper (2013)
  10. Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model
    Emerging Markets Review, 2015, 24, (C), 46-68 Downloads View citations (14)
    See also Working Paper (2014)
  11. Causality between research output and economic growth in BRICS
    Quality & Quantity: International Journal of Methodology, 2015, 49, (1), 167-176 Downloads View citations (11)
    See also Working Paper (2013)
  12. Comovement in Euro area housing prices: A fractional cointegration approach
    Urban Studies, 2015, 52, (16), 3123-3143 Downloads View citations (13)
    See also Working Paper (2013)
  13. Convergence of greenhouse gas emissions among G7 countries
    Applied Economics, 2015, 47, (60), 6543-6552 Downloads View citations (9)
    See also Working Paper (2013)
  14. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
    Applied Economics, 2015, 47, (3), 207-221 Downloads View citations (4)
    See also Working Paper (2015)
  15. Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-varying Vector Autoregressive Model
    Journal of Emerging Market Finance, 2015, 14, (2), 176-196 Downloads View citations (12)
    See also Working Paper (2012)
  16. Do commodity investors herd? Evidence from a time-varying stochastic volatility model
    Resources Policy, 2015, 46, (P2), 281-287 Downloads View citations (13)
  17. Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test
    Applied Economics, 2015, 47, (8), 798-808 Downloads View citations (7)
    See also Working Paper (2013)
  18. Do we need a global VAR model to forecast inflation and output in South Africa?
    Applied Economics, 2015, 47, (25), 2649-2670 Downloads View citations (4)
    See also Working Paper (2013)
  19. Does the Price of Oil Help Predict Inflation in South Africa? Historical Evidence Using a Frequency Domain Approach. - Il prezzo del petrolio predice l’inflazione in Sud Africa? Evidenza storica attraverso l’utilizzo di un approccio basato sulla frequenza
    Economia Internazionale / International Economics, 2015, 68, (4), 451-467 Downloads
  20. Energy efficiency of selected OECD countries: A slacks based model with undesirable outputs
    Energy Economics, 2015, 51, (C), 45-53 Downloads View citations (51)
    See also Working Paper (2014)
  21. Forecasting US real house price returns over 1831-2013: evidence from copula models
    Applied Economics, 2015, 47, (48), 5204-5213 Downloads View citations (8)
    See also Working Paper (2014)
  22. Forecasting aggregate retail sales: The case of South Africa
    International Journal of Production Economics, 2015, 160, (C), 66-79 Downloads View citations (11)
    See also Working Paper (2014)
  23. Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model
    Economic Modelling, 2015, 44, (C), 215-228 Downloads View citations (12)
  24. Forecasting the U.S. real house price index
    Economic Modelling, 2015, 45, (C), 259-267 Downloads View citations (8)
    See also Working Paper (2017)
  25. Forecasting the price of gold
    Applied Economics, 2015, 47, (39), 4141-4152 Downloads View citations (53)
    See also Working Paper (2014)
  26. Forecasting the price of gold using dynamic model averaging
    International Review of Financial Analysis, 2015, 41, (C), 257-266 Downloads View citations (60)
    See also Working Paper (2014)
  27. Guest Editor’s Introduction
    Emerging Markets Finance and Trade, 2015, 51, (3), 445-447 Downloads
  28. Has oil price predicted stock returns for over a century?
    Energy Economics, 2015, 48, (C), 18-23 Downloads View citations (222)
    See also Working Paper (2015)
  29. Herding behavior in real estate markets: Novel evidence from a Markov-switching model
    Journal of Behavioral and Experimental Finance, 2015, 8, (C), 40-43 Downloads View citations (22)
  30. Identifying an index of financial conditions for South Africa
    Studies in Economics and Finance, 2015, 32, (2), 256-274 Downloads
  31. Is there an Environmental Kuznets Curve for South Africa? A co-summability approach using a century of data
    Energy Economics, 2015, 52, (PA), 136-141 Downloads View citations (18)
    See also Working Paper (2014)
  32. Oil price forecastability and economic uncertainty
    Economics Letters, 2015, 132, (C), 125-128 Downloads View citations (55)
    See also Working Paper (2015)
  33. Oil prices and financial stress: A volatility spillover analysis
    Energy Policy, 2015, 82, (C), 278-288 Downloads View citations (82)
  34. Panel Granger causality between oil consumption and GDP: evidence from BRICS countries
    International Journal of Sustainable Economy, 2015, 7, (1), 30-41 Downloads View citations (1)
    See also Working Paper (2013)
  35. Persistence of precious metal prices: A fractional integration approach with structural breaks
    Resources Policy, 2015, 44, (C), 57-64 Downloads View citations (36)
    See also Working Paper (2015)
  36. Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
    Economics Letters, 2015, 131, (C), 83-85 Downloads View citations (8)
    See also Working Paper (2015)
  37. Regime switching model of US crude oil and stock market prices: 1859 to 2013
    Energy Economics, 2015, 49, (C), 317-327 Downloads View citations (94)
    See also Working Paper (2014)
  38. Renewable energy and growth: Evidence from heterogeneous panel of G7 countries using Granger causality
    Renewable and Sustainable Energy Reviews, 2015, 52, (C), 1405-1412 Downloads View citations (67)
  39. Revisiting the causality between electricity consumption and economic growth in South Africa: a bootstrap rolling-window approach
    International Journal of Economic Policy in Emerging Economies, 2015, 8, (2), 169-190 Downloads View citations (12)
    See also Working Paper (2013)
  40. Temporal causality between house prices and output in the US: A bootstrap rolling-window approach
    The North American Journal of Economics and Finance, 2015, 33, (C), 55-73 Downloads View citations (71)
    See also Working Paper (2013)
  41. Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa
    Emerging Markets Finance and Trade, 2015, 51, (3), 486-501 Downloads View citations (5)
    See also Working Paper (2013)
  42. The Impact of Exchange Rate Uncertainty on Exports in South Africa
    Journal of International Commerce, Economics and Policy (JICEP), 2015, 06, (01), 1-14 Downloads View citations (9)
  43. The Macroeconomic Effects of Uncertainty Shocks in India - Gli effetti macroeconomici degli shock di incertezza in India
    Economia Internazionale / International Economics, 2015, 68, (3), 373-383 Downloads
  44. The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains
    International Review of Economics & Finance, 2015, 38, (C), 220-233 Downloads View citations (51)
  45. The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US
    Applied Economics, 2015, 47, (22), 2259-2277 Downloads View citations (14)
    See also Working Paper (2012)
  46. Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity - Causalità time-varying tra petrolio e prezzi delle materie prime in presenza di break strutturali e di non-linearità
    Economia Internazionale / International Economics, 2015, 68, (4), 469-491 Downloads
  47. Time-Varying Effects of Housing and Stock Returns on U.S. Consumption
    The Journal of Real Estate Finance and Economics, 2015, 50, (3), 339-354 Downloads View citations (26)
  48. Trends and cycles in historical gold and silver prices
    Journal of International Money and Finance, 2015, 58, (C), 98-109 Downloads View citations (13)
    See also Working Paper (2016)
  49. US inflation dynamics on long-range data
    Applied Economics, 2015, 47, (36), 3874-3890 Downloads View citations (7)
    See also Working Paper (2015)
  50. Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test
    Applied Economics, 2015, 47, (46), 4996-5011 Downloads View citations (40)
    See also Working Paper (2013)
  51. Was the recent downturn in US real GDP predictable?
    Applied Economics, 2015, 47, (28), 2985-3007 Downloads View citations (4)

2014

  1. A time-varying approach to analysing fiscal policy and asset prices in South Africa
    Journal of Financial Economic Policy, 2014, 6, (1), 46-63 Downloads
    See also Working Paper (2013)
  2. Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 367-378 Downloads View citations (52)
    See also Working Paper (2014)
  3. Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions
    The North American Journal of Economics and Finance, 2014, 29, (C), 22-35 Downloads View citations (20)
  4. Dutch disease effect of oil rents on agriculture value added in Middle East and North African (MENA) countries
    Energy Economics, 2014, 45, (C), 485-490 Downloads View citations (39)
  5. Fiscal Policy Shocks and the Dynamics of Asset Prices
    Public Finance Review, 2014, 42, (4), 511-531 Downloads View citations (5)
  6. Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty
    The North American Journal of Economics and Finance, 2014, 28, (C), 170-189 Downloads View citations (20)
    See also Working Paper (2013)
  7. GENETIC DIVERSITY ANALYSIS OF RICE (Oryza sativa L.) LANDRACES THROUGH RAPD MARKERS
    International Journal of Agricultural Research, Innovation and Technology (IJARIT), 2014, 04, (1) Downloads
  8. Housing and the Great Depression
    Applied Economics, 2014, 46, (24), 2966-2981 Downloads View citations (27)
    See also Working Paper (2013)
  9. Housing and the business cycle in South Africa
    Journal of Policy Modeling, 2014, 36, (3), 471-491 Downloads View citations (11)
    See also Working Paper (2014)
  10. Intertemporal portfolio allocation and hedging demand: an application to South Africa
    Journal of Business Economics and Management, 2014, 15, (4), 744-775 Downloads View citations (1)
    See also Working Paper (2011)
  11. Military expenditure, economic growth and structural instability: a case study of South Africa
    Defence and Peace Economics, 2014, 25, (6), 619-633 Downloads View citations (16)
    See also Working Paper (2013)
  12. Oil price uncertainty and manufacturing production
    Energy Economics, 2014, 43, (C), 41-47 Downloads View citations (39)
  13. Persistence and cycles in historical oil price data
    Energy Economics, 2014, 45, (C), 511-516 Downloads View citations (18)
    See also Working Paper (2013)
  14. Real interest rate persistence in South Africa: evidence and implications
    Economic Change and Restructuring, 2014, 47, (1), 41-62 Downloads View citations (5)
    See also Working Paper (2012)
  15. Reconsidering the welfare cost of inflation in the US: a nonparametric estimation of the nonlinear long-run money-demand equation using projection pursuit regressions
    Empirical Economics, 2014, 46, (4), 1221-1240 Downloads View citations (5)
    See also Working Paper (2011)
  16. Tax evasion, financial development and inflation: Theory and empirical evidence
    Journal of Banking & Finance, 2014, 41, (C), 194-208 Downloads View citations (35)
    See also Working Paper (2013)
  17. Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries
    Applied Economics, 2014, 46, (18), 2127-2138 Downloads View citations (13)
    See also Working Paper (2013)
  18. The causal relationship between house prices and growth in the nine provinces of South Africa: evidence from panel - Granger causality tests
    International Journal of Sustainable Economy, 2014, 6, (4), 345-358 Downloads View citations (4)
  19. The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries
    Energy Policy, 2014, 66, (C), 359-368 Downloads View citations (156)
    See also Working Paper (2013)
  20. Time-varying causality between research output and economic growth in US
    Scientometrics, 2014, 100, (1), 203-216 Downloads View citations (23)
    See also Working Paper (2013)
  21. Time-varying linkages between tourism receipts and economic growth in South Africa
    Applied Economics, 2014, 46, (36), 4381-4398 Downloads View citations (18)
    See also Working Paper (2013)
  22. Using large data sets to forecast sectoral employment
    Statistical Methods & Applications, 2014, 23, (2), 229-264 Downloads View citations (2)
    See also Working Paper (2012)

2013

  1. A DSGE-VAR model for forecasting key South African macroeconomic variables
    Economic Modelling, 2013, 33, (C), 19-33 Downloads View citations (26)
  2. Does the source of oil price shocks matter for South African stock returns? A structural VAR approach
    Energy Economics, 2013, 40, (C), 825-831 Downloads View citations (70)
    See also Working Paper (2013)
  3. Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes
    Empirical Economics, 2013, 44, (2), 387-417 Downloads View citations (1)
    See also Working Paper (2011)
  4. Forecasting house prices for the four census regions and the aggregate US economy in a data-rich environment
    Applied Economics, 2013, 45, (33), 4677-4697 Downloads View citations (11)
  5. Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model
    Economic Modelling, 2013, 32, (C), 161-171 Downloads View citations (19)
  6. Macroeconomic Variables and South African Stock Return Predictability
    Economic Modelling, 2013, 30, (C), 612-622 Downloads View citations (25)
    See also Working Paper (2011)
  7. Macroeconomic surprises and stock returns in South Africa
    Studies in Economics and Finance, 2013, 30, (3), 266-282 Downloads
    See also Working Paper (2012)
  8. Metropolitan House Prices In Regions of India: Do They Converge?
    Regional and Sectoral Economic Studies, 2013, 13, (1), 135-144 Downloads View citations (2)
  9. Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
    Contemporary Economics, 2013, 7, (1) Downloads View citations (14)
    See also Working Paper (2011)
  10. The Impact of House Prices on Consumption in South Africa: Evidence from Provincial-Level Panel VARs
    Housing Studies, 2013, 28, (8), 1133-1154 Downloads View citations (16)
    See also Working Paper (2012)
  11. The Role of Asset Prices in Forecasting Inflation and Output in South Africa
    Journal of Emerging Market Finance, 2013, 12, (3), 239-291 Downloads View citations (30)
    See also Working Paper (2011)
  12. The causal relationship between exports and economic growth in the nine provinces of South Africa: evidence from panel-Granger causality test
    International Journal of Economic Policy in Emerging Economies, 2013, 6, (3), 296-310 Downloads View citations (5)
    See also Working Paper (2013)
  13. The long-run impact of inflation in South Africa
    Journal of Policy Modeling, 2013, 35, (5), 798-812 Downloads View citations (10)
    See also Working Paper (2010)
  14. The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
    European Journal of Comparative Economics, 2013, 10, (1), 121-148 Downloads View citations (1)
    See also Working Paper (2013)
  15. ‘Ripple’ Effects in South African House Prices
    Urban Studies, 2013, 50, (5), 876-894 Downloads View citations (14)

2012

  1. Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application of Saphe Cracking
    Journal of Developing Areas, 2012, 46, (1), 45-54 Downloads View citations (9)
    See also Working Paper (2009)
  2. Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure
    Applied Economics Quarterly (formerly: Konjunkturpolitik), 2012, 58, (1), 19-70 Downloads View citations (25)
    See also Working Paper (2012)
  3. Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”
    Applied Econometrics and International Development, 2012, 12, (2) Downloads View citations (6)
    See also Working Paper (2012)
  4. South African stock return predictability in the context data mining: The role of financial variables and international stock returns
    Economic Modelling, 2012, 29, (3), 908-916 Downloads View citations (22)
    See also Working Paper (2010)
  5. Structural breaks and GARCH models of stock return volatility: The case of South Africa
    Economic Modelling, 2012, 29, (6), 2435-2443 Downloads View citations (23)
    See also Working Paper (2010)
  6. THE EFFECTS OF MONETARY POLICY ON REAL FARM PRICES IN SOUTH AFRICA
    Regional and Sectoral Economic Studies, 2012, 12, (1), 147-158 Downloads
    See also Working Paper (2011)
  7. The Time-Series Properties of House Prices: A Case Study of the Southern California Market
    The Journal of Real Estate Finance and Economics, 2012, 44, (3), 339-361 Downloads View citations (30)
    See also Working Paper (2009)
  8. Valuation Ratios and Stock Return Predictability in South Africa: Is It There?
    Emerging Markets Finance and Trade, 2012, 48, (1), 70-82 Downloads View citations (3)
  9. “Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix
    The Annals of Regional Science, 2012, 48, (3), 763-782 Downloads View citations (27)
    See also Working Paper (2009)

2011

  1. A large factor model for forecasting macroeconomic variables in South Africa
    International Journal of Forecasting, 2011, 27, (4), 1076-1088 Downloads View citations (26)
  2. An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa
    Economic Modelling, 2011, 28, (3), 891-899 Downloads View citations (20)
    See also Working Paper (2010)
  3. Currency Substitution and Financial Repression
    International Economic Journal, 2011, 25, (1), 47-61 Downloads
    See also Working Paper (2008)
  4. Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs
    Indian Economic Review, 2011, 46, (1), 23-40 View citations (2)
    See also Working Paper (2008)
  5. Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
    Journal of Forecasting, 2011, 30, (2), 288-302 Downloads View citations (14)
  6. Forecasting the US real house price index: Structural and non-structural models with and without fundamentals
    Economic Modelling, 2011, 28, (4), 2013-2021 Downloads View citations (39)
    See also Working Paper (2010)
  7. Growth-Effects of Inflation Targeting: The Role of Financial Sector Development
    Annals of Economics and Finance, 2011, 12, (1), 65-87 Downloads View citations (3)
    See also Working Paper (2006)
  8. Is the Permanent Income Hypothesis Really Well-Suited for Forecasting&quest
    Eastern Economic Journal, 2011, 37, (2), 165-177 Downloads View citations (1)
  9. The long-run relationship between inflation and real stock prices: empirical evidence from South Africa
    Journal of Business Economics and Management, 2011, 13, (4), 600-613 Downloads View citations (3)
    See also Working Paper (2010)

2010

  1. CONVERGENCE OF METROPOLITAN HOUSE PRICES IN SOUTH AFRICA: A RE-EXAMINATION USING EFFICIENT UNIT ROOT TESTS
    Applied Econometrics and International Development, 2010, 10, (1) Downloads View citations (11)
    See also Working Paper (2009)
  2. DYNAMIC TIME INCONSISTENCY AND THE SOUTH AFRICAN RESERVE BANK
    South African Journal of Economics, 2010, 78, (1), 76-88 Downloads View citations (6)
  3. Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
    The IUP Journal of Monetary Economics, 2010, VIII, (1 & 2), 77-112
    See also Working Paper (2008)
  4. Financial Liberalization and the Effectiveness of Monetary Policy on House Prices in South Africa
    The IUP Journal of Monetary Economics, 2010, VIII, (4), 59-74 View citations (21)
    See also Working Paper (2008)
  5. Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models
    Journal of Forecasting, 2010, 29, (1-2), 168-185 Downloads View citations (43)
    See also Working Paper (2008)
  6. Forecasting the South African economy: a hybrid‐DSGE approach
    Journal of Economic Studies, 2010, 37, (2), 181-195 Downloads
  7. Has the SARB become more effective post inflation targeting?
    Economic Change and Restructuring, 2010, 43, (3), 187-204 Downloads View citations (10)
    See also Working Paper (2009)
  8. Loan Portfolio Conditional Loss Estimation Using an Error-Correcting Macroeconometric Model
    The African Finance Journal, 2010, 12, (2), 28-49 Downloads View citations (1)
  9. Optimal public policy with endogenous mortality
    Journal of Economic Policy Reform, 2010, 13, (3), 241-249 Downloads
    See also Working Paper (2008)
  10. Predicting Downturns in the US Housing Market: A Bayesian Approach
    The Journal of Real Estate Finance and Economics, 2010, 41, (3), 294-319 Downloads View citations (26)
    See also Working Paper (2008)
  11. Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting
    Annals of Economics and Finance, 2010, 11, (1), 139-153 Downloads View citations (12)
    See also Working Paper (2010)
  12. THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
    Defence and Peace Economics, 2010, 21, (2), 135-147 Downloads View citations (11)
    See also Working Paper (2009)
  13. The effect of monetary policy on house price inflation
    Journal of Economic Studies, 2010, 37, (6), 616-626 Downloads
  14. The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach
    Economic Modelling, 2010, 27, (1), 315-323 Downloads View citations (68)
    See also Working Paper (2009)

2009

  1. A New-Keynesian DSGE model for forecasting the South African economy
    Journal of Forecasting, 2009, 28, (5), 387-404 Downloads View citations (25)
    See also Working Paper (2008)
  2. An Endogenous Growth Model of a Financially Repressed Small Open Economy
    International Economic Journal, 2009, 23, (1), 143-161 Downloads View citations (1)
    See also Working Paper (2006)
  3. BAYESIAN METHODS OF FORECASTING INVENTORY INVESTMENT
    South African Journal of Economics, 2009, 77, (1), 113-126 Downloads View citations (4)
  4. Could we have predicted the recent downturn in the South African housing market?
    Journal of Housing Economics, 2009, 18, (4), 325-335 Downloads View citations (29)
    See also Working Paper (2008)
  5. Financial Liberalization and a Possible Growth-Inflation Trade-Off
    Indian Economic Review, 2009, 44, (1), 1-19 View citations (2)
    See also Working Paper (2006)
  6. Half-Life Deviations from PPP in the South African Development Community (SADC)
    Applied Econometrics and International Development, 2009, 9, (1) Downloads View citations (3)
  7. Linking global economic dynamics to a South African-specific credit risk correlation model
    Economic Modelling, 2009, 26, (5), 1000-1011 Downloads View citations (11)
    See also Working Paper (2007)
  8. Market Microstructure Approach to the Exchange Rate Determination Puzzle
    The IUP Journal of Monetary Economics, 2009, VII, (3-4), 101-115 View citations (2)
    See also Working Paper (2008)
  9. TESTING FOR FRACTIONAL INTEGRATION IN SOUTHERN AFRICAN DEVELOPMENT COMMUNITY REAL EXCHANGE RATES
    South African Journal of Economics, 2009, 77, (4), 531-537 Downloads View citations (1)
  10. TESTING FOR PPP USING SADC REAL EXCHANGE RATES
    South African Journal of Economics, 2009, 77, (3), 351-362 Downloads View citations (7)
    See also Working Paper (2008)
  11. Tax evasion and financial repression: a reconsideration using endogenous growth models
    Journal of Economic Studies, 2009, 36, (6), 660-674 Downloads
    See also Working Paper (2008)
  12. Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
    Studies in Economics and Econometrics, 2009, 33, (1), 16-27 Downloads
    See also Working Paper (2008)
  13. Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
    Studies in Economics and Econometrics, 2009, 33, (3), 95-109 Downloads
    See also Working Paper (2008)

2008

  1. Costly Tax Enforcement and Financial Repression
    Economic Notes, 2008, 37, (2), 141-154 Downloads View citations (6)
    See also Working Paper (2008)
  2. Financial Liberalization: A Myth or a Miracle Cure?
    The IUP Journal of Monetary Economics, 2008, VI, (1), 6-33 View citations (3)
    See also Working Paper (2005)
  3. MEASURING THE WELFARE COST OF INFLATION IN SOUTH AFRICA
    South African Journal of Economics, 2008, 76, (1), 16-25 Downloads View citations (6)
    See also Working Paper (2008)
  4. Modeling and Forecasting the Metical-Rand Exchange Rate
    The IUP Journal of Monetary Economics, 2008, VI, (4), 63-90 View citations (3)
    See also Working Paper (2007)
  5. Modelling South African grain farmers’ preferences to adopt derivative contracts using discrete choice models
    Agrekon, 2008, 47, (2), 18 Downloads View citations (3)
  6. SPATIAL BAYESIAN METHODS OF FORECASTING HOUSE PRICES IN SIX METROPOLITAN AREAS OF SOUTH AFRICA
    South African Journal of Economics, 2008, 76, (2), 298-313 Downloads View citations (23)
    See also Working Paper (2008)
  7. Tax evasion and financial repression
    Journal of Economics and Business, 2008, 60, (6), 517-535 Downloads View citations (17)
    See also Working Paper (2007)

2007

  1. A SMALL‐SCALE DSGE MODEL FOR FORECASTING THE SOUTH AFRICAN ECONOMY
    South African Journal of Economics, 2007, 75, (2), 179-193 Downloads View citations (39)
    See also Working Paper (2006)
  2. FORECASTING THE SOUTH AFRICAN ECONOMY WITH GIBBS SAMPLED BVECMs
    South African Journal of Economics, 2007, 75, (4), 631-643 Downloads View citations (9)
    See also Working Paper (2007)
  3. Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
    International Economic Journal, 2007, 21, (3), 335-360 Downloads
    See also Working Paper (2005)
  4. Financial Liberalization and the Dynamics of Inflation, Nominal Exchange Rate, and Terms of Trade
    Indian Economic Review, 2007, 42, (2), 165-176
    See also Working Paper (2005)

2006

  1. A BVAR MODEL FOR THE SOUTH AFRICAN ECONOMY
    South African Journal of Economics, 2006, 74, (3), 391-409 Downloads View citations (19)
    See also Working Paper (2006)
  2. Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
    The IUP Journal of Monetary Economics, 2006, IV, (1), 75 - 89 View citations (4)
    See also Working Paper (2005)
  3. FORECASTING THE SOUTH AFRICAN ECONOMY WITH VARs AND VECMs
    South African Journal of Economics, 2006, 74, (4), 611-628 Downloads View citations (26)
    See also Working Paper (2006)

2005

  1. Costly State Monitoring and Reserve Requirements
    Annals of Economics and Finance, 2005, 6, (2), 263-288 Downloads View citations (8)
    See also Working Paper (2005)

Chapters

2022

  1. The effect of macroeconomic uncertainty on housing returns and volatility: evidence from US state-level data
    Chapter 8 in Handbook of Real Estate and Macroeconomics, 2022, pp 206-238 Downloads
    See also Working Paper (2021)
 
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