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 2025-03-13. Update your information in the RePEc Author Service.

Short-id: pgu80

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Working Papers

2025

1. Analysing the Predictability of Climate Risks on the Conditional Distributions of Bank Returns and Volatility: An International Perspective
   Working Papers, University of Pretoria, Department of Economics
2. Climate Risks and Predictability of Financial Risks in the US Banking Sector
   Working Papers, University of Pretoria, Department of Economics
3. Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures
   Working Papers, University of Pretoria, Department of Economics
4. Paradox of Sustainable Agricultural Policy Under Climate Change in South Africa: The Whys? and What-Ifs!
   Working Papers, University of Pretoria, Department of Economics
5. Shortages and Machine-Learning Forecasting of Oil Returns Volatility: 1900-2024
   Working Papers, University of Pretoria, Department of Economics
6. Supply Disruptions and Predictability of Oil Returns Volatility: A GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics
7. The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics
8. Unveiling True Connectedness in US State-Level Stock Markets: The Role of Common Factors
   Working Papers, University of Pretoria, Department of Economics

2024

9. A Note on Oil Consumption and Growth: The Role of Greenhouse Gases Emissions
   Working Papers, University of Pretoria, Department of Economics
10. Assessing the Growth-Enhancing Effect of State Contingent Debt Instruments
    Working Papers, University of Pretoria, Department of Economics
11. Can Municipal Bonds Hedge US State-Level Climate Risks?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Can municipal bonds hedge US state-level climate risks?, Finance Research Letters, Elsevier (2024) View citations (1) (2024)
12. Climate Change and Growth Dynamics
    Working Papers, University of Pretoria, Department of Economics
13. Climate Policy Uncertainty and Financial Stress: Evidence for China
    Working Papers, University of Pretoria, Department of Economics
14. Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging
    Working Papers, University of Pretoria, Department of Economics
15. Climate Risks and Prediction of Sectoral REITs Volatility: International Evidence
    Working Papers, University of Pretoria, Department of Economics
16. Climate Risks and Real Gold Returns over 750 Years
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Climate Risks and Real Gold Returns over 750 Years, Forecasting, MDPI (2024) (2024)
17. Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data
    Working Papers, University of Pretoria, Department of Economics
18. Does Climate Affect Investments? Evidence from Firms in the United States
    Working Papers, University of Pretoria, Department of Economics
19. Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?
    Working Papers, University of Pretoria, Department of Economics View citations (1)
20. Economic Policy Uncertainty and Bank-Level Stock Returns Volatility of the United States: A Mixed-Frequency Perspective
    Working Papers, University of Pretoria, Department of Economics
21. Effects of Climate Risks on Financial Stress: Evidence from Asia-Pacific Countries
    Working Papers, University of Pretoria, Department of Economics
22. Effects of Energy Consumption, Agricultural Trade and Productivity on Carbon Emissions in Nigeria: A Quantile Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Effects of Energy Consumption, Agricultural Trade, and Productivity on Carbon Emissions in Nigeria: A Quantile Regression Approach, Commodities, MDPI (2024) (2024)
23. Energy Market Uncertainties and Exchange Rate Volatility: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Energy market uncertainties and exchange rate volatility: A GARCH-MIDAS approach, Finance Research Letters, Elsevier (2024) (2024)
24. Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
25. Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
26. Extreme Weather Shocks and State-Level Inflation of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Extreme weather shocks and state-level inflation of the United States, Economics Letters, Elsevier (2024) (2024)
27. Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection
    Working Papers, University of Pretoria, Department of Economics View citations (1)
28. Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments
    Working Papers, University of Pretoria, Department of Economics
29. Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention
    Working Papers, University of Pretoria, Department of Economics
30. Forecasting Real Housing Price Returns of the United States using Machine Learning: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
31. Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?
    Working Papers, University of Pretoria, Department of Economics
32. Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
33. Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments, Finance Research Letters, Elsevier (2024) (2024)
34. GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables
    Working Papers, University of Pretoria, Department of Economics
    Also in Papers, arXiv.org (2024)
35. Gasoline Prices and Presidential Approval Ratings of the United States
    Working Papers, University of Pretoria, Department of Economics
36. Geopolitical Risks and Oil Returns Volatility: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
37. How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article How connected is the oil-bank network? Firm-level and high-frequency evidence, Energy Economics, Elsevier (2024) (2024)
38. Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis
    Working Papers, University of Pretoria, Department of Economics
    Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2024)
39. Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Long-span multi-layer spillovers between moments of advanced equity markets: The role of climate risks, Research in International Business and Finance, Elsevier (2025) (2025)
40. Modeling the Presidential Approval Ratings of the United States using Machine-Learning: Does Climate Policy Uncertainty Matter?
    Working Papers, University of Pretoria, Department of Economics
41. Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices, Mathematics, MDPI (2024) View citations (1) (2024)
42. Oil Price Shocks and the Connectedness of US State-Level Financial Markets
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Oil price shocks and the connectedness of US state-level financial markets, Energy Economics, Elsevier (2025) (2025)
43. Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes
    Working Papers, University of Pretoria, Department of Economics
44. Political ``Color" and the Impact of Climate Risks on Output Growth: Evidence from a Panel of US States
    Working Papers, University of Pretoria, Department of Economics
45. Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
46. Prediction of the Conditional Distribution of Daily International Stock Returns Volatility: The Role of (Conventional and Unconventional) Monetary Policies
    Working Papers, University of Pretoria, Department of Economics
47. Presidential Approval Ratings and Stock Market Performance in Latin America
    Working Papers, University of Pretoria, Department of Economics
48. Presidential Politics and Investor Behavior in the Stock Market: Evidence from a Century of Stock Market Data
    Working Papers, University of Pretoria, Department of Economics
49. Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis
    Working Papers, University of Pretoria, Department of Economics
50. Role of Inflation and Exchange Rates in Shaping the Country's Food Security Landscape: Nigeria's Food Price Puzzle
    Working Papers, University of Pretoria, Department of Economics View citations (1)
51. Socio-Spatial Features of Neighbourhoods Supporting Social Interaction between Locals and Migrants in Peri-Urban China
    Working Papers, University of Pretoria, Department of Economics
52. Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Supply chain constraints and the predictability of the conditional distribution of international stock market returns and volatility, Economics Letters, Elsevier (2025) View citations (1) (2025)
53. The Effects of Uncertainty on Economic Conditions across US States: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
54. Time-Variation in the Persistence of Carbon Price Uncertainty: The Role of Carbon Policy Uncertainty
    Working Papers, University of Pretoria, Department of Economics
55. Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets
    Working Papers, University of Pretoria, Department of Economics

2023

56. Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics
57. Comparing Risk Profiles of International Stock Markets as Functional Data: COVID-19 versus the Global Financial Crisis
    Working Papers, University of Pretoria, Department of Economics
58. Drivers of Realized Volatility for South Africa (and the BRIC Countries): Fundamentals versus Sentiment
    Working Papers, University of Pretoria, Department of Economics
59. Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model
    Working Papers, University of Pretoria, Department of Economics
60. Effect of Temperature on the Spread of Contagious Diseases: Evidence from over 2000 Years of Data
    Working Papers, University of Pretoria, Department of Economics
61. Energy-Related Uncertainty and International Stock Market Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Energy-related uncertainty and international stock market volatility, The Quarterly Review of Economics and Finance, Elsevier (2024) View citations (3) (2024)
62. Financial Stress and Realized Volatility: The Case of Agricultural Commodities
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Financial stress and realized volatility: The case of agricultural commodities, Research in International Business and Finance, Elsevier (2024) (2024)
63. Fiscal Policy and Stock Markets at the Effective Lower Bound
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Fiscal policy and stock markets at the effective lower bound, Finance Research Letters, Elsevier (2023) (2023)
64. Forecasting International Financial Stress: The Role of Climate Risks
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Forecasting international financial stress: The role of climate risks, Journal of International Financial Markets, Institutions and Money, Elsevier (2024) View citations (8) (2024)
65. Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models
    Working Papers, University of Pretoria, Department of Economics
66. Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Forecasting the conditional distribution of realized volatility of oil price returns: The role of skewness over 1859 to 2023, Finance Research Letters, Elsevier (2023) View citations (3) (2023)
67. Forecasting the Realized Volatility of Agricultural Commodity Prices: Does Sentiment Matter?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter?, Journal of Forecasting, John Wiley & Sons, Ltd. (2024) View citations (4) (2024)
68. Geopolitical Risk and Inflation Spillovers across European and North American Economies
    Working Papers, University of Pretoria, Department of Economics View citations (5)
69. Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets
    Working Papers, University of Pretoria, Department of Economics
70. Housing Market Variables and Predictability of State-Level Stock Market Volatility of the United States: Evidence from a GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
71. Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States
    Working Papers, University of Pretoria, Department of Economics
72. 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
    See also Journal Article Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India, Financial Innovation, Springer (2025) (2025)
73. Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks
    Working Papers, University of Pretoria, Department of Economics
74. Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data
    Working Papers, University of Pretoria, Department of Economics
75. Oil Price Uncertainty and Predictability of Multi-Scale Positive and Negative Bubbles in the BRICS: Evidence from a Nonparametric Causality-in-Quantiles Test
    Working Papers, University of Pretoria, Department of Economics
76. Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach, Review of Quantitative Finance and Accounting, Springer (2024) View citations (1) (2024)
77. Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty, Economies, MDPI (2025) (2025)
78. Realized Stock Market Volatility of the United States: The Role of Employee Sentiment
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Realized Stock Market Volatility of the United States: The Role of Employee Sentiment, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2024) (2024)
79. Realized Stock-Market Volatility of the United States and the Presidential Approval Rating
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Realized Stock-Market Volatility of the United States and the Presidential Approval Rating, Mathematics, MDPI (2023) View citations (3) (2023)
80. 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 View citations (10)
81. Stock Market Bubbles and the Realized Volatility of Oil Price Returns
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Stock market bubbles and the realized volatility of oil price returns, Energy Economics, Elsevier (2024) (2024)
82. Stock Market Volatility and Multi-Scale Positive and Negative Bubbles
    Working Papers, University of Pretoria, Department of Economics
83. Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics View citations (1)
84. The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States, Risks, MDPI (2023) (2023)
85. The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020
    Working Papers, University of Pretoria, Department of Economics
86. Time-Varying Effects of Extreme Weather Shocks on Output Growth of the United States
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Time-Varying effects of extreme weather shocks on output growth of the United States, Finance Research Letters, Elsevier (2024) (2024)

2022

87. Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns
    Working Papers, University of Pretoria, Department of Economics
88. Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Business applications and state‐level stock market realized volatility: A forecasting experiment, Journal of Forecasting, John Wiley & Sons, Ltd. (2024) (2024)
89. Climate Change and Inequality
    Working Papers, University of Pretoria, Department of Economics
90. Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Climate risks and forecastability of the weekly state‐level economic conditions of the United States, International Review of Finance, International Review of Finance Ltd. (2024) View citations (3) (2024)
91. Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article CLIMATE RISKS AND PREDICTABILITY OF COMMODITY RETURNS AND VOLATILITY: EVIDENCE FROM OVER 750 YEARS OF DATA, Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd. (2024) (2024)
92. Climate Risks and Predictability of the Trading Volume of Gold: Evidence from an INGARCH Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model, Resources Policy, Elsevier (2023) View citations (5) (2023)
93. Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    See also Journal Article Climate risks and realized volatility of major commodity currency exchange rates, Journal of Financial Markets, Elsevier (2023) View citations (18) (2023)
94. Climate Risks and State-Level Stock-Market Realized Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Climate risks and state-level stock market realized volatility, Journal of Financial Markets, Elsevier (2023) View citations (12) (2023)
95. Climate Shocks and Wealth Inequality in the United Kingdom: Evidence from Monthly Data
    Working Papers, University of Pretoria, Department of Economics
96. 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 (10)
    See also Journal Article Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks, Economics Letters, Elsevier (2022) View citations (6) (2022)
97. Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions
    Working Papers, University of Pretoria, Department of Economics View citations (8)
    See also Journal Article Contagious diseases and gold: Over 700 years of evidence from quantile regressions, Finance Research Letters, Elsevier (2022) View citations (3) (2022)
98. Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach
    Working Papers, University of Pretoria, Department of Economics
99. 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
100. Economic Disasters and Inequality
     Working Papers, University of Pretoria, Department of Economics
101. Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty, JRFM, MDPI (2022) View citations (2) (2022)
102. 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
103. Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies, Journal of Empirical Finance, Elsevier (2025) (2025)
104. 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
     See also Journal Article Forecasting national recessions of the United States with state-level climate risks: Evidence from model averaging in Markov-switching models, Economics Letters, Elsevier (2023) View citations (5) (2023)
105. Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models
     Working Papers, University of Pretoria, Department of Economics View citations (7)
     See also Journal Article Forecasting returns of major cryptocurrencies: Evidence from regime-switching factor models, Finance Research Letters, Elsevier (2022) View citations (7) (2022)
106. 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)
     See also Journal Article Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks, International Journal of Forecasting, Elsevier (2024) View citations (7) (2024)
107. 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 View citations (11)
     See also Journal Article Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?, Energy Economics, Elsevier (2022) View citations (7) (2022)
108. 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
109. Herding in International REITs Markets around the COVID-19 Pandemic
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Herding in international REITs markets around the COVID-19 pandemic, Research in International Business and Finance, Elsevier (2024) View citations (1) (2024)
110. Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2023) (2023)
111. Inflation-Inequality Puzzle: Is it Still Apparent?
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Inflation–inequality puzzle: is it still apparent?, Journal of Economic Studies, Emerald Group Publishing Limited (2024) (2024)
112. 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
     See also Journal Article Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries, Journal of Behavioral and Experimental Finance, Elsevier (2023) View citations (11) (2023)
113. 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)
114. Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach
     Working Papers, University of Pretoria, Department of Economics View citations (1)
115. 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 View citations (4)
     See also Journal Article Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data, Energies, MDPI (2022) View citations (2) (2022)
116. On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal, Resources Policy, Elsevier (2023) View citations (2) (2023)
117. 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
     See also Journal Article On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data, Applied Economics, Taylor & Francis Journals (2025) (2025)
118. Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks
     Working Papers, University of Pretoria, Department of Economics View citations (19)
     See also Journal Article Persistence of state-level uncertainty of the United States: The role of climate risks, Economics Letters, Elsevier (2022) View citations (16) (2022)
119. Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Policy uncertainty and stock market volatility revisited: The predictive role of signal quality, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) View citations (7) (2023)
120. Predictability of Economic Slowdowns in Advanced Countries over Eight Centuries: The Role of Climate Risks
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Predictability of economic slowdowns in advanced countries over eight centuries: The role of climate risks, Finance Research Letters, Elsevier (2023) View citations (9) (2023)
121. Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Price effects after one-day abnormal returns and crises in the stock markets, Research in International Business and Finance, Elsevier (2024) (2024)
122. Rare Disaster Risks and Gold over 700 Years: Evidence from Nonparametric Quantile Regressions
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions, Resources Policy, Elsevier (2022) View citations (1) (2022)
123. Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Real-time forecast of DSGE models with time-varying volatility in GARCH form, International Review of Financial Analysis, Elsevier (2024) View citations (4) (2024)
124. Revisiting International House Price Convergence Using House Price Level Data
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Revisiting international house price convergence using house price level data, Economic Systems, Elsevier (2024) (2024)
125. 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
     See also Journal Article Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data, Computational Economics, Springer (2024) (2024)
126. Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)
     Working Papers, University of Pretoria, Department of Economics
127. Temperature and Precipitation in the US States: Long Memory, Persistence and Time Trend
     Working Papers, University of Pretoria, Department of Economics
128. 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 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, Elsevier (2023) View citations (2) (2023)
129. 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 (31)
     See also Journal Article The effects of climate risks on economic activity in a panel of US states: The role of uncertainty, Economics Letters, Elsevier (2022) View citations (14) (2022)
130. 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
131. The Heterogeneous Impact of Temperature Growth on Real House Price Returns across the US States
     Working Papers, University of Pretoria, Department of Economics
132. The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests
     Working Papers, University of Pretoria, Department of Economics
133. The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index
     Working Papers, University of Pretoria, Department of Economics View citations (1)
134. Time-Varying Parameter Four-Equation DSGE Model
     Working Papers, University of Pretoria, Department of Economics
135. US Monetary Policy and BRICS Stock Market Bubbles
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article US monetary policy and BRICS stock market bubbles, Finance Research Letters, Elsevier (2023) View citations (11) (2023)

2021

136. 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 (9)
     See also Journal Article 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, MDPI (2021) View citations (6) (2021)
137. 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
138. 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
139. A robust approach for outlier imputation: Singular Spectrum Decomposition
     Working Papers, University of Pretoria, Department of Economics
140. Bitcoin Mining Activity and Volatility Dynamics in the Power Market
     Working Papers, University of Pretoria, Department of Economics View citations (10)
     See also Journal Article Bitcoin mining activity and volatility dynamics in the power market, Economics Letters, Elsevier (2021) View citations (6) (2021)
141. Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment
     Working Papers, University of Pretoria, Department of Economics
142. 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 Climate risks and forecastability of the realized volatility of gold and other metal prices, Resources Policy, Elsevier (2022) View citations (12) (2022)
143. 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 Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century, Mathematics, MDPI (2023) View citations (8) (2023)
144. 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
     See also Journal Article Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data, International Review of Finance, International Review of Finance Ltd. (2023) View citations (9) (2023)
145. 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 (14)
     See also Journal Article Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment, Energies, MDPI (2021) View citations (14) (2021)
146. 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)
147. Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective
     Working Papers, University of Pretoria, Department of Economics
148. 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 (9)
149. Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Does climate policy uncertainty affect tourism demand? Evidence from time-varying causality tests, Tourism Economics (2023) (2023)
150. Does inequality help in forecasting equity premium in a panel of G7 countries?
     Post-Print, HAL
     Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (4)
     See also Journal Article Does inequality help in forecasting equity premium in a panel of G7 countries?, The North American Journal of Economics and Finance, Elsevier (2021) View citations (6) (2021)
151. El Nino and Forecastability of Oil-Price Realized Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (17)
152. 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
     See also Journal Article El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) View citations (3) (2023)
153. 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 (3)
     See also Journal Article El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements, Sustainability, MDPI (2021) View citations (5) (2021)
154. 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 Evolving United States stock market volatility: The role of conventional and unconventional monetary policies, The North American Journal of Economics and Finance, Elsevier (2022) View citations (6) (2022)
155. Exchange Rate Predictability with Nine Alternative Models for BRICS Countries
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Exchange rate predictability with nine alternative models for BRICS countries, Journal of Macroeconomics, Elsevier (2022) View citations (2) (2022)
156. Financial Inclusion and Gender Inequality in sub-Saharan Africa
     Working Papers, University of Pretoria, Department of Economics
157. Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Financial turbulence, systemic risk and the predictability of stock market volatility, Global Finance Journal, Elsevier (2022) View citations (9) (2022)
158. Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models
     Working Papers, University of Pretoria, Department of Economics View citations (2)
159. 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 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, Elsevier (2023) (2023)
160. Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Forecasting international REITs volatility: the role of oil-price uncertainty, The European Journal of Finance, Taylor & Francis Journals (2023) View citations (3) (2023)
161. Forecasting Oil Price over 150 Years: The Role of Tail Risks
     Working Papers, University of Pretoria, Department of Economics View citations (10)
     See also Journal Article Forecasting oil prices over 150 years: The role of tail risks, Resources Policy, Elsevier (2022) View citations (9) (2022)
162. 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 Forecasting oil and gold volatilities with sentiment indicators under structural breaks, Energy Economics, Elsevier (2022) View citations (22) (2022)
163. 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 (3)
     Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2021) View citations (3)
     See also Journal Article Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty, Resources Policy, Elsevier (2022) View citations (10) (2022)
164. 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 Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) View citations (12) (2022)
165. 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 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, Elsevier (2022) View citations (7) (2022)
166. Forecasting US Output Growth with Large Information Sets
     Working Papers, University of Pretoria, Department of Economics
167. Forecasting the Artificial Intelligence Index Returns: A Hybrid Approach
     Working Papers, University of Pretoria, Department of Economics
168. 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
169. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
     Working Papers, University of Pretoria, Department of Economics View citations (8)
     See also Journal Article Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers, Energies, MDPI (2021) View citations (6) (2021)
170. 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 (29)
     See also Journal Article Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data, Energy, Elsevier (2021) View citations (16) (2021)
171. 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 (2)
     See also Journal Article GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2021) (2021)
172. 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 (2)
     See also Journal Article 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, Elsevier (2022) View citations (1) (2022)
173. 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 Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model, Energy Economics, Elsevier (2022) View citations (17) (2022)
174. Gold and the Global Financial Cycle
     Working Papers, University of Pretoria, Department of Economics View citations (2)
175. Government Effectiveness and Covid-19 Pandemic
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Government Effectiveness and the COVID-19 Pandemic, Sustainability, MDPI (2021) View citations (5) (2021)
176. 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
     See also Journal Article High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests, The Journal of Real Estate Finance and Economics, Springer (2024) (2024)
177. Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets
     Working Papers, University of Pretoria, Department of Economics View citations (1)
178. 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
     Also in Working Papers, University of Pretoria, Department of Economics (2021)
     See also Journal Article Income inequality and house prices across US states, The Quarterly Review of Economics and Finance, Elsevier (2023) (2023)
179. 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 (30)
180. Interest Rate Uncertainty and the Predictability of Bank Revenues
     Working Papers, Copenhagen Business School, Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2020)
     See also Journal Article Interest rate uncertainty and the predictability of bank revenues, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) View citations (2) (2022)
181. Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning, Journal of Behavioral Finance, Taylor & Francis Journals (2023) View citations (8) (2023)
182. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning, Finance Research Letters, Elsevier (2022) View citations (1) (2022)
183. 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 Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data, Finance Research Letters, Elsevier (2022) View citations (7) (2022)
184. 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 (15)
185. 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 Out-of-sample predictability of gold market volatility: The role of US Nonfarm Payroll, The Quarterly Review of Economics and Finance, Elsevier (2022) View citations (3) (2022)
186. 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
187. 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 Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases, JRFM, MDPI (2022) View citations (1) (2022)
188. 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 Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices, The North American Journal of Economics and Finance, Elsevier (2022) View citations (8) (2022)
189. 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 Productivity and GDP: international evidence of persistence and trends over 130 years of data, Empirical Economics, Springer (2023) View citations (1) (2023)
190. 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
191. Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach, Financial Innovation, Springer (2024) (2024)
192. Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint
     Working Papers, University of Pretoria, Department of Economics View citations (6)
193. 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 (9)
     See also Journal Article Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries, Journal of Behavioral Finance, Taylor & Francis Journals (2023) View citations (3) (2023)
194. Social Capital and Protests in the United States
     Working Papers, University of Pretoria, Department of Economics
195. Structural and Predictive Analyses with a Mixed Copula-Based Vector Autoregression Model
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Structural and predictive analyses with a mixed copula‐based vector autoregression model, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) (2023)
196. 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)
     See also Journal Article Tail risks and forecastability of stock returns of advanced economies: evidence from centuries of data*, The European Journal of Finance, Taylor & Francis Journals (2023) View citations (7) (2023)
197. 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 The (Asymmetric) effect of El Niño and La Niña on gold and silver prices in a GVAR model, Resources Policy, Elsevier (2022) View citations (8) (2022)
198. 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
     See also Journal Article The ENSO cycle and forecastability of global inflation and output growth: Evidence from standard and mixed‐frequency multivariate singular spectrum analyses, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) (2023)
199. The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data
     GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit View citations (1)
     Also in Working Papers, University of Pretoria, Department of Economics (2021) View citations (1)
     See also Chapter The effect of macroeconomic uncertainty on housing returns and volatility: evidence from US state-level data, Chapters, Edward Elgar Publishing (2022) View citations (1) (2022)
200. 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)
201. 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 (7)
     See also Journal Article The effect of oil uncertainty shock on real GDP of 33 countries: a global VAR approach, Applied Economics Letters, Taylor & Francis Journals (2023) View citations (5) (2023)
202. 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)
203. 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 The financial US uncertainty spillover multiplier: Evidence from a GVAR model, International Finance, Wiley Blackwell (2022) View citations (3) (2022)
204. 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 View citations (1)
205. 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 The impacts of oil price volatility on financial stress: Is the COVID-19 period different?, International Review of Economics & Finance, Elsevier (2023) View citations (12) (2023)
206. 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 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, Elsevier (2023) View citations (2) (2023)
207. 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 View citations (1)
     See also Journal Article The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom, Palgrave Communications, Palgrave Macmillan (2025) (2025)
208. 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 UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2021) (2021)
209. 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)
210. 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 Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) View citations (2) (2022)
211. Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns
     Working Papers, University of Pretoria, Department of Economics View citations (1)

2020

212. 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets
     Working papers, University of Connecticut, Department of Economics View citations (5)
     Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (1)
213. A Note on Investor Happiness and the Predictability of Realized Volatility of Gold
     Working Papers, University of Pretoria, Department of Economics View citations (25)
     See also Journal Article A note on investor happiness and the predictability of realized volatility of gold, Finance Research Letters, Elsevier (2021) View citations (9) (2021)
214. 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 A note on oil price shocks and the forecastability of gold realized volatility, Applied Economics Letters, Taylor & Francis Journals (2021) View citations (3) (2021)
215. 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 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), World Scientific Publishing Co. Pte. Ltd. (2022) (2022)
216. 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
217. 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 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), World Scientific Publishing Co. Pte. Ltd. (2022) (2022)
218. 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 Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data, Finance Research Letters, Elsevier (2021) View citations (2) (2021)
219. 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 COVID-19 Pandemic and Investor Herding in International Stock Markets, Risks, MDPI (2021) View citations (33) (2021)
220. Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Do oil-price shocks predict the realized variance of U.S. REITs?, Energy Economics, Elsevier (2021) View citations (12) (2021)
221. 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 Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom, Applied Economics Letters, Taylor & Francis Journals (2021) (2021)
222. Dynamic Impact of Unconventional Monetary Policy on International REITs
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Dynamic Impact of Unconventional Monetary Policy on International REITs, JRFM, MDPI (2021) View citations (8) (2021)
223. 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)
224. Endogenous Long-Term Productivity Performance in Advanced Countries: A Novel Two-Dimensional Fuzzy-Monte Carlo Approach
     Working Papers, University of Pretoria, Department of Economics
225. Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models
     Working Papers, University of Pretoria, Department of Economics View citations (13)
     Also in Working papers, University of Connecticut, Department of Economics (2020) View citations (13)
     See also Journal Article Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models, International Review of Economics & Finance, Elsevier (2024) View citations (7) (2024)
226. 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 Evolution of price effects after one-day abnormal returns in the US stock market, The North American Journal of Economics and Finance, Elsevier (2021) View citations (5) (2021)
227. 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 Forecasting charge-off rates with a panel Tobit model: the role of uncertainty, Applied Economics Letters, Taylor & Francis Journals (2022) View citations (1) (2022)
228. 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)
229. Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (5)
230. Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?
     Working Papers, University of Pretoria, Department of Economics View citations (2)
231. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
     Working Papers, University of Pretoria, Department of Economics View citations (7)
     See also Journal Article Forecasting Realized Volatility of Bitcoin: The Role of the Trade War, Computational Economics, Springer (2021) View citations (13) (2021)
232. Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Forecasting state- and MSA-level housing returns of the US: The role of mortgage default risks, Research in International Business and Finance, Elsevier (2023) (2023)
233. 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 Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?, Mathematics, MDPI (2020) (2020)
234. Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Geopolitical risks and historical exchange rate volatility of the BRICS, International Review of Economics & Finance, Elsevier (2022) View citations (25) (2022)
235. 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)
236. Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Globalization, long memory, and real interest rate convergence: a historical perspective, Empirical Economics, Springer (2022) (2022)
237. 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
238. 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 High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment, Journal of Behavioral Finance, Taylor & Francis Journals (2021) View citations (5) (2021)
239. 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 HISTORICAL FORECASTING OF INTEREST RATE MEAN AND VOLATILITY OF THE UNITED STATES: IS THERE A ROLE OF UNCERTAINTY?, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2020) View citations (1) (2020)
240. 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 House price synchronization across the US states: The role of structural oil shocks, The North American Journal of Economics and Finance, Elsevier (2021) View citations (12) (2021)
241. Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
     Working Papers, University of Pretoria, Department of Economics
     Also in Working papers, University of Connecticut, Department of Economics (2020)
     See also Journal Article A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting, Computational Economics, Springer (2023) View citations (1) (2023)
242. Income Inequality and Oil Resources: Panel Evidence from the United States
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Income inequality and oil resources: Panel evidence from the United States, Energy Policy, Elsevier (2021) View citations (11) (2021)
243. Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities, International Review of Economics & Finance, Elsevier (2021) View citations (40) (2021)
244. 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 Information entropy, continuous improvement, and US energy performance: a novel stochastic-entropic analysis for ideal solutions (SEA-IS), Annals of Operations Research, Springer (2022) (2022)
245. Investor Happiness and Predictability of the Realized Volatility of Oil Price
     Working Papers, University of Pretoria, Department of Economics View citations (24)
     See also Journal Article Investor Happiness and Predictability of the Realized Volatility of Oil Price, Sustainability, MDPI (2020) View citations (19) (2020)
246. 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 Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data, Journal of Behavioral Finance, Taylor & Francis Journals (2023) View citations (3) (2023)
247. 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 Investor sentiment and dollar-pound exchange rate returns: Evidence from over a century of data using a cross-quantilogram approach, Finance Research Letters, Elsevier (2021) View citations (8) (2021)
248. Investors' Uncertainty and Forecasting Stock Market Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (16)
     See also Journal Article Investors’ Uncertainty and Forecasting Stock Market Volatility, Journal of Behavioral Finance, Taylor & Francis Journals (2022) View citations (7) (2022)
249. Is there a National Housing Market Bubble Brewing in the United States?
     Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (7)
     Also in Working Papers, University of Pretoria, Department of Economics (2020) View citations (7)
     See also Journal Article Is there a national housing market bubble brewing in the United States?, Macroeconomic Dynamics, Cambridge University Press (2023) (2023)
250. Jumps in Energy and Non-Energy Commodities
     Working Papers, University of Pretoria, Department of Economics View citations (3)
251. Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
     Working Papers, University of Pretoria, Department of Economics View citations (8)
     See also Journal Article Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin, Defence and Peace Economics, Taylor & Francis Journals (2022) View citations (12) (2022)
252. Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio, International Review of Economics & Finance, Elsevier (2021) (2021)
253. 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 Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty, The Journal of Real Estate Finance and Economics, Springer (2022) (2022)
254. Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains
     Working Papers, University of Pretoria, Department of Economics View citations (7)
     See also Journal Article Monetary policy uncertainty spillovers in time and frequency domains, Journal of Economic Structures, Springer (2020) View citations (7) (2020)
255. Monetary Policy and Speculative Spillovers in Financial Markets
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Monetary policy and speculative spillovers in financial markets, Research in International Business and Finance, Elsevier (2021) View citations (10) (2021)
256. 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 Movements in real estate uncertainty in the United States: the role of oil shocks, Applied Economics Letters, Taylor & Francis Journals (2021) View citations (1) (2021)
257. OPEC News and Jumps in the Oil Market
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article OPEC news and jumps in the oil market, Energy Economics, Elsevier (2021) View citations (10) (2021)
258. Oil Price Shocks and Yield Curve Dynamics in Emerging Markets
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Oil price shocks and yield curve dynamics in emerging markets, International Review of Economics & Finance, Elsevier (2022) View citations (3) (2022)
259. Oil Price and Exchange Rate Behaviour of the BRICS for Over a Century
     Working Papers, University of Pretoria, Department of Economics View citations (8)
260. 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 Oil-price uncertainty and the U.K. unemployment rate: A forecasting experiment with random forests using 150 years of data, Resources Policy, Elsevier (2022) View citations (14) (2022)
261. Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data
     Working Papers, University of Pretoria, Department of Economics View citations (1)
262. Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States
     Working Papers, University of Pretoria, Department of Economics View citations (1)
263. Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Predicting firm-level volatility in the United States: the role of monetary policy uncertainty, Economics and Business Letters, Oviedo University Press (2020) View citations (2) (2020)
264. 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 Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties, Journal of Behavioral Finance, Taylor & Francis Journals (2022) View citations (1) (2022)
265. Return Connectedness across Asset Classes around the COVID-19 Outbreak
     Working Papers, University of Pretoria, Department of Economics View citations (27)
     See also Journal Article Return connectedness across asset classes around the COVID-19 outbreak, International Review of Financial Analysis, Elsevier (2021) View citations (206) (2021)
266. Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach
     Working Papers, University of Pretoria, Department of Economics View citations (6)
     See also Journal Article Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach, The North American Journal of Economics and Finance, Elsevier (2021) View citations (28) (2021)
267. Sentiment and Financial Market Connectedness: The Role of Investor Happiness
     Working Papers, University of Pretoria, Department of Economics View citations (1)
268. Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin
     Working Papers, University of Pretoria, Department of Economics View citations (31)
     See also Journal Article Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin, The Quarterly Review of Economics and Finance, Elsevier (2022) View citations (7) (2022)
269. Stock Markets and Exchange Rate Behaviour of the BRICS
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Stock markets and exchange rate behavior of the BRICS, Journal of Forecasting, John Wiley & Sons, Ltd. (2021) View citations (9) (2021)
270. Structure Dependence between Oil and Agricultural Commodities Returns: The Role of Geopolitical Risks
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks, Energy, Elsevier (2021) View citations (35) (2021)
271. The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective
     Working Papers, University of Pretoria, Department of Economics
272. 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 The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach, Research in International Business and Finance, Elsevier (2021) View citations (5) (2021)
273. 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
274. 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 (5)
275. The Effects of Public Expenditures on Labour Productivity in Europe
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article The effects of public expenditures on labour productivity in Europe, Empirica, Springer (2021) View citations (1) (2021)
276. 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 The impact of disaggregated oil shocks on state-level consumption of the United States, Applied Economics Letters, Taylor & Francis Journals (2021) View citations (2) (2021)
277. 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 The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence, Finance Research Letters, Elsevier (2021) View citations (5) (2021)
278. The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article The impact of uncertainty shocks in South Africa: The role of financial regimes, Review of Financial Economics, John Wiley & Sons (2021) (2021)
279. 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 (37)
     See also Journal Article The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries, Energy Economics, Elsevier (2020) View citations (24) (2020)
280. The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note
     Working Papers, University of Pretoria, Department of Economics View citations (30)
     See also Journal Article The predictive power of oil price shocks on realized volatility of oil: A note, Resources Policy, Elsevier (2020) View citations (24) (2020)
281. 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 (28)
     See also Journal Article The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach, Research in International Business and Finance, Elsevier (2020) View citations (21) (2020)
282. 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 The role of investor sentiment in forecasting housing returns in China: A machine learning approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) View citations (5) (2022)
283. 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)
284. The Taylor Curve: International Evidence
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article The Taylor curve: international evidence, Applied Economics, Taylor & Francis Journals (2021) (2021)
285. The U.S. Term Structure and Return Volatility in Global REIT Markets
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article The US Term Structure and Return Volatility in Global REIT Markets, Advances in Decision Sciences, Asia University, Taiwan (2020) View citations (1) (2020)
286. 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 (6)
     See also Journal Article Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2023) View citations (2) (2023)
287. 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 Time-varying evidence of predictability of financial stress in the United States over a century: The role of inequality, Structural Change and Economic Dynamics, Elsevier (2021) View citations (6) (2021)
288. 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 Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment, The North American Journal of Economics and Finance, Elsevier (2021) View citations (16) (2021)
289. Time-Varying Impact of Pandemics on Global Output Growth
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Time-varying impact of pandemics on global output growth, Finance Research Letters, Elsevier (2021) View citations (4) (2021)
290. Time-Varying Influence of Household Debt on Inequality in United Kingdom
     Working Papers, University of Pretoria, Department of Economics View citations (3)
     See also Journal Article Time-varying influence of household debt on inequality in United Kingdom, Empirical Economics, Springer (2021) (2021)
291. Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Time-varying predictability of financial stress on inequality in United Kingdom, Journal of Economic Studies, Emerald Group Publishing Limited (2022) (2022)
292. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom, Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer (2021) (2021)
293. 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 Time-varying risk aversion and forecastability of the US term structure of interest rates, Finance Research Letters, Elsevier (2021) View citations (2) (2021)
294. 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 (4)
295. Time-Varying Spillover of US Trade War on the Growth of Emerging Economies
     Working Papers, University of Pretoria, Department of Economics View citations (2)
296. Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States
     Working Papers, University of Pretoria, Department of Economics
297. 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 (3)
     See also Journal Article 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, Elsevier (2021) View citations (4) (2021)
298. Uncertainty and Tourism in Africa
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Uncertainty and tourism in Africa, Tourism Economics (2022) View citations (6) (2022)
299. Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note
     Working Papers, University of Pretoria, Department of Economics
300. 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)
     See also Journal Article Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data, Journal of Multinational Financial Management, Elsevier (2021) View citations (2) (2021)
301. 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 Volatility connectedness of major cryptocurrencies: The role of investor happiness, Journal of Behavioral and Experimental Finance, Elsevier (2021) View citations (34) (2021)

2019

302. 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 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, John Wiley & Sons, Ltd. (2022) View citations (6) (2022)
303. A Reconsideration of Kuznets Curve across Countries: Evidence from the Co-summability Approach
     Working Papers, University of Pretoria, Department of Economics
304. Are Uncertainties across the World Convergent?
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Are Uncertainties across the World Convergent?, Economics Bulletin, AccessEcon (2020) View citations (3) (2020)
305. 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 View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (2)
     See also Journal Article Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach, The North American Journal of Economics and Finance, Elsevier (2021) View citations (12) (2021)
306. 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 (4)
307. 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 Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows, Journal of International Money and Finance, Elsevier (2020) View citations (7) (2020)
308. Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspective of Hedgers’ Sentiment
     Working Papers, University of Pretoria, Department of Economics
309. 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)
310. 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 Dynamic impact of the U.S. monetary policy on oil market returns and volatility, The Quarterly Review of Economics and Finance, Elsevier (2021) View citations (1) (2021)
311. Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market, Advances in Decision Sciences, Asia University, Taiwan (2019) View citations (4) (2019)
312. 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 Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data, Applied Economics Letters, Taylor & Francis Journals (2020) View citations (9) (2020)
313. 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 Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment, Journal of Behavioral Finance, Taylor & Francis Journals (2022) (2022)
314. Fisher Variables and Income Inequality in the BRICS
     Working Papers, University of Pretoria, Department of Economics
315. 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)
316. 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 Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (2) (2020)
317. 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 Forecasting realized gold volatility: Is there a role of geopolitical risks?, Finance Research Letters, Elsevier (2020) View citations (61) (2020)
318. 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 Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss, Journal of International Money and Finance, Elsevier (2020) View citations (81) (2020)
319. 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 Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss, The European Journal of Finance, Taylor & Francis Journals (2021) View citations (11) (2021)
320. 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 Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks, International Journal of Forecasting, Elsevier (2020) View citations (87) (2020)
321. 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 (3)
     See also Journal Article Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis, Emerging Markets Finance and Trade, Taylor & Francis Journals (2021) (2021)
322. Giant Oil Discoveries and Conflicts
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Giant oil discoveries and conflicts, Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer (2024) (2024)
323. 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 (2)
     See also Journal Article 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, Elsevier (2020) View citations (39) (2020)
324. Gold, Platinum and the Predictability of Bond Risk Premia
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Gold, platinum and the predictability of bond risk premia, Finance Research Letters, Elsevier (2021) View citations (6) (2021)
325. 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 Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model, Energy Economics, Elsevier (2020) View citations (68) (2020)
326. 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 Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting, Economies, MDPI (2020) View citations (2) (2020)
327. Halloween Effect in Developed Stock Markets: A US Perspective
     Working Papers, University of Pretoria, Department of Economics View citations (1)
328. High-Frequency Volatility Forecasting of US Housing Markets
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article High-Frequency Volatility Forecasting of US Housing Markets, The Journal of Real Estate Finance and Economics, Springer (2021) View citations (7) (2021)
329. Historical Evolution of Monthly Anomalies in International Stock Markets
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Historical evolution of monthly anomalies in international stock markets, Research in International Business and Finance, Elsevier (2020) View citations (3) (2020)
330. 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 Historical volatility of advanced equity markets: The role of local and global crises, Finance Research Letters, Elsevier (2020) View citations (2) (2020)
331. 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 How Do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch, Emerging Markets Finance and Trade, Taylor & Francis Journals (2021) View citations (1) (2021)
332. 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)
333. Inflation Aversion and the Growth-Inflation Relationship
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Inflation Aversion and the Growth-Inflation Relationship, Annals of Economics and Finance, Society for AEF (2019) View citations (1) (2019)
334. Is the Housing Market in the United States Really Weakly-Efficient?
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Is the Housing Market in the United States Really Weakly-Efficient?, Applied Economics Letters, Taylor & Francis Journals (2020) View citations (2) (2020)
335. 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 (5)
     See also Journal Article Local currency bond risk premia of emerging markets: The role of local and global factors, Finance Research Letters, Elsevier (2020) View citations (2) (2020)
336. Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model
     Working Papers, University of Pretoria, Department of Economics
337. Moments-Based Spillovers across Gold and Oil Markets
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Moments-based spillovers across gold and oil markets, Energy Economics, Elsevier (2020) View citations (37) (2020)
338. 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 Monetary policy reaction to uncertainty in Japan: Evidence from a quantile‐on‐quantile interest rate rule, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2022) (2022)
339. Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets
     Working Papers, University of Pretoria, Department of Economics View citations (1)
340. Movements in International Bond Markets: The Role of Oil Prices
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Movements in international bond markets: The role of oil prices, International Review of Economics & Finance, Elsevier (2020) View citations (30) (2020)
341. Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Multi-Horizon Financial and Housing Wealth Effects across the U.S. States, Sustainability, MDPI (2021) View citations (1) (2021)
342. 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 Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory, Advances in Decision Sciences, Asia University, Taiwan (2021) View citations (29) (2021)
343. Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Oil price uncertainty and movements in the US government bond risk premia, The North American Journal of Economics and Finance, Elsevier (2020) View citations (23) (2020)
344. 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 Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach, Global Finance Journal, Elsevier (2021) View citations (51) (2021)
345. 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 (23)
     See also Journal Article Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty, Finance Research Letters, Elsevier (2021) View citations (20) (2021)
346. Price Gap Anomaly in the US Stock Market: The Whole Story
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Price gap anomaly in the US stock market: The whole story, The North American Journal of Economics and Finance, Elsevier (2020) View citations (1) (2020)
347. Price and Volatility Linkages between International REITs and Oil Markets
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Price and volatility linkages between international REITs and oil markets, Energy Economics, Elsevier (2020) View citations (17) (2020)
348. Rise and Fall of Calendar Anomalies over a Century
     Working Papers, University of Pretoria, Department of Economics View citations (20)
     See also Journal Article Rise and fall of calendar anomalies over a century, The North American Journal of Economics and Finance, Elsevier (2019) View citations (21) (2019)
349. Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets
     Working Papers, University of Pretoria, Department of Economics View citations (3)
350. 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 Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests, Journal of the Operational Research Society, Taylor & Francis Journals (2022) View citations (6) (2022)
351. 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 Spillover of sentiment in the European Union: Evidence from time- and frequency-domains, International Review of Economics & Finance, Elsevier (2020) View citations (6) (2020)
352. Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach, Structural Change and Economic Dynamics, Elsevier (2020) View citations (24) (2020)
353. Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Spillovers between US real estate and financial assets in time and frequency domains, Journal of Property Investment & Finance, Emerald Group Publishing Limited (2020) View citations (9) (2020)
354. 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 Testing the white noise hypothesis in high-frequency housing returns of the United States, Economics and Business Letters, Oviedo University Press (2020) View citations (1) (2020)
355. 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)
     See also Journal Article The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction, Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd. (2022) View citations (4) (2022)
356. 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 (48)
     See also Journal Article The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis, Structural Change and Economic Dynamics, Elsevier (2019) View citations (41) (2019)
357. 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 (36)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019) View citations (34)
     Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019) View citations (3)
     See also Journal Article The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Energies, MDPI (2019) View citations (35) (2019)
358. 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
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (1)
     See also Journal Article The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) View citations (6) (2017)
359. The Predictability between Bitcoin and US Technology Stock Returns: Granger Causality in Mean, Variance, and Quantile
     Working Papers, University of Pretoria, Department of Economics
360. 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 The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles, Journal of Forecasting, John Wiley & Sons, Ltd. (2020) View citations (16) (2020)
361. 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 The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2022) (2022)
362. The Relationship between Economic Uncertainty and Corporate Tax Rates
     Working Papers, University of Pretoria, Department of Economics
363. 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 The relationship between monetary policy and uncertainty in advanced economies: Evidence from time- and frequency-domains, The Quarterly Review of Economics and Finance, Elsevier (2020) View citations (3) (2020)
364. The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
     Working Papers, University of Pretoria, Department of Economics
365. 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 The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach, Emerging Markets Finance and Trade, Taylor & Francis Journals (2022) View citations (2) (2022)
366. 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 The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach, Applied Economics, Taylor & Francis Journals (2020) View citations (2) (2020)
367. 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
368. 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 Threshold effects of inequality on economic growth in the US states: the role of human capital to physical capital ratio, Applied Economics Letters, Taylor & Francis Journals (2020) View citations (2) (2020)
369. 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 Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data, Finance Research Letters, Elsevier (2020) View citations (10) (2020)
370. 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 Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains, Empirical Economics, Springer (2021) View citations (4) (2021)
371. 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 Time-varying risk aversion and the predictability of bond premia, Finance Research Letters, Elsevier (2020) View citations (6) (2020)
372. 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 Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram, Economies, MDPI (2020) View citations (2) (2020)
373. Trade Uncertainties and the Hedging Abilities of Bitcoin
     Working Papers, University of Pretoria, Department of Economics View citations (6)
     See also Journal Article Trade uncertainties and the hedging abilities of Bitcoin, Economic Notes, Banca Monte dei Paschi di Siena SpA (2020) View citations (21) (2020)
374. 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)
375. 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 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, Springer (2021) (2021)

2018

376. A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices
     Working Papers, University of Pretoria, Department of Economics View citations (10)
     See also Journal Article A wavelet analysis of the relationship between oil and natural gas prices, Resources Policy, Elsevier (2019) View citations (26) (2019)
377. Are BRICS Exchange Rates Chaotic?
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Are BRICS exchange rates chaotic?, Applied Economics Letters, Taylor & Francis Journals (2019) View citations (8) (2019)
378. Asymmetric Effects of Inequality on Per Capita Real GDP of the United States
     Working Papers, University of Pretoria, Department of Economics View citations (1)
379. Bayesian Spatial Modeling for Housing Data in South Africa
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Bayesian Spatial Modeling for Housing Data in South Africa, Sankhya B: The Indian Journal of Statistics, Springer (2021) (2021)
380. Can Monetary Policy Lean against Housing Bubbles?
     Working Papers, University of Pretoria, Department of Economics View citations (3)
     See also Journal Article Can monetary policy lean against housing bubbles?, Economic Modelling, Elsevier (2022) View citations (7) (2022)
381. 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 View citations (1)
     Also in Working Papers, University of Pretoria, Department of Economics (2017)
382. 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 Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2020) View citations (4) (2020)
383. 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 (4)
384. Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin?
     Working Papers, University of Pretoria, Department of Economics View citations (13)
     See also Journal Article Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?, International Review of Financial Analysis, Elsevier (2019) View citations (145) (2019)
385. 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 Does inequality really matter in forecasting real housing returns of the United Kingdom?, International Economics, Elsevier (2019) View citations (5) (2019)
386. 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 (4)
     See also Journal Article Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities, Journal of Economics and Behavioral Studies, AMH International (2018) View citations (4) (2018)
387. Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
     Working Papers, University of Pretoria, Department of Economics View citations (181)
     See also Journal Article Dynamic connectedness of uncertainty across developed economies: A time-varying approach, Economics Letters, Elsevier (2018) View citations (183) (2018)
388. 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 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, Springer (2020) View citations (7) (2020)
389. Effects of Geopolitical Risks on Trade Flows: Evidence from the Gravity Model
     Working Papers, University of Pretoria, Department of Economics View citations (6)
     See also Journal Article Effects of geopolitical risks on trade flows: evidence from the gravity model, Eurasian Economic Review, Springer (2019) View citations (48) (2019)
390. 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 Efficiency in BRICS Currency Markets Using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability, Journal of Economics and Behavioral Studies, AMH International (2019) View citations (3) (2019)
391. 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 Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests, Sustainability, MDPI (2019) View citations (18) (2019)
392. Firm-Level Political Risk and Asymmetric Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (12)
     See also Journal Article Firm-level political risk and asymmetric volatility, The Journal of Economic Asymmetries, Elsevier (2018) View citations (12) (2018)
393. 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)
394. Forecasting Changes of Economic Inequality: A Boosting Approach
     Working Papers, University of Pretoria, Department of Economics
395. 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 Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data, Journal of Applied Statistics, Taylor & Francis Journals (2020) View citations (3) (2020)
396. Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?
     Working Papers, University of Pretoria, Department of Economics
397. 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) View citations (1)
     See also Journal Article Forecasting with Second-Order Approximations and Markov-Switching DSGE Models, Computational Economics, Springer (2020) View citations (2) (2020)
398. 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 Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data, Applied Economics Letters, Taylor & Francis Journals (2020) View citations (1) (2020)
399. 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 Geopolitical risks and recessions in a panel of advanced economies: evidence from over a century of data, Applied Economics Letters, Taylor & Francis Journals (2019) View citations (18) (2019)
400. Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (5)
401. Greek Economic Policy Uncertainty: Does it Matter for the European Union?
     Working Papers, University of Pretoria, Department of Economics View citations (9)
402. Growth Volatility and Inequality in the U.S.: A Wavelet Analysis
     Working Papers, University of Pretoria, Department of Economics
     Also in Working papers, University of Connecticut, Department of Economics (2018)
     See also Journal Article Growth volatility and inequality in the U.S.: A wavelet analysis, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (4) (2019)
403. Herding Behaviour in the Cryptocurrency Market
     Working Papers, University of Pretoria, Department of Economics View citations (18)
404. 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 (11)
405. Impact of Volatility and Equity Market Uncertainty on Herd Behaviour: Evidence from UK REITs
     ERES, European Real Estate Society (ERES) View citations (10)
     Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (3)
406. Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Income inequality and economic growth: A re‐examination of theory and evidence, Review of Development Economics, Wiley Blackwell (2021) View citations (8) (2021)
407. 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 (22)
     See also Journal Article Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis, The North American Journal of Economics and Finance, Elsevier (2018) View citations (22) (2018)
408. 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 Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests, International Finance, Wiley Blackwell (2019) View citations (6) (2019)
409. Insurance-Growth Nexus in Africa
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Insurance-growth nexus in Africa, The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan (2020) View citations (3) (2020)
410. International Monetary Policy Spillovers: Evidence from a TVP-VAR
     Working Papers, University of Pretoria, Department of Economics
411. 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 INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2021) View citations (3) (2021)
412. Investor Sentiment and Crash Risk in Safe Havens
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Investor Sentiment and Crash Risk in Safe Havens, Journal of Economics and Behavioral Studies, AMH International (2019) View citations (3) (2019)
413. 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 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, Taylor & Francis Journals (2019) View citations (10) (2019)
414. 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 Is the response of the bank of England to exchange rate movements frequency-dependent?, Journal of Macroeconomics, Elsevier (2020) (2020)
415. 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 Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements, Journal of Applied Statistics, Taylor & Francis Journals (2020) View citations (1) (2020)
416. 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 Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2021) (2021)
417. 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 Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector, Sustainability, MDPI (2019) View citations (14) (2019)
418. Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States
     Working Papers, University of Pretoria, Department of Economics View citations (2)
419. Manager Sentiment and Stock Market Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (2)
420. 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 Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas, The Quarterly Review of Economics and Finance, Elsevier (2020) View citations (3) (2020)
421. Monetary Policy and Bubbles in US REITs
     Working Papers, University of Pretoria, Department of Economics View citations (3)
     See also Journal Article Monetary policy and bubbles in US REITs, International Review of Finance, International Review of Finance Ltd. (2021) View citations (4) (2021)
422. Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Mortgage Default Risks and High-Frequency Predictability of the U.S. Housing Market: A Reconsideration, Journal of Real Estate Portfolio Management, Taylor & Francis Journals (2020) (2020)
423. 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)
424. 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 (14)
     See also Journal Article Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis, Structural Change and Economic Dynamics, Elsevier (2019) View citations (22) (2019)
425. Oil Shocks and Volatility Jumps
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Oil shocks and volatility jumps, Review of Quantitative Finance and Accounting, Springer (2020) View citations (9) (2020)
426. 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 On the transmission mechanism of Asia‐Pacific yield curve characteristics, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2022) View citations (2) (2022)
427. 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 (170)
     See also Journal Article On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach, Economics Letters, Elsevier (2018) View citations (173) (2018)
428. 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 Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data, Urban Studies, Urban Studies Journal Limited (2021) View citations (6) (2021)
429. 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 Persistence in trends and cycles of gold and silver prices: Evidence from historical data, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (8) (2019)
430. Persistence of Economic Uncertainty: A Comprehensive Analysis
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Persistence of economic uncertainty: a comprehensive analysis, Applied Economics, Taylor & Francis Journals (2019) View citations (10) (2019)
431. Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Point and density forecasts of oil returns: The role of geopolitical risks, Resources Policy, Elsevier (2019) View citations (71) (2019)
432. 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
433. Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment
     Working Papers, University of Pretoria, Department of Economics
434. Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models, International Review of Financial Analysis, Elsevier (2020) View citations (8) (2020)
435. 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 Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings, International Review of Finance, International Review of Finance Ltd. (2021) View citations (7) (2021)
436. 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 (10)
437. 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
438. Socio-Political Instability and Growth Dynamics
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Socio-political instability and growth dynamics, Economic Systems, Elsevier (2022) View citations (2) (2022)
439. 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 Spillover of mortgage default risks in the United States: Evidence from metropolitan statistical areas and states, The Journal of Economic Asymmetries, Elsevier (2019) View citations (2) (2019)
440. Spillovers between Bitcoin and other Assets during Bear and Bull Markets
     Working Papers, University of Pretoria, Department of Economics View citations (119)
     See also Journal Article Spillovers between Bitcoin and other assets during bear and bull markets, Applied Economics, Taylor & Francis Journals (2018) View citations (118) (2018)
441. Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach
     Working Papers, University of Pretoria, Department of Economics View citations (3)
     See also Journal Article Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach, Finance Research Letters, Elsevier (2019) View citations (26) (2019)
442. Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices
     Post-Print, HAL View citations (83)
     Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (1)
     See also Journal Article Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices, Resources Policy, Elsevier (2018) View citations (93) (2018)
443. 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 View citations (3)
     Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (1)
     See also Journal Article The effectiveness of monetary and fiscal policy shocks on U.S. inequality: the role of uncertainty, Quality & Quantity: International Journal of Methodology, Springer (2019) View citations (18) (2019)
444. 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)
445. 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 The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests, Finance Research Letters, Elsevier (2019) View citations (10) (2019)
446. 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 The role of housing sentiment in forecasting U.S. home sales growth: evidence from a Bayesian compressed vector autoregressive model, Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals (2019) View citations (1) (2019)
447. 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 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, Oviedo University Press (2019) View citations (3) (2019)
448. The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa
     Working Papers, University of Pretoria, Department of Economics View citations (15)
     See also Journal Article The synergistic effect of insurance and banking sector activities on economic growth in Africa, Economic Systems, Elsevier (2018) View citations (12) (2018)
449. 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 Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017, Journal of Multinational Financial Management, Elsevier (2019) View citations (4) (2019)
450. Time-Varying Impact of Geopolitical Risks on Oil Prices
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Time-Varying Impact of Geopolitical Risks on Oil Prices, Defence and Peace Economics, Taylor & Francis Journals (2020) View citations (76) (2020)
451. Time-Varying Impact of Uncertainty Shocks on the US Housing Market
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Time-varying impact of uncertainty shocks on the US housing market, Economics Letters, Elsevier (2019) View citations (14) (2019)
452. 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 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, Elsevier (2019) View citations (18) (2019)
453. Time-Varying Risk Aversion and Realized Gold Volatility
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Time-varying risk aversion and realized gold volatility, The North American Journal of Economics and Finance, Elsevier (2019) View citations (39) (2019)
454. 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)
455. Volatility Jumps: The Role of Geopolitical Risks
     Working Papers, University of Pretoria, Department of Economics View citations (55)
     See also Journal Article Volatility jumps: The role of geopolitical risks, Finance Research Letters, Elsevier (2018) View citations (41) (2018)
456. Why must it always be so Real with Tax Evasion?
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Why must it always be so Real with tax evasion?, The Quarterly Review of Economics and Finance, Elsevier (2020) (2020)

2017

457. 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)
458. 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 View citations (1)
459. 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 A note on the technology herd: evidence from large institutional investors, Review of Behavioral Finance, Emerald Group Publishing Limited (2019) View citations (4) (2019)
460. An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data
     Working Papers, University of Pretoria, Department of Economics
461. 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)
     See also Journal Article Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2022) (2022)
462. 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 (2)
     See also Journal Article 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, De Gruyter (2019) View citations (9) (2019)
463. 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)
464. 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 Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles, The Quarterly Review of Economics and Finance, Elsevier (2018) View citations (103) (2018)
465. Can volume predict Bitcoin returns and volatility? A quantiles-based approach
     Post-Print, HAL View citations (278)
     See also Journal Article Can volume predict Bitcoin returns and volatility? A quantiles-based approach, Economic Modelling, Elsevier (2017) View citations (326) (2017)
466. 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 Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty, Journal of Macroeconomics, Elsevier (2018) View citations (85) (2018)
467. 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)
468. 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
469. 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 Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks, The Journal of International Trade & Economic Development, Taylor & Francis Journals (2018) View citations (8) (2018)
470. Date-stamping US housing market explosivity
     Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel)
     See also Journal Article Date-stamping US housing market explosivity, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2018) View citations (4) (2018)
471. 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)
472. Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Do house prices hedge inflation in the US? A quantile cointegration approach, International Review of Economics & Finance, Elsevier (2018) View citations (14) (2018)
473. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
     Post-Print, HAL View citations (326)
     Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (9)
     See also Journal Article Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions, Finance Research Letters, Elsevier (2017) View citations (345) (2017)
474. 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)
475. 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 (49)
     See also Journal Article Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016, Resources Policy, Elsevier (2017) View citations (39) (2017)
476. 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)
477. Economic Policy Uncertainty and Insurance
     Working Papers, University of Pretoria, Department of Economics View citations (3)
478. 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 Exchange rate returns and volatility: the role of time-varying rare disaster risks, The European Journal of Finance, Taylor & Francis Journals (2019) View citations (15) (2019)
479. Forecasting the U.S. Real House Price Index
     Papers, arXiv.org
     Also in Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (15)
     DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2014) View citations (11)
     Working Papers, University of Pretoria, Department of Economics (2014) View citations (1)
     See also Journal Article Forecasting the U.S. real house price index, Economic Modelling, Elsevier (2015) View citations (8) (2015)
480. 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 Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note, Defence and Peace Economics, Taylor & Francis Journals (2019) View citations (41) (2019)
481. Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016
     Working Papers, University of Pretoria, Department of Economics View citations (137)
     See also Journal Article Geopolitical risks and the oil-stock nexus over 1899–2016, Finance Research Letters, Elsevier (2017) View citations (134) (2017)
482. 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 Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model, Emerging Markets Finance and Trade, Taylor & Francis Journals (2020) (2020)
483. Inflation Dynamics in Uganda: A Quantile Regression Approach
     School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town
     Also in Working Papers, University of Pretoria, Department of Economics (2017)
     See also Journal Article Inflation dynamics in Uganda: a quantile regression approach, Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals (2020) (2020)
484. Is Wine a Good Choice for Investment?
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Is wine a good choice for investment?, Pacific-Basin Finance Journal, Elsevier (2018) View citations (28) (2018)
485. 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 IS WINE A SAFE-HAVEN? EVIDENCE FROM A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST, Advances in Decision Sciences, Asia University, Taiwan (2018) View citations (1) (2018)
486. Kuznets Curve for the US: A Reconsideration Using Cosummability
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Kuznets Curve for the US: A Reconsideration Using Cosummability, Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer (2019) View citations (6) (2019)
487. 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 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, Lifescience Global (2019) View citations (7) (2019)
488. Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Macroeconomic uncertainty, growth and inflation in the Eurozone: a causal approach, Applied Economics Letters, Taylor & Francis Journals (2018) (2018)
489. 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
     Also in Working Papers, University of Pretoria, Department of Economics (2016)
490. Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach, Emerging Markets Finance and Trade, Taylor & Francis Journals (2018) View citations (2) (2018)
491. 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)
     See also Journal Article Monetary policy and financial frictions in a small open-economy model for Uganda, Empirical Economics, Springer (2020) (2020)
492. 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)
493. Near-Rational Expectations: How Far are Surveys from Rationality?
     EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels
     Also in Working Papers, University of Pretoria, Department of Economics (2016)
     See also Journal Article Near-Rational Expectations: How Far are Surveys from Rationality?, Journal of Economics and Econometrics, Economics and Econometrics Society (2017) (2017)
494. 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 Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach, The Quarterly Review of Economics and Finance, Elsevier (2018) View citations (122) (2018)
495. 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 News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets, Journal of Multinational Financial Management, Elsevier (2018) View citations (14) (2018)
496. 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 OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration, Advances in Decision Sciences, Asia University, Taiwan (2019) View citations (3) (2019)
497. 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 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, Elsevier (2018) View citations (21) (2018)
498. Oil Returns and Volatility: The Role of Mergers and Acquisitions
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Oil returns and volatility: The role of mergers and acquisitions, Energy Economics, Elsevier (2018) View citations (8) (2018)
499. Oil Speculation and Herding Behavior in Emerging Stock Markets
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Oil speculation and herding behavior in emerging stock markets, Journal of Economics and Finance, Springer (2019) View citations (11) (2019)
500. 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 On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators, Quantitative Finance, Taylor & Francis Journals (2019) View citations (29) (2019)
501. Openness and Growth: Is the Relationship Non-Linear?
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Openness and growth: Is the relationship non‐linear?, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2023) (2023)
502. 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) View citations (3)
503. 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 Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data, Manchester School, University of Manchester (2019) View citations (1) (2019)
504. 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 Predicting stock market movements with a time-varying consumption-aggregate wealth ratio, International Review of Economics & Finance, Elsevier (2019) View citations (5) (2019)
505. 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 Price jumps in developed stock markets: the role of monetary policy committee meetings, Journal of Economics and Finance, Springer (2019) View citations (8) (2019)
506. 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 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, Elsevier (2020) View citations (18) (2020)
507. The Effect of Economic Uncertainty on the Housing Market Cycle
     Working Papers, University of Pretoria, Department of Economics View citations (12)
     See also Journal Article The Effect of Economic Uncertainty on the Housing Market Cycle, Journal of Real Estate Portfolio Management, Taylor & Francis Journals (2019) View citations (1) (2019)
508. 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 Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures, International Economics, Elsevier (2018) View citations (19) (2018)
509. 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 (33)
     See also Journal Article The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises, The North American Journal of Economics and Finance, Elsevier (2017) View citations (34) (2017)
510. The Relationship between the Inflation Rate and Inequality across U.S. States: A Semiparametric Approach
     Working papers, University of Connecticut, Department of Economics View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2016)
     See also Journal Article The relationship between the inflation rate and inequality across U.S. states: a semiparametric approach, Quality & Quantity: International Journal of Methodology, Springer (2018) View citations (15) (2018)
511. 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 View citations (1)
     See also Journal Article The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions, Journal of Forecasting, John Wiley & Sons, Ltd. (2018) View citations (33) (2018)
512. 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 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, Elsevier (2018) View citations (63) (2018)
513. 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 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, Elsevier (2019) (2019)
514. 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 The role of time‐varying rare disaster risks in predicting bond returns and volatility, Review of Financial Economics, John Wiley & Sons (2019) View citations (5) (2019)
515. 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 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, Elsevier (2018) View citations (8) (2018)
516. 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 (2)
     See also Journal Article Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (14) (2018)
517. Time-Varying Rare Disaster Risks, Oil Returns and Volatility
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Time-varying rare disaster risks, oil returns and volatility, Energy Economics, Elsevier (2018) View citations (51) (2018)
518. 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 Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data, Empirical Economics, Springer (2020) View citations (6) (2020)
519. U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     Also in Working papers, University of Connecticut, Department of Economics (2017) View citations (2)
     See also Journal Article US Fiscal Policy and Asset Prices: The Role of Partisan Conflict, International Review of Finance, International Review of Finance Ltd. (2019) View citations (5) (2019)
520. Uncertainty and Forecasts of U.S. Recessions
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Uncertainty and Forecasts of U.S. Recessions, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2020) View citations (7) (2020)
521. 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 Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence, Empirical Economics, Springer (2019) View citations (4) (2019)
522. Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Volatility spillovers across global asset classes: Evidence from time and frequency domains, The Quarterly Review of Economics and Finance, Elsevier (2018) View citations (94) (2018)
523. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note
     Working Papers, University of Pretoria, Department of Economics
524. 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 Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test, International Review of Finance, International Review of Finance Ltd. (2018) View citations (1) (2018)

2016

525. A Time Series Analysis of Long Island Sound Lobster Fishery
     Working Papers, University of Pretoria, Department of Economics
526. 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) View citations (3)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
     See also Journal Article 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), Kiel Institute for the World Economy (IfW Kiel) (2016) View citations (3) (2016)
527. 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)
528. Analysis of Herding in REITs of an Emerging Market: The Case of Turkey
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Analysis of Herding in Reits of an Emerging Market: The Case of Turkey, Journal of Real Estate Portfolio Management, Taylor & Francis Journals (2018) (2018)
529. Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas
     Working Papers, University of Pretoria, Department of Economics View citations (3)
530. 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 Asymmetric dynamics of insurance premium: the impacts of output and economic policy uncertainty, Empirical Economics, Springer (2019) View citations (20) (2019)
531. Can Volume Predict Bitcoin Returns and Volatility? A Nonparametric Causality-in-Quantiles Approach
     Working Papers, University of Pretoria, Department of Economics View citations (3)
532. Can Weather Conditions in New York Predict South African Stock Returns?
     Working Papers, University of Pretoria, Department of Economics
533. 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 (23)
     See also Journal Article 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, De Gruyter (2018) View citations (17) (2018)
534. 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 View citations (1)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
     See also Journal Article 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, Springer (2018) View citations (8) (2018)
535. 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 Chaos in G7 stock markets using over one century of data: A note, Research in International Business and Finance, Elsevier (2019) View citations (5) (2019)
536. 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 (16)
537. Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Convergence patterns in sovereign bond yield spreads: Evidence from the Euro Area, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (15) (2017)
538. Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology across the U.S. States
     Working papers, University of Connecticut, Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2015)
539. 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 Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach, Journal of Economics and Finance, Springer (2018) View citations (7) (2018)
540. 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)
541. 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 Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations, Sustainability, MDPI (2017) View citations (26) (2017)
542. 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)
543. 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 Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach, The Quarterly Review of Economics and Finance, Elsevier (2017) View citations (21) (2017)
544. 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 Do trend extraction approaches affect causality detection in climate change studies?, Physica A: Statistical Mechanics and its Applications, Elsevier (2017) View citations (4) (2017)
545. 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 Does country risks predict stock returns and volatility? Evidence from a nonparametric approach, Research in International Business and Finance, Elsevier (2017) View citations (12) (2017)
546. 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 Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach, The Quarterly Review of Economics and Finance, Elsevier (2017) View citations (33) (2017)
547. 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)
548. 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 Does the US. macroeconomic news make the South African stock market riskier?, Journal of Developing Areas, Tennessee State University, College of Business (2017) View citations (6) (2017)
549. 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)
550. 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 Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model, Journal of Multinational Financial Management, Elsevier (2017) View citations (83) (2017)
551. 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 (9)
552. 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 View citations (2)
553. Efficiency in South African Agriculture: A Two-Stage Fuzzy Approach
     Working Papers, University of Pretoria, Department of Economics
554. 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 Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty, The Quarterly Review of Economics and Finance, Elsevier (2020) View citations (7) (2020)
555. 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 View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (2)
     See also Journal Article Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model, Empirical Economics, Springer (2017) View citations (3) (2017)
556. Forecasting US GNP Growth: The Role of Uncertainty
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article Forecasting US GNP growth: The role of uncertainty, Journal of Forecasting, John Wiley & Sons, Ltd. (2018) View citations (11) (2018)
557. 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 Forecasting the Probability of Recessions in South Africa: the Role of Decomposed Term Spread and Economic Policy Uncertainty, Journal of International Development, John Wiley & Sons, Ltd. (2019) View citations (11) (2019)
558. Forecasting using a Nonlinear DSGE Model
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Forecasting using a Nonlinear DSGE Model, Journal of Central Banking Theory and Practice, Central bank of Montenegro (2018) View citations (1) (2018)
559. Geopolitical Risks and Stock Market Dynamics of the BRICS
     Working Papers, University of Pretoria, Department of Economics View citations (30)
     See also Journal Article Geopolitical risks and stock market dynamics of the BRICS, Economic Systems, Elsevier (2018) View citations (122) (2018)
560. 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 Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach, Resources Policy, Elsevier (2018) View citations (10) (2018)
561. 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 Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model, Empirical Economics, Springer (2020) View citations (2) (2020)
562. 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)
     See also Journal Article Impact of Activity Tax in the Property-Owning and Subletting of Fixed Property Sectors on the South African Economy: A CGE Analysis, Journal of Real Estate Literature, Taylor & Francis Journals (2016) (2016)
563. 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 Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (81) (2017)
564. Income Inequality: A State-by-State Complex Network Analysis
     Working papers, University of Connecticut, Department of Economics View citations (1)
     Also in DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2016) View citations (1)
     Working Papers, University of Pretoria, Department of Economics (2015) View citations (3)
565. Is Inflation Persistence Different in Reality?
     Working Papers, University of Pretoria, Department of Economics View citations (11)
     See also Journal Article Is inflation persistence different in reality?, Economics Letters, Elsevier (2016) View citations (11) (2016)
566. Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence
     Working papers, University of Connecticut, Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2014)
     Working papers, University of Connecticut, Department of Economics (2015)
     See also Journal Article Is real per capita state personal income stationary? New nonlinear, asymmetric panel‐data evidence, Bulletin of Economic Research, Wiley Blackwell (2020) View citations (4) (2020)
567. LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index
     Working Papers, University of Pretoria, Department of Economics View citations (26)
     See also Journal Article LPPLS bubble indicators over two centuries of the S&P 500 index, Physica A: Statistical Mechanics and its Applications, Elsevier (2016) View citations (19) (2016)
568. 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 Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting, International Review of Economics & Finance, Elsevier (2016) View citations (27) (2016)
569. 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 Market efficiency of Baltic stock markets: A fractional integration approach, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (13) (2018)
570. Merger and Acquisitions in South African Banking: A Network DEA Model
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Merger and acquisitions in South African banking: A network DEA model, Research in International Business and Finance, Elsevier (2017) View citations (13) (2017)
571. Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks
     Working Papers, University of Pretoria, Department of Economics View citations (14)
     See also Journal Article Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2019) View citations (70) (2019)
572. 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 On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees, Finance Research Letters, Elsevier (2019) View citations (2) (2019)
573. Periodically Collapsing Bubbles in the South African Stock Market
     Working Papers, University of Pretoria, Department of Economics View citations (21)
     See also Journal Article Periodically collapsing bubbles in the South African stock market, Research in International Business and Finance, Elsevier (2016) View citations (16) (2016)
574. Price Convergence Patterns across U.S. States
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Price Convergence Patterns across U.S. States, Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia (2019) View citations (1) (2019)
575. Productive Efficiency of Connecticut Long Island Lobster Fishery Using a Finite Mixture Model
     Working Papers, University of Pretoria, Department of Economics
576. 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 Revisiting the twin deficits hypothesis: a quantile cointegration analysis over the period 1791-2013, Journal of Applied Economics, Taylor & Francis Journals (2019) View citations (1) (2019)
577. 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 (17)
     See also Journal Article Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries, The European Journal of Finance, Taylor & Francis Journals (2018) View citations (27) (2018)
578. 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)
579. 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 The depreciation of the pound post-Brexit: Could it have been predicted?, Finance Research Letters, Elsevier (2017) View citations (12) (2017)
580. 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 The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective, Journal of Economics and Finance, Springer (2017) View citations (12) (2017)
581. The Effect of Investor Sentiment on Gold Market Dynamics
     Working Papers, University of Pretoria, Department of Economics
582. 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 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, Tennessee State University, College of Business (2020) View citations (1) (2020)
583. 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 The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches, International Review of Economics & Finance, Elsevier (2017) View citations (11) (2017)
584. 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 (5)
585. 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 The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model, Empirica, Springer (2019) View citations (49) (2019)
586. 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)
587. The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests
     Working Papers, University of Pretoria, Department of Economics View citations (1)
588. 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 The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis, Finance Research Letters, Elsevier (2018) View citations (10) (2018)
589. 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
     See also Journal Article The relationship between population growth and standard-of-living growth over 1870–2013: evidence from a bootstrapped panel Granger causality test, Empirica, Springer (2017) View citations (4) (2017)
590. 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 THE RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND TRADING VOLUME: EVIDENCE FROM SOUTH AFRICA, Journal of Developing Areas, Tennessee State University, College of Business (2018) View citations (18) (2018)
591. 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 The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach, Open Economies Review, Springer (2017) View citations (10) (2017)
592. 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
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (1)
     See also Journal Article The role of oil prices in the forecasts of South African interest rates: A Bayesian approach, Energy Economics, Elsevier (2017) View citations (1) (2017)
593. 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 The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach, Finance Research Letters, Elsevier (2018) View citations (13) (2018)
594. The Term Premium as a Leading Macroeconomic Indicator
     Working Papers, University of Pretoria, Department of Economics View citations (3)
595. 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) View citations (50)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (11)
     See also Journal Article 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), Kiel Institute for the World Economy (IfW Kiel) (2016) View citations (43) (2016)
596. The time-series linkages between US fiscal policy and asset prices
     Working papers, University of Connecticut, Department of Economics View citations (1)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
     See also Journal Article The Time-series Linkages between US Fiscal Policy and Asset Prices, Public Finance Review (2020) View citations (3) (2020)
597. Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data
     Working papers, University of Connecticut, Department of Economics View citations (1)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
598. 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)
599. 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) View citations (4)
     See also Journal Article Time-varying persistence of inflation: evidence from a wavelet-based approach, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) View citations (3) (2017)
600. Trends and Cycles in Historical Gold and Silver Prices
     NCID Working Papers, Navarra Center for International Development, University of Navarra
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (15)
     See also Journal Article Trends and cycles in historical gold and silver prices, Journal of International Money and Finance, Elsevier (2015) View citations (14) (2015)

2015

601. 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 A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices, Applied Economics, Taylor & Francis Journals (2016) View citations (16) (2016)
602. 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 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, Springer (2017) View citations (1) (2017)
603. 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)
604. 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 Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach, Applied Economics, Taylor & Francis Journals (2018) View citations (37) (2018)
605. 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)
606. Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?
     Working Papers, Eastern Mediterranean University, Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (1)
607. 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 Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data, Energy Economics, Elsevier (2017) View citations (38) (2017)
608. 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) View citations (2)
     See also Journal Article Comparing the forecasting ability of financial conditions indices: The case of South Africa, The Quarterly Review of Economics and Finance, Elsevier (2018) View citations (8) (2018)
609. 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 Convergence of Health Care Expenditures Across the US States: A Reconsideration, Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer (2017) View citations (4) (2017)
610. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
     Open Access publications, School of Economics, University College Dublin View citations (4)
     Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (8)
     See also Journal Article DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa, Applied Economics, Taylor & Francis Journals (2015) View citations (4) (2015)
611. Detection of Multiple Bubbles in South African Electricity Prices
     Working Papers, University of Pretoria, Department of Economics
612. Development, Poverty and Inequality: A Spatial Analysis of South African Provinces
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Development, Poverty and Inequality: A Spatial Analysis of South African Provinces, Journal of Developing Areas, Tennessee State University, College of Business (2017) View citations (1) (2017)
613. Do Commodities Herd? Evidence from a Time-Varying Stochastic Volatility Model
     Working Papers, University of Pretoria, Department of Economics View citations (13)
614. Do Precious Metal Prices Help in Forecasting South African Inflation?
     Working Papers, University of Pretoria, Department of Economics
     Also in Working Papers, Stellenbosch University, Department of Economics (2015) View citations (1)
     Working Papers, Eastern Mediterranean University, Department of Economics (2015)
     See also Journal Article Do precious metal prices help in forecasting South African inflation?, The North American Journal of Economics and Finance, Elsevier (2017) View citations (4) (2017)
615. 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 Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test, Open Economies Review, Springer (2016) View citations (98) (2016)
616. 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 Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test, Resources Policy, Elsevier (2016) View citations (161) (2016)
617. Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns
     MPRA Paper, University Library of Munich, Germany View citations (47)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (47)
     See also Journal Article Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns, Journal of Real Estate Portfolio Management, Taylor & Francis Journals (2015) View citations (2) (2015)
618. 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 Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note, Atlantic Economic Journal, Springer (2016) View citations (21) (2016)
619. 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 Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty, and the Macroeconomy, Southern Economic Journal, John Wiley & Sons (2016) View citations (11) (2016)
620. Energy Demand in South Africa: Is it Asymmetric?
     Working Papers, University of Pretoria, Department of Economics
621. Energy Efficiency Drivers in South Africa: 1965-2014
     Working Papers, University of Pretoria, Department of Economics
622. 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
623. Forecasting Accuracy Evaluation of Tourist Arrivals: Evidence from Parametric and Non-Parametric Techniques
     Working Papers, University of Pretoria, Department of Economics View citations (1)
624. Forecasting Core Inflation: The Case of South Africa
     Working Papers, University of Pretoria, Department of Economics
     Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015)
     See also Journal Article Forecasting core inflation: the case of South Africa, Applied Economics, Taylor & Francis Journals (2020) View citations (3) (2020)
625. Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Forecasting inflation in an inflation targeting economy: structural versus nonstructural models, Applied Economics, Taylor & Francis Journals (2017) (2017)
626. 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 Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR, Journal of Forecasting, John Wiley & Sons, Ltd. (2017) View citations (4) (2017)
627. 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 Forecasting oil and stock returns with a Qual VAR using over 150years off data, Energy Economics, Elsevier (2017) View citations (48) (2017)
628. 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 Forecasting output growth using a DSGE-based decomposition of the South African yield curve, Empirical Economics, Springer (2020) View citations (1) (2020)
629. Forecasting the US CPI: Does Nonlinearity Matter?
     Working Papers, University of Pretoria, Department of Economics View citations (7)
630. Has oil price predicted stock returns for over a century?
     Working Papers, Deakin University, Department of Economics View citations (255)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (13)
     See also Journal Article Has oil price predicted stock returns for over a century?, Energy Economics, Elsevier (2015) View citations (239) (2015)
631. 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
632. 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 Hydroelectricity consumption and economic growth nexus: Evidence from a panel of ten largest hydroelectricity consumers, Renewable and Sustainable Energy Reviews, Elsevier (2016) View citations (14) (2016)
633. Identifying Asymmetries between Socially Responsible and Conventional Investments
     Working Papers, University of Pretoria, Department of Economics View citations (2)
634. Identifying Periods of US Housing Market Explosivity
     Working Papers, Eastern Mediterranean University, Department of Economics View citations (1)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (2)
     Working Papers, Stellenbosch University, Department of Economics (2015) View citations (1)
635. 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 Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis, Finance Research Letters, Elsevier (2016) View citations (70) (2016)
636. 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)
637. International Stock Return Predictability: Is the Role of U.S. Time-Varying?
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     Also in Working Papers, Eastern Mediterranean University, Department of Economics (2015) View citations (4)
     See also Journal Article International stock return predictability: Is the role of U.S. time-varying?, Empirica, Springer (2017) View citations (27) (2017)
638. 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 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, Springer (2017) View citations (8) (2017)
639. 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 Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model, Resources Policy, Elsevier (2016) View citations (42) (2016)
640. Modeling Persistence of Carbon Emission Allowance Prices
     Working Papers, University of Pretoria, Department of Economics View citations (3)
     See also Journal Article Modeling persistence of carbon emission allowance prices, Renewable and Sustainable Energy Reviews, Elsevier (2016) View citations (11) (2016)
641. 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)
642. 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) View citations (1)
643. Oil Price Forecastability and Economic Uncertainty
     Working Papers, University of Pretoria, Department of Economics View citations (62)
     Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015) View citations (61)
     Open Access publications, School of Economics, University College Dublin (2015) View citations (61)
     See also Journal Article Oil price forecastability and economic uncertainty, Economics Letters, Elsevier (2015) View citations (61) (2015)
644. 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 On economic uncertainty, stock market predictability and nonlinear spillover effects, The North American Journal of Economics and Finance, Elsevier (2016) View citations (50) (2016)
645. 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 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, Springer (2017) View citations (10) (2017)
646. 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 On international uncertainty links: BART-based empirical evidence for Canada, Economics Letters, Elsevier (2016) View citations (25) (2016)
647. Persistence of precious metal prices: a fractional integration approach with structural breaks
     NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (37)
     Also in Working Papers, University of Pretoria, Department of Economics (2014)
     See also Journal Article Persistence of precious metal prices: A fractional integration approach with structural breaks, Resources Policy, Elsevier (2015) View citations (36) (2015)
648. 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 Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates, Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer (2017) View citations (3) (2017)
649. 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)
650. 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 Predicting global temperature anomaly: A definitive investigation using an ensemble of twelve competing forecasting models, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (9) (2018)
651. 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)
652. 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 Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach, Economics Letters, Elsevier (2015) View citations (8) (2015)
653. 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)
654. 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 (11)
655. 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 View citations (13)
     Also in Working Papers, University of Pretoria, Department of Economics (2015) View citations (38)
     See also Journal Article The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method, Empirical Economics, Springer (2017) View citations (135) (2017)
656. 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 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, Springer (2016) View citations (3) (2016)
657. The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework
     Working Papers, University of Pretoria, Department of Economics
658. 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 The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (34) (2018)
659. The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach, The Journal of International Trade & Economic Development, Taylor & Francis Journals (2016) View citations (2) (2016)
660. 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)
661. The Macroeconomic Effects of Uncertainty Shocks in India
     Working Papers, University of Pretoria, Department of Economics
662. 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)
663. 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 View citations (6)
     Also in CESifo Working Paper Series, CESifo (2015) View citations (6)
     Working Papers, University of Pretoria, Department of Economics (2015) View citations (6)
     See also Journal Article The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis, Empirical Economics, Springer (2018) View citations (1) (2018)
664. 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)
665. The South African Economic Response to Monetary Policy Uncertainty
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article South Africa’s economic response to monetary policy uncertainty, Journal of Economic Studies, Emerald Group Publishing Limited (2017) View citations (5) (2017)
666. The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014
     Working Papers, University of Pretoria, Department of Economics
667. The US Real GNP is Trend-Stationary After All
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article The US real GNP is trend-stationary after all, Applied Economics Letters, Taylor & Francis Journals (2017) View citations (10) (2017)
668. 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 Time series analysis of persistence in crude oil price volatility across bull and bear regimes, Energy, Elsevier (2016) View citations (34) (2016)
669. 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 Time-frequency relationship between US output with commodity and asset prices, Applied Economics, Taylor & Francis Journals (2016) View citations (9) (2016)
670. 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 Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013, Journal of Economics and Finance, Springer (2018) View citations (1) (2018)
671. Trust and Quality of Growth: A Note
     MPRA Paper, University Library of Munich, Germany View citations (5)
     Also in Working Papers of the African Governance and Development Institute., African Governance and Development Institute. (2015) View citations (5)
     Research Africa Network Working Papers, Research Africa Network (RAN) (2015) View citations (3)
     Working Papers, University of Pretoria, Department of Economics (2015) View citations (5)
     See also Journal Article Trust and quality of growth: a note, Economics Bulletin, AccessEcon (2016) View citations (8) (2016)
672. US inflation dynamics on long range data
     DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics View citations (6)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (2)
     See also Journal Article US inflation dynamics on long-range data, Applied Economics, Taylor & Francis Journals (2015) View citations (8) (2015)
673. Uncertainty and Crude Oil Returns
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     Also in Working papers, University of Connecticut, Department of Economics (2015) View citations (1)
     See also Journal Article Uncertainty and crude oil returns, Energy Economics, Elsevier (2016) View citations (156) (2016)
674. 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 Unconventional monetary policy shocks in OECD countries: how important is the extent of policy uncertainty?, International Economics and Economic Policy, Springer (2018) View citations (10) (2018)

2014

675. 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)
676. A Time-Varying Approach of the US Welfare Cost of Inflation
     Working papers, University of Connecticut, Department of Economics View citations (17)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (11)
     See also Journal Article A TIME-VARYING APPROACH OF THE US WELFARE COST OF INFLATION, Macroeconomic Dynamics, Cambridge University Press (2019) View citations (8) (2019)
677. 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 AN APPLICATION OF A NEW SEASONAL UNIT ROOT TEST FOR TRENDING AND BREAKING SERIES TO INDUSTRIAL PRODUCTION OF THE BRICS, Journal of Developing Areas, Tennessee State University, College of Business (2016) (2016)
678. Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter
     Working Papers, University of Pretoria, Department of Economics View citations (3)
     Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (3)
     See also Journal Article Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter, Journal of Developing Areas, Tennessee State University, College of Business (2016) View citations (10) (2016)
679. 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 (11)
680. 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 Are there Environmental Kuznets Curves for US state-level CO2 emissions?, Renewable and Sustainable Energy Reviews, Elsevier (2017) View citations (42) (2017)
681. Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?
     Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (7)
     See also Journal Article Are there long-run diversification gains from the Dow Jones Islamic finance index?, Applied Economics Letters, Taylor & Francis Journals (2015) View citations (7) (2015)
682. Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?, Renewable and Sustainable Energy Reviews, Elsevier (2015) View citations (12) (2015)
683. 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)
684. Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
     Working Papers, Department of Research, Ipag Business School View citations (53)
     Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (1)
     Working Papers, Department of Research, Ipag Business School (2013) View citations (1)
     See also Journal Article Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?, Journal of International Financial Markets, Institutions and Money, Elsevier (2014) View citations (57) (2014)
685. Causal Link between Oil Price and Uncertainty in India
     Working Papers, University of Pretoria, Department of Economics View citations (2)
686. 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)
687. 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 Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model, Emerging Markets Review, Elsevier (2015) View citations (18) (2015)
688. Convergence in U.S. Metropolitan Statistical Areas
     Working Papers, University of Pretoria, Department of Economics
689. 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) View citations (7)
690. 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
691. 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 Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?, Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia (2016) View citations (1) (2016)
692. 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 Does sunspot numbers cause global temperatures? A reconsideration using non-parametric causality tests, Physica A: Statistical Mechanics and its Applications, Elsevier (2016) View citations (6) (2016)
693. 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)
694. Dutch Disease Effect of Oil Rents on Agriculture Value Added in MENA Countries
     Working Papers, University of Pretoria, Department of Economics View citations (33)
695. 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 Dynamic Relationship Between Oil Price And Inflation In South Africa, Journal of Developing Areas, Tennessee State University, College of Business (2018) View citations (18) (2018)
696. Endogenous Fluctuations in an Endogenous Growth Model with Inflation Targeting
     Working Papers, University of Pretoria, Department of Economics View citations (11)
697. 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 Energy efficiency of selected OECD countries: A slacks based model with undesirable outputs, Energy Economics, Elsevier (2015) View citations (61) (2015)
698. Evolution of the Monetary Transmission Mechanism in the US: The Role of Asset Returns
     Working Papers, University of Nevada, Las Vegas , Department of Economics
     See also Journal Article Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns, The Journal of Real Estate Finance and Economics, Springer (2016) View citations (22) (2016)
699. 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)
700. Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience
     Working Papers, Eastern Mediterranean University, Department of Economics View citations (7)
     Also in Working papers, University of Connecticut, Department of Economics (2012) View citations (4)
     Working Papers, University of Pretoria, Department of Economics (2012) View citations (7)
     Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) View citations (5)
701. Forecasting Aggregate Retail Sales: The Case of South Africa
     Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)
     See also Journal Article Forecasting aggregate retail sales: The case of South Africa, International Journal of Production Economics, Elsevier (2015) View citations (12) (2015)
702. 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 Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis, Computational Economics, Springer (2017) View citations (7) (2017)
703. Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation
     Working Papers, Eastern Mediterranean University, Department of Economics View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (10)
     See also Journal Article Forecasting South African inflation using non-linearmodels: a weighted loss-based evaluation, Applied Economics, Taylor & Francis Journals (2016) View citations (2) (2016)
704. 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 Forecasting US real house price returns over 1831-2013: evidence from copula models, Applied Economics, Taylor & Francis Journals (2015) View citations (8) (2015)
705. Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors
     Working papers, University of Connecticut, Department of Economics View citations (7)
     Also in Working Papers, University of Pretoria, Department of Economics (2013)
     See also Journal Article Forecasting US real private residential fixed investment using a large number of predictors, Empirical Economics, Springer (2016) View citations (4) (2016)
706. Forecasting the Price of Gold
     Working Papers, University of Pretoria, Department of Economics View citations (29)
     See also Journal Article Forecasting the price of gold, Applied Economics, Taylor & Francis Journals (2015) View citations (57) (2015)
707. Forecasting the Price of Gold Using Dynamic Model Averaging
     Working Papers, University of Pretoria, Department of Economics View citations (10)
     See also Journal Article Forecasting the price of gold using dynamic model averaging, International Review of Financial Analysis, Elsevier (2015) View citations (71) (2015)
708. Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality
     Working Papers, University of Pretoria, Department of Economics
     Also in Working Papers, Stellenbosch University, Department of Economics (2014) View citations (1)
     See also Journal Article Forecasting the South African inflation rate: On asymmetric loss and forecast rationality, Economic Systems, Elsevier (2016) View citations (4) (2016)
709. 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 View citations (3)
     Also in Working Papers, Department of Research, Ipag Business School (2014) View citations (3)
     Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)
     Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2014) View citations (3)
     See also Journal Article Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching, International Review of Economics & Finance, Elsevier (2016) View citations (42) (2016)
710. 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)
711. Housing and the Business Cycle in South Africa
     Working Papers, Eastern Mediterranean University, Department of Economics View citations (22)
     Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)
     See also Journal Article Housing and the business cycle in South Africa, Journal of Policy Modeling, Elsevier (2014) View citations (17) (2014)
712. Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data
     Working Papers, Stellenbosch University, Department of Economics View citations (3)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)
     See also Journal Article Inflation forecasts and forecaster herding: Evidence from South African survey data, Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier (2016) View citations (6) (2016)
713. Is the Rand Really Decoupled from Economic Fundamentals?
     Working Papers, University of Pretoria, Department of Economics
714. Is the South African Reserve Bank Influenced by Exchange Rates when Setting Interest Rates?
     Working Papers, University of Pretoria, Department of Economics
715. 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 Is there an Environmental Kuznets Curve for South Africa? A co-summability approach using a century of data, Energy Economics, Elsevier (2015) View citations (19) (2015)
716. 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 Oil price shocks and China's economy: Reactions of the monetary policy to oil price shocks, Energy Economics, Elsevier (2017) View citations (49) (2017)
717. On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     Also in Working Papers, Stellenbosch University, Department of Economics (2014) View citations (7)
     See also Journal Article On the directional accuracy of inflation forecasts: evidence from South African survey data, Journal of Applied Statistics, Taylor & Francis Journals (2018) View citations (3) (2018)
718. 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 Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013, Applied Economics, Taylor & Francis Journals (2016) (2016)
719. Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach
     Working Papers, University of Pretoria, Department of Economics View citations (15)
720. 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 Real estate returns predictability revisited: novel evidence from the US REITs market, Empirical Economics, Springer (2016) View citations (34) (2016)
721. Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013
     Working papers, University of Connecticut, Department of Economics View citations (3)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (3)
     See also Journal Article Regime switching model of US crude oil and stock market prices: 1859 to 2013, Energy Economics, Elsevier (2015) View citations (103) (2015)
722. Relationship between Happiness and Smoking: A Bootstrap Panel Causality Test
     Working Papers, University of Pretoria, Department of Economics View citations (1)
723. 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 Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing, Applied Economics, Taylor & Francis Journals (2016) View citations (21) (2016)
724. 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)
725. 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)
     See also Journal Article Stock price dynamics and the business cycle in an estimated DSGE model for South Africa, Journal of International Financial Markets, Institutions and Money, Elsevier (2016) View citations (7) (2016)
726. Testing for Multiple Bubbles in the BRICS Stock Markets
     Working Papers, University of Pretoria, Department of Economics View citations (19)
727. Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
     Working Papers, Eastern Mediterranean University, Department of Economics 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) View citations (2)
     See also Journal Article Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach, Journal of International Financial Markets, Institutions and Money, Elsevier (2016) View citations (25) (2016)
728. The Asymmetric Effect of Oil Price on Growth across US States
     Working Papers, University of Pretoria, Department of Economics
729. 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
730. 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
     Also in Working papers, University of Connecticut, Department of Economics (2013) View citations (3)
     Working Papers, University of Pretoria, Department of Economics (2013) View citations (5)
731. 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) View citations (2)
732. 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)
733. The Nonparametric Relationship between Oil and South African Agricultural Prices
     Working Papers, University of Pretoria, Department of Economics View citations (1)
734. The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach
     Working Papers, University of Pretoria, Department of Economics View citations (10)
735. 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)
736. The Role of Economic Policy Uncertainty in Forecasting US Inflation Using a VARFIMA Model
     Working Papers, Eastern Mediterranean University, Department of Economics View citations (8)
     Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (8)
737. The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     Also in Working Papers, Eastern Mediterranean University, Department of Economics (2014) View citations (3)
     See also Journal Article The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis, African Development Review, African Development Bank (2017) View citations (30) (2017)
738. 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)
739. Time-Varying Effects of Housing and Stock Prices on U.S. Consumption
     Working Papers, University of Nevada, Las Vegas , Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (2)
     Working papers, University of Connecticut, Department of Economics (2013) View citations (3)
740. Time-Varying Persistence in US Inflation
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Time-varying persistence in US inflation, Empirical Economics, Springer (2017) View citations (6) (2017)
741. Volatility Spillover between Energy and Financial Markets
     Working Papers, University of Pretoria, Department of Economics

2013

742. 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 A time-varying approach to analysing fiscal policy and asset prices in South Africa, Journal of Financial Economic Policy, Emerald Group Publishing Limited (2014) View citations (7) (2014)
743. 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 Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function, Applied Economics, Taylor & Francis Journals (2015) View citations (5) (2015)
744. 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 View citations (6)
     Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (4)
     See also Journal Article Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test, Economic Systems, Elsevier (2015) View citations (61) (2015)
745. 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 Are there housing bubbles in South Africa? Evidence from SPSM-based panel KSS test with a Fourier function, Global Business and Economics Review, Inderscience Enterprises Ltd (2016) View citations (1) (2016)
746. CROSS-COUNTRY EVIDENCE ON THE CAUSAL RELATIONSHIP BETWEEN POLICY UNCERTAINTY AND HOUSE PRICES
     Working Papers, University of Pretoria, Department of Economics View citations (8)
747. 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)
     See also Journal Article Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?, Applied Financial Economics, Taylor & Francis Journals (2014) View citations (9) (2014)
748. 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)
749. Causality between Economic Policy Uncertainty across Countries: Evidence from Linear and Nonlinear Tests
     Working Papers, University of Pretoria, Department of Economics View citations (10)
750. 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 (8)
     See also Journal Article Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests, Journal of Developing Areas, Tennessee State University, College of Business (2015) View citations (23) (2015)
751. Causality between Research Output and Economic Growth in BRICS
     Working Papers, University of Pretoria, Department of Economics View citations (6)
     See also Journal Article Causality between research output and economic growth in BRICS, Quality & Quantity: International Journal of Methodology, Springer (2015) View citations (16) (2015)
752. 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 Causality Between Us Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests, Journal of Applied Economics, Taylor & Francis Journals (2015) View citations (20) (2015)
753. 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 Comovement in Euro area housing prices: A fractional cointegration approach, Urban Studies, Urban Studies Journal Limited (2015) View citations (15) (2015)
754. 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 CONVERGENCE IN PROVINCIAL-LEVEL SOUTH AFRICAN HOUSE PRICES: EVIDENCE FROM THE CLUB CONVERGENCE AND CLUSTERING PROCEDURE, Review of Urban & Regional Development Studies, Wiley Blackwell (2015) View citations (12) (2015)
755. Convergence of Greenhouse Gas Emissions among G7 Countries
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Convergence of greenhouse gas emissions among G7 countries, Applied Economics, Taylor & Francis Journals (2015) View citations (13) (2015)
756. DGSE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
     Working Papers, University of Milano-Bicocca, Department of Economics View citations (1)
757. 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
758. 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 Do we need a global VAR model to forecast inflation and output in South Africa?, Applied Economics, Taylor & Francis Journals (2015) View citations (4) (2015)
759. 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 Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test, Applied Economics, Taylor & Francis Journals (2015) View citations (8) (2015)
760. 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 (85)
     See also Journal Article Does the source of oil price shocks matter for South African stock returns? A structural VAR approach, Energy Economics, Elsevier (2013) View citations (80) (2013)
761. Evolution of Monetary Policy in the US: The Role of Asset Prices
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     Also in Working papers, University of Connecticut, Department of Economics (2013) View citations (2)
762. FORECASTING THE RAND-DOLLAR AND RAND-POUND EXCHANGE RATES USING DYNAMIC MODEL AVERAGING
     Working Papers, University of Pretoria, Department of Economics View citations (3)
763. 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 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, Elsevier (2014) View citations (22) (2014)
764. Forecasting Indian Macroeconomic Variables Using Medium-Scale VAR Models
     Working Papers, University of Pretoria, Department of Economics View citations (1)
765. 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)
766. Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model
     Working Papers, University of Pretoria, Department of Economics View citations (9)
767. House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach
     Working Papers, University of Pretoria, Department of Economics View citations (10)
768. Housing and the Great Depression
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2013) View citations (5)
     Working papers, University of Connecticut, Department of Economics (2012) View citations (1)
     See also Journal Article Housing and the Great Depression, Applied Economics, Taylor & Francis Journals (2014) View citations (33) (2014)
769. Identifying a financial conditions index for South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (3)
770. MACRO SHOCKS AND HOUSE PRICES IN SOUTH AFRICA
     Working Papers, University of Pretoria, Department of Economics View citations (1)
771. 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 Military expenditure, economic growth and structural instability: a case study of South Africa, Defence and Peace Economics, Taylor & Francis Journals (2014) View citations (19) (2014)
772. 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)
     See also Journal Article Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model, Applied Financial Economics, Taylor & Francis Journals (2014) View citations (42) (2014)
773. Oil Price Uncertainty and Manufacturing Production in South Africa
     Working Papers, University of Pretoria, Department of Economics
774. 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 Panel Granger causality between oil consumption and GDP: evidence from BRICS countries, International Journal of Sustainable Economy, Inderscience Enterprises Ltd (2015) View citations (1) (2015)
775. Persistence and Cycles in Historical Oil Prices Data
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Persistence and cycles in historical oil price data, Energy Economics, Elsevier (2014) View citations (21) (2014)
776. 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 (3)
777. 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 (3)
     See also Journal Article 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, Inderscience Enterprises Ltd (2015) View citations (13) (2015)
778. 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)
779. 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 Tax evasion, financial development and inflation: Theory and empirical evidence, Journal of Banking & Finance, Elsevier (2014) View citations (46) (2014)
780. 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) View citations (8)
     See also Journal Article Temporal causality between house prices and output in the US: A bootstrap rolling-window approach, The North American Journal of Economics and Finance, Elsevier (2015) View citations (79) (2015)
781. 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 Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries, Applied Economics, Taylor & Francis Journals (2014) View citations (15) (2014)
782. Testing for persistence with breaks and outliers in South African house prices
     NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (10)
     Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2012)
     Working Papers, University of Pretoria, Department of Economics (2012)
783. Testing the Impact of Exchange Rate Uncertainty on Exports in South Africa
     Working Papers, University of Pretoria, Department of Economics
784. 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 Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa, Emerging Markets Finance and Trade, Taylor & Francis Journals (2015) View citations (5) (2015)
785. 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 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, Taylor & Francis Journals (2016) View citations (88) (2016)
786. 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 (16)
     Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (4)
     See also Journal Article 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, Inderscience Enterprises Ltd (2013) View citations (7) (2013)
787. 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 (15)
788. 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)
789. The Impact of Oil Shocks on the South African Economy
     Working Papers, University of Pretoria, Department of Economics View citations (10)
790. 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)
     See also Journal Article The Long-Run Relationship Between Consumption, House Prices, and Stock Prices in South Africa: Evidence from Provincial-level Data, Journal of Real Estate Literature, Taylor & Francis Journals (2014) (2014)
791. 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
792. 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 The causal relationship between natural gas consumption and economic growth: evidence from the G7 countries, Applied Economics Letters, Taylor & Francis Journals (2016) View citations (8) (2016)
793. The causal relationship between renewable energy consumption and economic growth: Evidence from the G7 countries
     Working Papers, University of Pretoria, Department of Economics
794. 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 The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries, Energy Policy, Elsevier (2014) View citations (163) (2014)
795. 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 (2)
     See also Journal Article 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, Cattaneo University (LIUC) (2013) View citations (2) (2013)
796. 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 Time-varying causality between research output and economic growth in US, Scientometrics, Springer (2014) View citations (29) (2014)
797. Time-Varying Linkages between Tourism Receipts and Economic Growth in South Africa
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Time-varying linkages between tourism receipts and economic growth in South Africa, Applied Economics, Taylor & Francis Journals (2014) View citations (23) (2014)
798. 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 Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test, Applied Economics, Taylor & Francis Journals (2015) View citations (46) (2015)
799. Was the Recent Downturn in US GDP Predictable?
     Working papers, University of Connecticut, Department of Economics
     Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2012)
     Working Papers, University of Pretoria, Department of Economics (2012)

2012

800. 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)
801. 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 (26)
802. Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure
     OECD Economics Department Working Papers, OECD Publishing View citations (29)
     Also in Working Papers, University of Pretoria, Department of Economics (2011) View citations (15)
     See also Journal Article Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure, Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin (2012) (2012)
803. 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 (23)
     See also Journal Article Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-varying Vector Autoregressive Model, Journal of Emerging Market Finance, Institute for Financial Management and Research (2015) View citations (12) (2015)
804. 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)
805. HOUSE PRICES AND BALANCE OF TRADE DYNAMICS IN SOUTH AFRICA: EVIDENCE FROM AN AGNOSTIC IDENTIFICATION PROCEDURE
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article House Prices and Balance of Trade Dynamics in South Africa: Evidence from an Agnostic Identification Procedure, Journal of Housing Research, Taylor & Francis Journals (2015) (2015)
806. 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) View citations (7)
     Working Papers, Eastern Mediterranean University, Department of Economics (2012) View citations (6)
807. METROPOLITAN HOUSE PRICES IN INDIA: DO THEY CONVERGE?
     Working Papers, University of Pretoria, Department of Economics View citations (3)
808. 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 Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”, Applied Econometrics and International Development, Euro-American Association of Economic Development (2012) View citations (6) (2012)
809. 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) View citations (6)
     See also Journal Article Macroeconomic surprises and stock returns in South Africa, Studies in Economics and Finance, Emerald Group Publishing Limited (2013) View citations (3) (2013)
810. Predicting BRICS Stock Returns Using ARFIMA Models
     Working Papers, University of Pretoria, Department of Economics View citations (6)
     See also Journal Article Predicting BRICS stock returns using ARFIMA models, Applied Financial Economics, Taylor & Francis Journals (2014) View citations (14) (2014)
811. Predictive Ability of Competing Models for South Africa’s Fixed Business Non- Residential Investment Spending
     Working Papers, University of Pretoria, Department of Economics
812. Real Interest Rate Persistence in South Africa: Evidence and Implications
     Working Papers, Stellenbosch University, Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2012) View citations (1)
     See also Journal Article Real interest rate persistence in South Africa: evidence and implications, Economic Change and Restructuring, Springer (2014) View citations (6) (2014)
813. 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)
814. Structural Breaks and Predictive Regressions Models of South African Equity Premium
     Working Papers, University of Pretoria, Department of Economics
815. 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 The Impact of House Prices on Consumption in South Africa: Evidence from Provincial-Level Panel VARs, Housing Studies, Taylor & Francis Journals (2013) View citations (18) (2013)
816. The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US
     Working Papers, University of Pretoria, Department of Economics View citations (6)
     Also in Working papers, University of Connecticut, Department of Economics (2012) View citations (3)
     Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) View citations (3)
     Working Papers, Eastern Mediterranean University, Department of Economics (2012) View citations (5)
     See also Journal Article The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US, Applied Economics, Taylor & Francis Journals (2015) View citations (15) (2015)
817. Using Large Data Sets to Forecast Sectoral Employment
     Working papers, University of Connecticut, Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2011) View citations (2)
     Working Papers, University of Nevada, Las Vegas , Department of Economics (2011) View citations (3)
     See also Journal Article Using large data sets to forecast sectoral employment, Statistical Methods & Applications, Springer (2014) View citations (2) (2014)

2011

818. "Ripple" Effects in South African House Prices
     Working Papers, University of Pretoria, Department of Economics View citations (7)
819. Financial Variables and the Out-of-Sample Forecastability of the Growth Rate of Indian Industrial Production
     Working Papers, University of Pretoria, Department of Economics
820. Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection
     Working Papers, University of Pretoria, Department of Economics
821. Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
     Working Papers, University of Nevada, Las Vegas , Department of Economics View citations (2)
     Also in Working papers, University of Connecticut, Department of Economics (2010) View citations (2)
     Working Papers, University of Pretoria, Department of Economics (2010)
     Working Papers, Eastern Mediterranean University, Department of Economics (2010) View citations (1)
     See also Journal Article Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes, Empirical Economics, Springer (2013) View citations (1) (2013)
822. House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data
     Working Papers, University of Pretoria, Department of Economics View citations (21)
     See also Journal Article House Prices and Economic Growth in South Africa: Evidence From Provincial-Level Data, Journal of Real Estate Literature, Taylor & Francis Journals (2012) (2012)
823. 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 Intertemporal portfolio allocation and hedging demand: an application to South Africa, Journal of Business Economics and Management, Taylor & Francis Journals (2014) View citations (1) (2014)
824. 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)
     See also Journal Article Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach, Journal of Housing Research, Taylor & Francis Journals (2013) (2013)
825. Macroeconomic Variables and South African Stock Return Predictability
     Working Papers, University of Pretoria, Department of Economics View citations (4)
     See also Journal Article Macroeconomic Variables and South African Stock Return Predictability, Economic Modelling, Elsevier (2013) View citations (27) (2013)
826. 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 Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors, Emerging Markets Finance and Trade, Taylor & Francis Journals (2016) View citations (7) (2016)
827. 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 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, Springer (2014) View citations (6) (2014)
828. Relationship between House Prices and Inflation in South Africa: An ARDL Approach
     Working Papers, University of Pretoria, Department of Economics View citations (3)
829. 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 Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data, Contemporary Economics, University of Economics and Human Sciences in Warsaw. (2013) View citations (15) (2013)
830. The Effects of Monetary Policy On Real Farm Prices in South Africa
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article THE EFFECTS OF MONETARY POLICY ON REAL FARM PRICES IN SOUTH AFRICA, Regional and Sectoral Economic Studies, Euro-American Association of Economic Development (2012) (2012)
831. 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 The Role of Asset Prices in Forecasting Inflation and Output in South Africa, Journal of Emerging Market Finance, Institute for Financial Management and Research (2013) View citations (31) (2013)

2010

832. 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 An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa, Economic Modelling, Elsevier (2011) View citations (20) (2011)
833. Bubbles in South African House Prices and their Impact on Consumption
     Working Papers, University of Pretoria, Department of Economics View citations (34)
834. 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)
835. Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics
     Working papers, University of Connecticut, Department of Economics View citations (1)
     Also in Working Papers, University of Pretoria, Department of Economics (2010) View citations (11)
836. 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 (4)
837. 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 View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2009) View citations (4)
     Working papers, University of Connecticut, Department of Economics (2009) View citations (6)
     See also Journal Article Forecasting the US real house price index: Structural and non-structural models with and without fundamentals, Economic Modelling, Elsevier (2011) View citations (41) (2011)
838. Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting
     Working Papers, University of Pretoria, Department of Economics View citations (13)
     See also Journal Article Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting, Annals of Economics and Finance, Society for AEF (2010) View citations (14) (2010)
839. Production Lags and Growth Dynamics in an Overlapping Generations Endogenous Growth Model
     Working Papers, University of Pretoria, Department of Economics View citations (1)
840. 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 South African stock return predictability in the context data mining: The role of financial variables and international stock returns, Economic Modelling, Elsevier (2012) View citations (22) (2012)
841. 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 Structural breaks and GARCH models of stock return volatility: The case of South Africa, Economic Modelling, Elsevier (2012) View citations (26) (2012)
842. The Long-Run Impact of Inflation in South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article The long-run impact of inflation in South Africa, Journal of Policy Modeling, Elsevier (2013) View citations (12) (2013)
843. 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 The long-run relationship between inflation and real stock prices: empirical evidence from South Africa, Journal of Business Economics and Management, Taylor & Francis Journals (2011) View citations (3) (2011)
844. Valuation Ratios and Stock Price Predictability in South Africa: Is it there?
     Working Papers, University of Pretoria, Department of Economics View citations (2)

2009

845. "Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix
     Working papers, University of Connecticut, Department of Economics View citations (16)
     Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2009) View citations (5)
     Working Papers, University of Pretoria, Department of Economics (2009) View citations (1)
     See also Journal Article “Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix, The Annals of Regional Science, Springer (2012) View citations (31) (2012)
846. 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 Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application of Saphe Cracking, Journal of Developing Areas, Tennessee State University, College of Business (2012) View citations (10) (2012)
847. 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 CONVERGENCE OF METROPOLITAN HOUSE PRICES IN SOUTH AFRICA: A RE-EXAMINATION USING EFFICIENT UNIT ROOT TESTS, Applied Econometrics and International Development, Euro-American Association of Economic Development (2010) View citations (11) (2010)
848. 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 (10)
     See also Journal Article Could We Have Predicted the Recent Downturn in Home Sales in the Four U.S. Census Regions?, Journal of Housing Research, Taylor & Francis Journals (2010) (2010)
849. FORECASTING REAL US HOUSE PRICE: PRINCIPAL COMPONENTS VERSUS BAYESIAN REGRESSIONS
     Working Papers, University of Pretoria, Department of Economics View citations (5)
850. Has the SARB Become More Effective Post Inflation Targeting?
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Has the SARB become more effective post inflation targeting?, Economic Change and Restructuring, Springer (2010) View citations (13) (2010)
851. Is the Permanent Income Hypothesis Really Well-Suited for Forecasting?
     Working Papers, University of Pretoria, Department of Economics View citations (2)
852. 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)
853. Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode
     Working Papers, University of Nevada, Las Vegas , Department of Economics View citations (2)
     Also in Working Papers, University of Pretoria, Department of Economics (2009) View citations (6)
     Working papers, University of Connecticut, Department of Economics (2009) View citations (23)
854. Some Benefits of Reducing Inflation in South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (1)
855. 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 (17)
     See also Journal Article The Blessing of Dimensionality in Forecasting Real House Price Growth in the Nine Census Divisions of the U.S, Journal of Housing Research, Taylor & Francis Journals (2010) (2010)
856. 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 THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH, Defence and Peace Economics, Taylor & Francis Journals (2010) View citations (12) (2010)
857. 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) View citations (3)
858. 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 The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach, Economic Modelling, Elsevier (2010) View citations (70) (2010)
859. 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 View citations (8)
     See also Journal Article The Time-Series Properties of House Prices: A Case Study of the Southern California Market, The Journal of Real Estate Finance and Economics, Springer (2012) View citations (41) (2012)
860. 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) View citations (14)
861. Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States
     Working Papers, University of Nevada, Las Vegas , Department of Economics View citations (6)
     Also in Working papers, University of Connecticut, Department of Economics (2009) View citations (9)
     Working Papers, University of Pretoria, Department of Economics (2009) View citations (6)

2008

862. A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (10)
863. 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 A New-Keynesian DSGE model for forecasting the South African economy, Journal of Forecasting, John Wiley & Sons, Ltd. (2009) View citations (27) (2009)
864. 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 Could we have predicted the recent downturn in the South African housing market?, Journal of Housing Economics, Elsevier (2009) View citations (28) (2009)
865. Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
     Working Papers, University of Pretoria, Department of Economics View citations (1)
866. Costly Tax Enforcement and Financial Repression
     Working Papers, University of Pretoria, Department of Economics View citations (7)
     See also Journal Article Costly Tax Enforcement and Financial Repression, Economic Notes, Banca Monte dei Paschi di Siena SpA (2008) View citations (7) (2008)
867. Costly Tax Enforcement and Financial Repression: A Reconsideration Using an Endogenous Growth Model
     Working Papers, University of Pretoria, Department of Economics
868. Currency Substitution and Financial Repression
     Working Papers, University of Pretoria, Department of Economics View citations (3)
     See also Journal Article Currency Substitution and Financial Repression, International Economic Journal, Taylor & Francis Journals (2011) (2011)
869. Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments, The IUP Journal of Monetary Economics, IUP Publications (2010) (2010)
870. 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 Financial Liberalization and the Effectiveness of Monetary Policy on House Prices in South Africa, The IUP Journal of Monetary Economics, IUP Publications (2010) View citations (20) (2010)
871. 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 Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs, Indian Economic Review, Department of Economics, Delhi School of Economics (2011) View citations (2) (2011)
872. 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 Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (44) (2010)
873. Forecasting the South African Economy: A DSGE-VAR Approach
     Other publications TiSEM, Tilburg University, School of Economics and Management
     Also in Working Papers, University of Pretoria, Department of Economics (2007) View citations (6)
     Discussion Paper, Tilburg University, Center for Economic Research (2008)
874. Half-Life Deviations from PPP in the SADC
     Working Papers, University of Pretoria, Department of Economics View citations (2)
875. Is a DFM Well-Suited in Forecasting Regional House Price Inflation?
     Working Papers, University of Pretoria, Department of Economics View citations (2)
876. Market Microstructure Approach to the Exchange Rate Determination Puzzle
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Market Microstructure Approach to the Exchange Rate Determination Puzzle, The IUP Journal of Monetary Economics, IUP Publications (2009) View citations (2) (2009)
877. Measuring the Welfare Cost of Inflation in South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (5)
     See also Journal Article MEASURING THE WELFARE COST OF INFLATION IN SOUTH AFRICA, South African Journal of Economics, Economic Society of South Africa (2008) View citations (6) (2008)
878. Measuring the Welfare Cost of Inflation in South Africa: A Reconsideration
     Working Papers, University of Pretoria, Department of Economics View citations (2)
879. Misalignment in the Growth-Maximizing Policies under Alternative Assumptions of Tax Evasion
     Working Papers, University of Pretoria, Department of Economics View citations (1)
880. Openness, Bureaucratic Corruption and Public Policy in an Endogenous Growth Model
     Working Papers, University of Pretoria, Department of Economics View citations (1)
881. Optimal Public Policy with Endogenous Mortality
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Optimal public policy with endogenous mortality, Journal of Economic Policy Reform, Taylor and Francis Journals (2010) (2010)
882. Predicting Downturns in the US Housing Market: A Bayesian Approach
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Predicting Downturns in the US Housing Market: A Bayesian Approach, The Journal of Real Estate Finance and Economics, Springer (2010) View citations (28) (2010)
883. Should the SARB Have Stayed Time Inconsistent?
     Working Papers, University of Pretoria, Department of Economics
884. Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (29)
     See also Journal Article SPATIAL BAYESIAN METHODS OF FORECASTING HOUSE PRICES IN SIX METROPOLITAN AREAS OF SOUTH AFRICA, South African Journal of Economics, Economic Society of South Africa (2008) View citations (27) (2008)
885. Tax Evasion and Financial Repression: A Reconsideration Using Endogenous Growth Models
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Tax evasion and financial repression: a reconsideration using endogenous growth models, Journal of Economic Studies, Emerald Group Publishing Limited (2009) View citations (9) (2009)
886. Testing for Fractional Integration in SADC Real Exchange Rates
     Working Papers, University of Pretoria, Department of Economics View citations (4)
887. Testing for PPP Using SADC Real Exchange Rates
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article TESTING FOR PPP USING SADC REAL EXCHANGE RATES, South African Journal of Economics, Economic Society of South Africa (2009) View citations (7) (2009)
888. 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 Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?, Studies in Economics and Econometrics, Taylor & Francis Journals (2009) (2009)
889. 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 Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation, Studies in Economics and Econometrics, Taylor & Francis Journals (2009) (2009)

2007

890. A Panel Bargaining Model within the Regional Boundaries of the South African Grain Industry
     Working Papers, University of Pretoria, Department of Economics
891. Bayesian Methods of Forecasting Inventory Investment in South Africa
     Working Papers, University of Pretoria, Department of Economics
892. Forecasting the South African Economy with Gibbs Sampled BVECMs
     Working Papers, University of Pretoria, Department of Economics View citations (9)
     See also Journal Article FORECASTING THE SOUTH AFRICAN ECONOMY WITH GIBBS SAMPLED BVECMs, South African Journal of Economics, Economic Society of South Africa (2007) View citations (9) (2007)
893. 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 Linking global economic dynamics to a South African-specific credit risk correlation model, Economic Modelling, Elsevier (2009) View citations (11) (2009)
894. Modelling Preferences of South African Grain Farmers for Adopting Derivative Contracts Using Discrete Choice Models
     Working Papers, University of Pretoria, Department of Economics
895. Modelling and Forecasting the Metical-Rand Exchange Rate
     Working Papers, University of Pretoria, Department of Economics View citations (2)
     See also Journal Article Modeling and Forecasting the Metical-Rand Exchange Rate, The IUP Journal of Monetary Economics, IUP Publications (2008) View citations (4) (2008)
896. Tax Evasion and Financial Repression
     Working papers, University of Connecticut, Department of Economics View citations (2)
     See also Journal Article Tax evasion and financial repression, Journal of Economics and Business, Elsevier (2008) View citations (18) (2008)
897. Temporal Causality between Budget Deficit and Interest Rate: The Case of South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (1)
898. Temporal Causality between Taxes and Public Expenditures: The Case of South Africa
     Working Papers, University of Pretoria, Department of Economics View citations (1)

2006

899. A BVAR Model for the South African Economy
     Working Papers, University of Pretoria, Department of Economics View citations (18)
     See also Journal Article A BVAR MODEL FOR THE SOUTH AFRICAN ECONOMY, South African Journal of Economics, Economic Society of South Africa (2006) View citations (20) (2006)
900. 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 A SMALL‐SCALE DSGE MODEL FOR FORECASTING THE SOUTH AFRICAN ECONOMY, South African Journal of Economics, Economic Society of South Africa (2007) View citations (39) (2007)
901. Active versus Passive Policies of Unemployment: Growth and Public Finance Perspectives
     Working Papers, University of Pretoria, Department of Economics View citations (1)
902. An Endogenous Growth Model of a Financially Repressed Small Open Economy
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article An Endogenous Growth Model of a Financially Repressed Small Open Economy, International Economic Journal, Taylor & Francis Journals (2009) View citations (1) (2009)
903. An Investigation of Openness and Economic Growth Using Panel Estimation
     Working Papers, University of Pretoria, Department of Economics View citations (11)
904. Financial Liberalization and a Possible Growth-Inflation Trade-Off
     Working Papers, University of Pretoria, Department of Economics
     See also Journal Article Financial Liberalization and a Possible Growth-Inflation Trade-Off, Indian Economic Review, Department of Economics, Delhi School of Economics (2009) View citations (2) (2009)
905. Financial Liberalization with Productive Public Expenditure and A Curb Market
     Working Papers, University of Pretoria, Department of Economics
906. Forecasting the South African Economy with VARs and VECMs
     Working Papers, University of Pretoria, Department of Economics View citations (27)
     See also Journal Article FORECASTING THE SOUTH AFRICAN ECONOMY WITH VARs AND VECMs, South African Journal of Economics, Economic Society of South Africa (2006) View citations (27) (2006)
907. 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 Growth-Effects of Inflation Targeting: The Role of Financial Sector Development, Annals of Economics and Finance, Society for AEF (2011) View citations (3) (2011)
908. R&D, Openness, and Growth
     Working Papers, University of Pretoria, Department of Economics

2005

909. A Generic Model of Financial Repression
     Working papers, University of Connecticut, Department of Economics View citations (1)
910. Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
     Working papers, University of Connecticut, Department of Economics
     See also Journal Article Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue, The IUP Journal of Monetary Economics, IUP Publications (2006) View citations (6) (2006)
911. Costly State Monitoring and Reserve Requirements
     Working papers, University of Connecticut, Department of Economics View citations (14)
     See also Journal Article Costly State Monitoring and Reserve Requirements, Annals of Economics and Finance, Society for AEF (2005) View citations (12) (2005)
912. Effect of High Yielding Variety of Seeds in the State of West Bengal: An Empirical Quest
     Working Papers, University of Pretoria, Department of Economics
913. 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 View citations (3)
914. Financial Liberalization and Inflationary Dynamics
     Working papers, University of Connecticut, Department of Economics View citations (4)
915. Financial Liberalization and Inflationary Dynamics in the Context of a Small Open Economy
     Working papers, University of Connecticut, Department of Economics
     Also in Working Papers, University of Pretoria, Department of Economics (2005)
916. Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
     Working papers, University of Connecticut, Department of Economics View citations (1)
     See also Journal Article Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis, International Economic Journal, Taylor & Francis Journals (2007) (2007)
917. 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 Financial Liberalization and the Dynamics of Inflation, Nominal Exchange Rate, and Terms of Trade, Indian Economic Review, Department of Economics, Delhi School of Economics (2007) (2007)
918. Financial Liberalization: A Myth or a Miracle Cure?
     Working Papers, University of Pretoria, Department of Economics View citations (1)
     See also Journal Article Financial Liberalization: A Myth or a Miracle Cure?, The IUP Journal of Monetary Economics, IUP Publications (2008) View citations (3) (2008)
919. Rational Expectations and the Effects of Financial Liberalization on Price Level and Output
     Working Papers, University of Pretoria, Department of Economics
920. Revisiting the Inflation-Repression Relationship
     Working Papers, University of Pretoria, Department of Economics
921. Revisiting the Temporal Causality between Money and Income
     Working Papers, University of Pretoria, Department of Economics
922. The Macroeconomic Reform and the Demand for Money in India
     Working Papers, University of Pretoria, Department of Economics View citations (2)

Journal Articles

2025

1. Commodity Risk and Forecastability of International Stock Returns: The Role of Oil Returns Skewness
   Risks, 2025, 13, (3), 1-20
2. Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies
   Journal of Empirical Finance, 2025, 81, (C)
   See also Working Paper Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies, Working Papers (2022) View citations (1) (2022)
3. Long-span multi-layer spillovers between moments of advanced equity markets: The role of climate risks
   Research in International Business and Finance, 2025, 74, (C)
   See also Working Paper Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks, Working Papers (2024) (2024)
4. Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India
   Financial Innovation, 2025, 11, (1), 1-25
   See also Working Paper Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India, Working Papers (2023) (2023)
5. Oil price shocks and the connectedness of US state-level financial markets
   Energy Economics, 2025, 141, (C)
   See also Working Paper Oil Price Shocks and the Connectedness of US State-Level Financial Markets, Working Papers (2024) View citations (1) (2024)
6. On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data
   Applied Economics, 2025, 57, (7), 790-804
   See also Working Paper On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data, Working Papers (2022) (2022)
7. Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty
   Economies, 2025, 13, (2), 1-25
   See also Working Paper Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty, Working Papers (2023) (2023)
8. Supply chain constraints and the predictability of the conditional distribution of international stock market returns and volatility
   Economics Letters, 2025, 247, (C) View citations (1)
   See also Working Paper Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility, Working Papers (2024) (2024)
9. The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom
   Palgrave Communications, 2025, 12, (1), 1-22
   See also Working Paper The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom, Working Papers (2021) View citations (1) (2021)

2024

10. Business applications and state‐level stock market realized volatility: A forecasting experiment
    Journal of Forecasting, 2024, 43, (2), 456-472
    See also Working Paper Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment, Working Papers (2022) (2022)
11. CLIMATE RISKS AND PREDICTABILITY OF COMMODITY RETURNS AND VOLATILITY: EVIDENCE FROM OVER 750 YEARS OF DATA
    Climate Change Economics (CCE), 2024, 15, (04), 1-40
    See also Working Paper Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data, Working Papers (2022) View citations (1) (2022)
12. Can municipal bonds hedge US state-level climate risks?
    Finance Research Letters, 2024, 67, (PB) View citations (1)
    See also Working Paper Can Municipal Bonds Hedge US State-Level Climate Risks?, Working Papers (2024) View citations (1) (2024)
13. Climate Risks and Real Gold Returns over 750 Years
    Forecasting, 2024, 6, (4), 1-16
    See also Working Paper Climate Risks and Real Gold Returns over 750 Years, Working Papers (2024) (2024)
14. Climate risks and forecastability of the weekly state‐level economic conditions of the United States
    International Review of Finance, 2024, 24, (1), 154-162 View citations (3)
    See also Working Paper Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States, Working Papers (2022) (2022)
15. Effects of Energy Consumption, Agricultural Trade, and Productivity on Carbon Emissions in Nigeria: A Quantile Regression Approach
    Commodities, 2024, 3, (4), 1-18
    See also Working Paper Effects of Energy Consumption, Agricultural Trade and Productivity on Carbon Emissions in Nigeria: A Quantile Regression Approach, Working Papers (2024) (2024)
16. Energy market uncertainties and exchange rate volatility: A GARCH-MIDAS approach
    Finance Research Letters, 2024, 67, (PB)
    See also Working Paper Energy Market Uncertainties and Exchange Rate Volatility: A GARCH-MIDAS Approach, Working Papers (2024) (2024)
17. Energy-related uncertainty and international stock market volatility
    The Quarterly Review of Economics and Finance, 2024, 95, (C), 280-293 View citations (3)
    See also Working Paper Energy-Related Uncertainty and International Stock Market Volatility, Working Papers (2023) View citations (1) (2023)
18. Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models
    International Review of Economics & Finance, 2024, 89, (PB), 349-362 View citations (7)
    See also Working Paper Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models, Working Papers (2020) View citations (13) (2020)
19. Extreme weather shocks and state-level inflation of the United States
    Economics Letters, 2024, 238, (C)
    See also Working Paper Extreme Weather Shocks and State-Level Inflation of the United States, Working Papers (2024) View citations (1) (2024)
20. Financial Uncertainty and Gold Market Volatility: Evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) Approach with Variable Selection
    Econometrics, 2024, 12, (4), 1-17
21. Financial stress and realized volatility: The case of agricultural commodities
    Research in International Business and Finance, 2024, 71, (C)
    See also Working Paper Financial Stress and Realized Volatility: The Case of Agricultural Commodities, Working Papers (2023) (2023)
22. Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments
    Finance Research Letters, 2024, 69, (PB)
    See also Working Paper Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments, Working Papers (2024) (2024)
23. Forecasting international financial stress: The role of climate risks
    Journal of International Financial Markets, Institutions and Money, 2024, 92, (C) View citations (8)
    See also Working Paper Forecasting International Financial Stress: The Role of Climate Risks, Working Papers (2023) (2023)
24. Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks
    International Journal of Forecasting, 2024, 40, (1), 29-43 View citations (7)
    See also Working Paper Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks, Working Papers (2022) View citations (1) (2022)
25. Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter?
    Journal of Forecasting, 2024, 43, (6), 2088-2125 View citations (4)
    See also Working Paper Forecasting the Realized Volatility of Agricultural Commodity Prices: Does Sentiment Matter?, Working Papers (2023) (2023)
26. Giant oil discoveries and conflicts
    Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, 2024, 26, (6), 15681-15710
    See also Working Paper Giant Oil Discoveries and Conflicts, Working Papers (2019) (2019)
27. Gold, platinum and the predictability of bubbles in global stock markets
    Resources Policy, 2024, 90, (C)
28. Herding in international REITs markets around the COVID-19 pandemic
    Research in International Business and Finance, 2024, 67, (PB) View citations (1)
    See also Working Paper Herding in International REITs Markets around the COVID-19 Pandemic, Working Papers (2022) (2022)
29. High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests
    The Journal of Real Estate Finance and Economics, 2024, 69, (2), 253-276
    See also Working Paper High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests, Working Papers (2021) (2021)
30. How connected is the oil-bank network? Firm-level and high-frequency evidence
    Energy Economics, 2024, 136, (C)
    See also Working Paper How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence, Working Papers (2024) (2024)
31. Inflation–inequality puzzle: is it still apparent?
    Journal of Economic Studies, 2024, 51, (7), 1461-1480
    See also Working Paper Inflation-Inequality Puzzle: Is it Still Apparent?, Working Papers (2022) (2022)
32. Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices
    Mathematics, 2024, 12, (18), 1-26 View citations (1)
    See also Working Paper Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices, Working Papers (2024) View citations (1) (2024)
33. Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach
    Review of Quantitative Finance and Accounting, 2024, 63, (4), 1473-1510 View citations (1)
    See also Working Paper Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach, Working Papers (2023) (2023)
34. Price effects after one-day abnormal returns and crises in the stock markets
    Research in International Business and Finance, 2024, 70, (PA)
    See also Working Paper Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets, Working Papers (2022) (2022)
35. Real-time forecast of DSGE models with time-varying volatility in GARCH form
    International Review of Financial Analysis, 2024, 93, (C) View citations (4)
    See also Working Paper Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form, Working Papers (2022) (2022)
36. Realized Stock Market Volatility of the United States: The Role of Employee Sentiment
    Annals of Financial Economics (AFE), 2024, 19, (02), 1-21
    See also Working Paper Realized Stock Market Volatility of the United States: The Role of Employee Sentiment, Working Papers (2023) (2023)
37. Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
    Financial Innovation, 2024, 10, (1), 1-17
    See also Working Paper Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach, Working Papers (2021) View citations (4) (2021)
38. Revisiting international house price convergence using house price level data
    Economic Systems, 2024, 48, (2)
    See also Working Paper Revisiting International House Price Convergence Using House Price Level Data, Working Papers (2022) (2022)
39. Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data
    Computational Economics, 2024, 64, (1), 487-513
    See also Working Paper Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data, Working Papers (2022) (2022)
40. Stock market bubbles and the realized volatility of oil price returns
    Energy Economics, 2024, 132, (C)
    See also Working Paper Stock Market Bubbles and the Realized Volatility of Oil Price Returns, Working Papers (2023) View citations (1) (2023)
41. Technological shocks and stock market volatility over a century
    Journal of Empirical Finance, 2024, 79, (C) View citations (1)
42. Time-Varying effects of extreme weather shocks on output growth of the United States
    Finance Research Letters, 2024, 70, (C)
    See also Working Paper Time-Varying Effects of Extreme Weather Shocks on Output Growth of the United States, Working Papers (2023) (2023)

2023

43. A Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
    Computational Economics, 2023, 62, (4), 1801-1843 View citations (1)
    See also Working Paper Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting, Working Papers (2020) (2020)
44. A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting
    Financial Innovation, 2023, 9, (1), 1-23 View citations (1)
45. A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models
    Applied Economics Letters, 2023, 30, (1), 37-42
46. Are real interest rates a monetary phenomenon? Evidence from 700 years of data
    Research in International Business and Finance, 2023, 66, (C)
47. Climate Change and Inequality: Evidence from the United States
    Sustainability, 2023, 15, (6), 1-11 View citations (5)
48. Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
    Mathematics, 2023, 11, (9), 1-21 View citations (8)
    See also Working Paper Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century, Working Papers (2021) (2021)
49. Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data
    International Review of Finance, 2023, 23, (2), 228-244 View citations (9)
    See also Working Paper Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data, Working Papers (2021) (2021)
50. Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model
    Resources Policy, 2023, 82, (C) View citations (5)
    See also Working Paper Climate Risks and Predictability of the Trading Volume of Gold: Evidence from an INGARCH Model, Working Papers (2022) (2022)
51. Climate risks and realized volatility of major commodity currency exchange rates
    Journal of Financial Markets, 2023, 62, (C) View citations (18)
    See also Working Paper Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates, Working Papers (2022) View citations (9) (2022)
52. Climate risks and state-level stock market realized volatility
    Journal of Financial Markets, 2023, 66, (C) View citations (12)
    See also Working Paper Climate Risks and State-Level Stock-Market Realized Volatility, Working Papers (2022) (2022)
53. 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 View citations (2)
54. Does climate policy uncertainty affect tourism demand? Evidence from time-varying causality tests
    Tourism Economics, 2023, 29, (6), 1484-1498
    See also Working Paper Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests, Working Papers (2021) View citations (1) (2021)
55. Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment
    Mathematics, 2023, 11, (6), 1-26 View citations (1)
56. Economic disasters and inequality: a note
    Economic Change and Restructuring, 2023, 56, (5), 3527-3543
57. El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach
    Journal of Forecasting, 2023, 42, (4), 785-801 View citations (3)
    See also Working Paper El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach, Working Papers (2021) (2021)
58. 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
    See also Working Paper Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic, Working Papers (2021) (2021)
59. Fiscal policy and stock markets at the effective lower bound
    Finance Research Letters, 2023, 58, (PC)
    See also Working Paper Fiscal Policy and Stock Markets at the Effective Lower Bound, Working Papers (2023) (2023)
60. Forecasting international REITs volatility: the role of oil-price uncertainty
    The European Journal of Finance, 2023, 29, (14), 1579-1597 View citations (3)
    See also Working Paper Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty, Working Papers (2021) (2021)
61. Forecasting national recessions of the United States with state-level climate risks: Evidence from model averaging in Markov-switching models
    Economics Letters, 2023, 227, (C) View citations (5)
    See also Working Paper Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models, Working Papers (2022) (2022)
62. Forecasting state- and MSA-level housing returns of the US: The role of mortgage default risks
    Research in International Business and Finance, 2023, 65, (C)
    See also Working Paper Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks, Working Papers (2020) (2020)
63. Forecasting the conditional distribution of realized volatility of oil price returns: The role of skewness over 1859 to 2023
    Finance Research Letters, 2023, 58, (PC) View citations (3)
    See also Working Paper Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023, Working Papers (2023) View citations (3) (2023)
64. Global geopolitical risk and inflation spillovers across European and North American economies
    Research in International Business and Finance, 2023, 66, (C) View citations (6)
65. 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) View citations (4)
66. Income inequality and house prices across US states
    The Quarterly Review of Economics and Finance, 2023, 91, (C), 192-197
    See also Working Paper Income Inequality and House Prices across US States, GRU Working Paper Series (2021) (2021)
67. Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility
    Annals of Financial Economics (AFE), 2023, 18, (02), 1-14
    See also Working Paper Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility, Working Papers (2022) View citations (1) (2022)
68. Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach
    Resources Policy, 2023, 84, (C) View citations (18)
69. Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning
    Journal of Behavioral Finance, 2023, 24, (1), 111-122 View citations (8)
    See also Working Paper Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning, Working Papers (2021) View citations (4) (2021)
70. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data
    Journal of Behavioral Finance, 2023, 24, (1), 56-72 View citations (3)
    See also Working Paper Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data, Working Papers (2020) View citations (1) (2020)
71. Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries
    Journal of Behavioral and Experimental Finance, 2023, 38, (C) View citations (11)
    See also Working Paper Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries, Working Papers (2022) (2022)
72. Is there a national housing market bubble brewing in the United States?
    Macroeconomic Dynamics, 2023, 27, (8), 2191-2228
    See also Working Paper Is there a National Housing Market Bubble Brewing in the United States?, Cardiff Economics Working Papers (2020) View citations (7) (2020)
73. Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development
    Economic Analysis and Policy, 2023, 78, (C), 133-155 View citations (10)
74. On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal
    Resources Policy, 2023, 85, (PB) View citations (2)
    See also Working Paper On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal, Working Papers (2022) (2022)
75. Openness and growth: Is the relationship non‐linear?
    International Journal of Finance & Economics, 2023, 28, (3), 3071-3099
    See also Working Paper Openness and Growth: Is the Relationship Non-Linear?, Working Papers (2017) (2017)
76. Policy uncertainty and stock market volatility revisited: The predictive role of signal quality
    Journal of Forecasting, 2023, 42, (8), 2307-2321 View citations (7)
    See also Working Paper Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality, Working Papers (2022) View citations (1) (2022)
77. Predictability of economic slowdowns in advanced countries over eight centuries: The role of climate risks
    Finance Research Letters, 2023, 54, (C) View citations (9)
    See also Working Paper Predictability of Economic Slowdowns in Advanced Countries over Eight Centuries: The Role of Climate Risks, Working Papers (2022) (2022)
78. Productivity and GDP: international evidence of persistence and trends over 130 years of data
    Empirical Economics, 2023, 64, (3), 1219-1246 View citations (1)
    See also Working Paper Productivity and GDP: International Evidence of Persistence and Trends Over 130 Years of Data, Working Papers (2021) (2021)
79. Realized Stock-Market Volatility of the United States and the Presidential Approval Rating
    Mathematics, 2023, 11, (13), 1-27 View citations (3)
    See also Working Paper Realized Stock-Market Volatility of the United States and the Presidential Approval Rating, Working Papers (2023) View citations (3) (2023)
80. Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries
    Journal of Behavioral Finance, 2023, 24, (3), 365-381 View citations (3)
    See also Working Paper Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries, Working Papers (2021) View citations (9) (2021)
81. Structural and predictive analyses with a mixed copula‐based vector autoregression model
    Journal of Forecasting, 2023, 42, (2), 223-239
    See also Working Paper Structural and Predictive Analyses with a Mixed Copula-Based Vector Autoregression Model, Working Papers (2021) (2021)
82. Tail risks and forecastability of stock returns of advanced economies: evidence from centuries of data*
    The European Journal of Finance, 2023, 29, (4), 466-481 View citations (7)
    See also Working Paper Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data, Working Papers (2021) View citations (9) (2021)
83. 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 View citations (2)
    See also Working Paper Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach, Working Papers (2022) (2022)
84. The ENSO cycle and forecastability of global inflation and output growth: Evidence from standard and mixed‐frequency multivariate singular spectrum analyses
    Journal of Forecasting, 2023, 42, (7), 1690-1707
    See also Working Paper The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses, Working Papers (2021) (2021)
85. The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States
    Risks, 2023, 11, (11), 1-9
    See also Working Paper The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States, Working Papers (2023) View citations (2) (2023)
86. The effect of oil uncertainty shock on real GDP of 33 countries: a global VAR approach
    Applied Economics Letters, 2023, 30, (3), 269-274 View citations (5)
    See also Working Paper The Effect of Oil Uncertainty Shock on Real GDP of 33 Countries: A Global VAR Approach, Working Papers (2021) View citations (7) (2021)
87. 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 View citations (12)
    See also Working Paper The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?, Working Papers (2021) View citations (1) (2021)
88. 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) View citations (2)
    See also Working Paper The Non-Linear Response of US State-Level Tradable and Non-Tradable Inflation to Oil Shocks: The Role of Oil-Dependence, Working Papers (2021) (2021)
89. The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
    Financial Innovation, 2023, 9, (1), 1-22 View citations (9)
90. 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
91. Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data
    International Journal of Finance & Economics, 2023, 28, (3), 2239-2247 View citations (2)
    See also Working Paper Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data, Working Papers (2020) View citations (6) (2020)
92. US monetary policy and BRICS stock market bubbles
    Finance Research Letters, 2023, 51, (C) View citations (11)
    See also Working Paper US Monetary Policy and BRICS Stock Market Bubbles, Working Papers (2022) (2022)
93. 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

2022

94. 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
    See also Working Paper A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment, Working Papers (2020) View citations (2) (2020)
95. A Note on the COVID-19 Shock and Real GDP in Emerging Economies
    Emerging Markets Finance and Trade, 2022, 58, (1), 93-101 View citations (3)
96. 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 View citations (6)
    See also Working Paper 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 (2019) View citations (5) (2019)
97. 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
    See also Working Paper 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 (2020) View citations (1) (2020)
98. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 73-98
    See also Working Paper Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data, Working Papers (2017) (2017)
99. Can monetary policy lean against housing bubbles?
    Economic Modelling, 2022, 110, (C) View citations (7)
    See also Working Paper Can Monetary Policy Lean against Housing Bubbles?, Working Papers (2018) View citations (3) (2018)
100. Climate risks and forecastability of the realized volatility of gold and other metal prices
     Resources Policy, 2022, 77, (C) View citations (12)
     See also Working Paper Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices, Working Papers (2021) (2021)
101. Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks
     Economics Letters, 2022, 217, (C) View citations (6)
     See also Working Paper Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks, Working Papers (2022) View citations (10) (2022)
102. 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 View citations (7)
103. Contagious diseases and gold: Over 700 years of evidence from quantile regressions
     Finance Research Letters, 2022, 50, (C) View citations (3)
     See also Working Paper Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions, Working Papers (2022) View citations (8) (2022)
104. 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
     See also Working Paper Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment, Working Papers (2019) View citations (5) (2019)
105. 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) View citations (6)
     See also Working Paper Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies, Working Papers (2021) (2021)
106. Exchange rate predictability with nine alternative models for BRICS countries
     Journal of Macroeconomics, 2022, 71, (C) View citations (2)
     See also Working Paper Exchange Rate Predictability with Nine Alternative Models for BRICS Countries, Working Papers (2021) (2021)
107. Financial market connectedness: The role of investors’ happiness
     Finance Research Letters, 2022, 44, (C) View citations (16)
108. Financial turbulence, systemic risk and the predictability of stock market volatility
     Global Finance Journal, 2022, 52, (C) View citations (9)
     See also Working Paper Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility, Working Papers (2021) (2021)
109. Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
     JRFM, 2022, 15, (11), 1-15 View citations (2)
     See also Working Paper Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty, Working Papers (2022) View citations (5) (2022)
110. Forecasting charge-off rates with a panel Tobit model: the role of uncertainty
     Applied Economics Letters, 2022, 29, (10), 927-931 View citations (1)
     See also Working Paper Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty, Working Papers (2020) (2020)
111. Forecasting oil and gold volatilities with sentiment indicators under structural breaks
     Energy Economics, 2022, 105, (C) View citations (22)
     See also Working Paper Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks, Working Papers (2021) View citations (1) (2021)
112. Forecasting oil prices over 150 years: The role of tail risks
     Resources Policy, 2022, 75, (C) View citations (9)
     See also Working Paper Forecasting Oil Price over 150 Years: The Role of Tail Risks, Working Papers (2021) View citations (10) (2021)
113. 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) View citations (10)
     See also Working Paper Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty, Working Papers (2021) View citations (3) (2021)
114. Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis
     Journal of Forecasting, 2022, 41, (2), 303-315 View citations (12)
     See also Working Paper Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis, Working Papers (2021) View citations (2) (2021)
115. Forecasting returns of major cryptocurrencies: Evidence from regime-switching factor models
     Finance Research Letters, 2022, 49, (C) View citations (7)
     See also Working Paper Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models, Working Papers (2022) View citations (7) (2022)
116. 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 View citations (2)
117. Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios
     International Review of Financial Analysis, 2022, 83, (C) View citations (7)
     See also Working Paper Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios, Working Papers (2021) (2021)
118. 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) View citations (7)
     See also Working Paper Forecasting the Realized Variance of Oil-Price Returns Using Machine-Learning: Is there a Role for U.S. State-Level Uncertainty?, Working Papers (2022) View citations (11) (2022)
119. Geopolitical risks and historical exchange rate volatility of the BRICS
     International Review of Economics & Finance, 2022, 77, (C), 179-190 View citations (25)
     See also Working Paper Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS, Working Papers (2020) (2020)
120. 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) View citations (1)
     See also Working Paper 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 (2021) View citations (2) (2021)
121. Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model
     Energy Economics, 2022, 108, (C) View citations (17)
     See also Working Paper Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model, Working Papers (2021) (2021)
122. Globalization, long memory, and real interest rate convergence: a historical perspective
     Empirical Economics, 2022, 63, (5), 2331-2355
     See also Working Paper Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective, Working Papers (2020) (2020)
123. 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
     See also Working Paper Information Entropy, Continuous Improvement, and US Energy Performance: A Novel Stochastic-Entropic Analysis for Ideal Solutions (SEA-IS), Working Papers (2020) View citations (1) (2020)
124. Interest rate uncertainty and the predictability of bank revenues
     Journal of Forecasting, 2022, 41, (8), 1559-1569 View citations (2)
     See also Working Paper Interest Rate Uncertainty and the Predictability of Bank Revenues, Working Papers (2021) (2021)
125. Investors’ Uncertainty and Forecasting Stock Market Volatility
     Journal of Behavioral Finance, 2022, 23, (3), 327-337 View citations (7)
     See also Working Paper Investors' Uncertainty and Forecasting Stock Market Volatility, Working Papers (2020) View citations (16) (2020)
126. Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
     Defence and Peace Economics, 2022, 33, (2), 150-161 View citations (12)
     See also Working Paper Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin, Working Papers (2020) View citations (8) (2020)
127. 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
     See also Working Paper Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty, Working Papers (2020) View citations (1) (2020)
128. Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions
     Journal of Forecasting, 2022, 41, (1), 134-157 View citations (16)
129. 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
     See also Working Paper Monetary Policy Reaction to Uncertainty in Japan: Evidence from a Quantile-on-Quantile Interest Rate Rule, Working Papers (2019) (2019)
130. 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 View citations (3)
131. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning
     Finance Research Letters, 2022, 45, (C) View citations (1)
     See also Working Paper OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning, Working Papers (2021) View citations (1) (2021)
132. Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
     JRFM, 2022, 15, (8), 1-26 View citations (4)
133. Oil price shocks and yield curve dynamics in emerging markets
     International Review of Economics & Finance, 2022, 80, (C), 613-623 View citations (3)
     See also Working Paper Oil Price Shocks and Yield Curve Dynamics in Emerging Markets, Working Papers (2020) (2020)
134. 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 View citations (2)
135. 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) View citations (7)
     See also Working Paper Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data, Working Papers (2021) View citations (1) (2021)
136. 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 View citations (2)
     See also Working Paper Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data, Working Papers (2022) View citations (4) (2022)
137. 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) View citations (14)
     See also Working Paper Oil-Price Uncertainty and the U.K. Unemployment Rate: A Forecasting Experiment with Random Forests Using 150 Years of Data, Working Papers (2020) View citations (1) (2020)
138. On the transmission mechanism of Asia‐Pacific yield curve characteristics
     International Journal of Finance & Economics, 2022, 27, (1), 473-488 View citations (2)
     See also Working Paper On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics, Working Papers (2018) View citations (1) (2018)
139. 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 View citations (3)
     See also Working Paper Out-of-Sample Predictability of Gold Market Volatility: The Role of US Nonfarm Payroll, Working Papers (2021) (2021)
140. Persistence of state-level uncertainty of the United States: The role of climate risks
     Economics Letters, 2022, 215, (C) View citations (16)
     See also Working Paper Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks, Working Papers (2022) View citations (19) (2022)
141. 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) View citations (5)
142. Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases
     JRFM, 2022, 15, (1), 1-18 View citations (1)
     See also Working Paper Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases, Working Papers (2021) (2021)
143. Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties
     Journal of Behavioral Finance, 2022, 23, (2), 189-209 View citations (1)
     See also Working Paper Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties, Working Papers (2020) (2020)
144. 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) View citations (8)
     See also Working Paper Price Effects after One-Day Abnormal Returns in Developed and Emerging Markets: ESG versus Traditional Indices, Working Papers (2021) (2021)
145. Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions
     Resources Policy, 2022, 79, (C) View citations (1)
     See also Working Paper Rare Disaster Risks and Gold over 700 Years: Evidence from Nonparametric Quantile Regressions, Working Papers (2022) View citations (5) (2022)
146. 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 View citations (6)
     See also Working Paper Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests, Working Papers (2019) View citations (4) (2019)
147. Socio-political instability and growth dynamics
     Economic Systems, 2022, 46, (4) View citations (2)
     See also Working Paper Socio-Political Instability and Growth Dynamics, Working Papers (2018) (2018)
148. Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin
     The Quarterly Review of Economics and Finance, 2022, 84, (C), 398-406 View citations (7)
     See also Working Paper Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin, Working Papers (2020) View citations (31) (2020)
149. The (Asymmetric) effect of El Niño and La Niña on gold and silver prices in a GVAR model
     Resources Policy, 2022, 78, (C) View citations (8)
     See also Working Paper The (Asymmetric) Effect of El Nino and La Nina on Gold and Silver Prices in a GVAR Model, Working Papers (2021) View citations (1) (2021)
150. The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
     Asia-Pacific Journal of Operational Research (APJOR), 2022, 39, (04), 1-11 View citations (4)
     See also Working Paper The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction, Working Papers (2019) View citations (2) (2019)
151. 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 View citations (2)
     See also Working Paper The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach, Working Papers (2019) View citations (1) (2019)
152. The State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict
     Sustainability, 2022, 14, (18), 1-9
153. The behaviour of real interest rates: New evidence from a 'suprasecular' perspective
     International Finance, 2022, 25, (1), 46-64
154. The effects of climate risks on economic activity in a panel of US states: The role of uncertainty
     Economics Letters, 2022, 213, (C) View citations (14)
     See also Working Paper The Effects of Climate Risks on Economic Activity in a Panel of US States: The Role of Uncertainty, Working Papers (2022) View citations (31) (2022)
155. The financial US uncertainty spillover multiplier: Evidence from a GVAR model
     International Finance, 2022, 25, (3), 313-340 View citations (3)
     See also Working Paper The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model, Working Papers (2021) View citations (2) (2021)
156. 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
     See also Working Paper The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis, Working Papers (2019) (2019)
157. The role of investor sentiment in forecasting housing returns in China: A machine learning approach
     Journal of Forecasting, 2022, 41, (8), 1725-1740 View citations (5)
     See also Working Paper The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach, Working Papers (2020) (2020)
158. Time-varying predictability of financial stress on inequality in United Kingdom
     Journal of Economic Studies, 2022, 50, (5), 987-1007
     See also Working Paper Time-Varying Predictability of Financial Stress on Inequality in United Kingdom, Working Papers (2020) (2020)
159. Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning
     Journal of Forecasting, 2022, 41, (6), 1049-1064 View citations (3)
160. Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis
     Journal of Forecasting, 2022, 41, (7), 1525-1556 View citations (2)
     See also Working Paper Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis, Working Papers (2021) View citations (1) (2021)
161. Uncertainty and tourism in Africa
     Tourism Economics, 2022, 28, (4), 964-978 View citations (6)
     See also Working Paper Uncertainty and Tourism in Africa, Working Papers (2020) View citations (2) (2020)
162. 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 View citations (1)

2021

163. 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), 1-12 View citations (6)
     See also Working Paper 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 (2021) View citations (9) (2021)
164. A note on investor happiness and the predictability of realized volatility of gold
     Finance Research Letters, 2021, 39, (C) View citations (9)
     See also Working Paper A Note on Investor Happiness and the Predictability of Realized Volatility of Gold, Working Papers (2020) View citations (25) (2020)
165. A note on oil price shocks and the forecastability of gold realized volatility
     Applied Economics Letters, 2021, 28, (21), 1889-1897 View citations (3)
     See also Working Paper A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility, Working Papers (2020) View citations (5) (2020)
166. Bayesian Spatial Modeling for Housing Data in South Africa
     Sankhya B: The Indian Journal of Statistics, 2021, 83, (2), 395-414
     See also Working Paper Bayesian Spatial Modeling for Housing Data in South Africa, Working Papers (2018) (2018)
167. 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) View citations (2)
     See also Working Paper Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data, Working Papers (2020) (2020)
168. Bitcoin mining activity and volatility dynamics in the power market
     Economics Letters, 2021, 209, (C) View citations (6)
     See also Working Paper Bitcoin Mining Activity and Volatility Dynamics in the Power Market, Working Papers (2021) View citations (10) (2021)
169. COVID-19 Pandemic and Investor Herding in International Stock Markets
     Risks, 2021, 9, (9), 1-11 View citations (33)
     See also Working Paper COVID-19 Pandemic and Investor Herding in International Stock Markets, Working Papers (2020) View citations (1) (2020)
170. Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment
     Energies, 2021, 14, (23), 1-18 View citations (14)
     See also Working Paper Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment, Working Papers (2021) View citations (14) (2021)
171. Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
     The North American Journal of Economics and Finance, 2021, 55, (C) View citations (12)
     See also Working Paper Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach, BEMPS - Bozen Economics & Management Paper Series (2019) View citations (2) (2019)
172. 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 View citations (8)
173. Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics
     Research in International Business and Finance, 2021, 58, (C) View citations (14)
174. Do oil-price shocks predict the realized variance of U.S. REITs?
     Energy Economics, 2021, 104, (C) View citations (12)
     See also Working Paper Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?, Working Papers (2020) (2020)
175. Does inequality help in forecasting equity premium in a panel of G7 countries?
     The North American Journal of Economics and Finance, 2021, 57, (C) View citations (6)
     See also Working Paper Does inequality help in forecasting equity premium in a panel of G7 countries?, Post-Print (2021) (2021)
176. Dynamic Impact of Unconventional Monetary Policy on International REITs
     JRFM, 2021, 14, (9), 1-19 View citations (8)
     See also Working Paper Dynamic Impact of Unconventional Monetary Policy on International REITs, Working Papers (2020) (2020)
177. Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom
     Applied Economics Letters, 2021, 28, (18), 1594-1599
     See also Working Paper Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom, Working Papers (2020) View citations (4) (2020)
178. 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 View citations (1)
     See also Working Paper Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility, Working Papers (2019) (2019)
179. El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements
     Sustainability, 2021, 13, (14), 1-23 View citations (5)
     See also Working Paper El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements, Working Papers (2021) View citations (3) (2021)
180. 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) View citations (5)
     See also Working Paper Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market, Working Papers (2020) (2020)
181. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
     Computational Economics, 2021, 57, (1), 29-53 View citations (13)
     See also Working Paper Forecasting Realized Volatility of Bitcoin: The Role of the Trade War, Working Papers (2020) View citations (7) (2020)
182. Forecasting power of infectious diseases-related uncertainty for gold realized variance
     Finance Research Letters, 2021, 42, (C) View citations (22)
183. Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss
     The European Journal of Finance, 2021, 27, (16), 1626-1644 View citations (11)
     See also Working Paper Forecasting Realized Volatility of Bitcoin Returns: Tail Events and Asymmetric Loss, Working Papers (2019) View citations (3) (2019)
184. 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
     See also Working Paper Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis, Working Papers (2019) View citations (3) (2019)
185. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
     Energies, 2021, 14, (14), 1-15 View citations (6)
     See also Working Paper Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers, Working Papers (2021) View citations (8) (2021)
186. 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
     See also Working Paper Geopolitical Risks and the High-Frequency Movements of the US Term Structure of Interest Rates, Working Papers (2021) View citations (2) (2021)
187. Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data
     Energy, 2021, 235, (C) View citations (16)
     See also Working Paper Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data, Working Papers (2021) View citations (29) (2021)
188. Gold, platinum and the predictability of bond risk premia
     Finance Research Letters, 2021, 38, (C) View citations (6)
     See also Working Paper Gold, Platinum and the Predictability of Bond Risk Premia, Working Papers (2019) View citations (1) (2019)
189. Government Effectiveness and the COVID-19 Pandemic
     Sustainability, 2021, 13, (6), 1-15 View citations (5)
     See also Working Paper Government Effectiveness and Covid-19 Pandemic, Working Papers (2021) View citations (5) (2021)
190. 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 View citations (5)
     See also Working Paper High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment, Working Papers (2020) View citations (3) (2020)
191. High-Frequency Volatility Forecasting of US Housing Markets
     The Journal of Real Estate Finance and Economics, 2021, 62, (2), 283-317 View citations (7)
     See also Working Paper High-Frequency Volatility Forecasting of US Housing Markets, Working Papers (2019) (2019)
192. House price synchronization across the US states: The role of structural oil shocks
     The North American Journal of Economics and Finance, 2021, 56, (C) View citations (12)
     See also Working Paper House Price Synchronization across the US States: The Role of Structural Oil Shocks, Working Papers (2020) View citations (1) (2020)
193. How Do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
     Emerging Markets Finance and Trade, 2021, 57, (15), 4286-4311 View citations (1)
     See also Working Paper How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch, Working Papers (2019) View citations (3) (2019)
194. INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES
     Annals of Financial Economics (AFE), 2021, 16, (04), 1-29 View citations (3)
     See also Working Paper Investor Sentiment Connectedness: Evidence from Linear and Nonlinear Causality Approaches, Working Papers (2018) View citations (3) (2018)
195. Income inequality and economic growth: A re‐examination of theory and evidence
     Review of Development Economics, 2021, 25, (2), 737-757 View citations (8)
     See also Working Paper Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence, Working Papers (2018) (2018)
196. Income inequality and oil resources: Panel evidence from the United States
     Energy Policy, 2021, 159, (C) View citations (11)
     See also Working Paper Income Inequality and Oil Resources: Panel Evidence from the United States, Working Papers (2020) (2020)
197. Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities
     International Review of Economics & Finance, 2021, 71, (C), 289-298 View citations (40)
     See also Working Paper Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities, Working Papers (2020) View citations (4) (2020)
198. Inflation-targeting and inflation volatility: International evidence from the cosine-squared cepstrum
     International Economics, 2021, (167), 29-38 View citations (4)
     Also in International Economics, 2021, 167, (C), 29-38 (2021) View citations (3)
199. 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) View citations (8)
     See also Working Paper Investor Sentiment and Dollar-Pound Exchange Rate Returns: Evidence from Over a Century of Data Using a Cross-Quantilogram Approach, Working Papers (2020) (2020)
200. 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
     See also Working Paper Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio, Working Papers (2020) View citations (1) (2020)
201. Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
     Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (5), 289-310
     See also Working Paper Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation, Working Papers (2018) (2018)
202. Monetary policy and bubbles in US REITs
     International Review of Finance, 2021, 21, (2), 675-687 View citations (4)
     See also Working Paper Monetary Policy and Bubbles in US REITs, Working Papers (2018) View citations (3) (2018)
203. Monetary policy and speculative spillovers in financial markets
     Research in International Business and Finance, 2021, 56, (C) View citations (10)
     See also Working Paper Monetary Policy and Speculative Spillovers in Financial Markets, Working Papers (2020) (2020)
204. Movements in real estate uncertainty in the United States: the role of oil shocks
     Applied Economics Letters, 2021, 28, (13), 1059-1065 View citations (1)
     See also Working Paper Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks, Working Papers (2020) View citations (3) (2020)
205. Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
     Sustainability, 2021, 13, (3), 1-20 View citations (1)
     See also Working Paper Multi-Horizon Financial and Housing Wealth Effects across the U.S. States, Working Papers (2019) (2019)
206. Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory
     Advances in Decision Sciences, 2021, 25, (1), 188-215 View citations (29)
     See also Working Paper Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory, Working Papers (2019) (2019)
207. OPEC news and jumps in the oil market
     Energy Economics, 2021, 96, (C) View citations (10)
     See also Working Paper OPEC News and Jumps in the Oil Market, Working Papers (2020) (2020)
208. Oil Price and Exchange Rate Behaviour of the BRICS
     Emerging Markets Finance and Trade, 2021, 57, (7), 2042-2051 View citations (19)
209. Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach
     Global Finance Journal, 2021, 48, (C) View citations (51)
     See also Working Paper Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach, Working Papers (2019) (2019)
210. Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data
     Urban Studies, 2021, 58, (1), 53-72 View citations (6)
     See also Working Paper Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150 Years of Data, Working Papers (2018) (2018)
211. Point and density forecasting of macroeconomic and financial uncertainties of the USA
     Journal of Forecasting, 2021, 40, (4), 700-707
212. Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty
     Finance Research Letters, 2021, 38, (C) View citations (20)
     See also Working Paper Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty, Working Papers (2019) View citations (23) (2019)
213. Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
     International Review of Finance, 2021, 21, (1), 324-335 View citations (7)
     See also Working Paper Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings, Working Papers (2018) (2018)
214. Return connectedness across asset classes around the COVID-19 outbreak
     International Review of Financial Analysis, 2021, 73, (C) View citations (206)
     See also Working Paper Return Connectedness across Asset Classes around the COVID-19 Outbreak, Working Papers (2020) View citations (27) (2020)
215. Risk aversion and Bitcoin returns in extreme quantiles
     Economics Bulletin, 2021, 41, (3), 1374-1386
216. Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach
     The North American Journal of Economics and Finance, 2021, 55, (C) View citations (28)
     See also Working Paper Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach, Working Papers (2020) View citations (6) (2020)
217. Stock markets and exchange rate behavior of the BRICS
     Journal of Forecasting, 2021, 40, (8), 1581-1595 View citations (9)
     See also Working Paper Stock Markets and Exchange Rate Behaviour of the BRICS, Working Papers (2020) View citations (2) (2020)
218. Structure dependence between oil and agricultural commodities returns: The role of geopolitical risks
     Energy, 2021, 219, (C) View citations (35)
     See also Working Paper Structure Dependence between Oil and Agricultural Commodities Returns: The Role of Geopolitical Risks, Working Papers (2020) View citations (1) (2020)
219. THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES
     Annals of Financial Economics (AFE), 2021, 16, (01), 1-13 View citations (2)
220. The Effect of Air Quality and Weather on the Chinese Stock: Evidence from Shenzhen Stock Exchange
     Sustainability, 2021, 13, (5), 1-20 View citations (1)
221. The Taylor curve: international evidence
     Applied Economics, 2021, 53, (40), 4680-4691
     See also Working Paper The Taylor Curve: International Evidence, Working Papers (2020) (2020)
222. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach
     Research in International Business and Finance, 2021, 58, (C) View citations (5)
     See also Working Paper The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach, Working Papers (2020) (2020)
223. The effects of public expenditures on labour productivity in Europe
     Empirica, 2021, 48, (4), 845-874 View citations (1)
     See also Working Paper The Effects of Public Expenditures on Labour Productivity in Europe, Working Papers (2020) View citations (1) (2020)
224. The impact of disaggregated oil shocks on state-level consumption of the United States
     Applied Economics Letters, 2021, 28, (21), 1818-1824 View citations (2)
     See also Working Paper The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States, Working Papers (2020) View citations (2) (2020)
225. 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) View citations (5)
     See also Working Paper The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence, Working Papers (2020) (2020)
226. The impact of uncertainty shocks in South Africa: The role of financial regimes
     Review of Financial Economics, 2021, 39, (4), 442-454
     See also Working Paper The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes, Working Papers (2020) View citations (2) (2020)
227. Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom
     Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2021, 155, (3), 771-788
     See also Working Paper Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom, Working Papers (2020) (2020)
228. 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 View citations (6)
     See also Working Paper Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality, Working Papers (2020) (2020)
229. 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) View citations (16)
     See also Working Paper Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment, Working Papers (2020) (2020)
230. Time-varying impact of pandemics on global output growth
     Finance Research Letters, 2021, 41, (C) View citations (4)
     See also Working Paper Time-Varying Impact of Pandemics on Global Output Growth, Working Papers (2020) View citations (4) (2020)
231. Time-varying influence of household debt on inequality in United Kingdom
     Empirical Economics, 2021, 61, (4), 1917-1933
     See also Working Paper Time-Varying Influence of Household Debt on Inequality in United Kingdom, Working Papers (2020) View citations (3) (2020)
232. 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 View citations (4)
     See also Working Paper Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains, Working Papers (2019) (2019)
233. Time-varying risk aversion and forecastability of the US term structure of interest rates
     Finance Research Letters, 2021, 42, (C) View citations (2)
     See also Working Paper Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates, Working Papers (2020) (2020)
234. Time-varying spillovers between housing sentiment and housing market in the United States☆
     Finance Research Letters, 2021, 42, (C) View citations (2)
235. Time‐varying impact of global, region‐, and country‐specific uncertainties on the volatility of international trade
     Contemporary Economic Policy, 2021, 39, (4), 691-700
236. 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
     See also Working Paper Uncertainty Related to Infectious Diseases and Forecastability of the Realised Volatility of US Treasury Securities, Working Papers (2021) (2021)
237. 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 View citations (4)
     See also Working Paper 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 (2020) View citations (3) (2020)
238. 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) View citations (2)
     See also Working Paper Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data, Working Papers (2020) (2020)
239. Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia
     International Review of Finance, 2021, 21, (2), 661-674 View citations (1)
240. Volatility connectedness of major cryptocurrencies: The role of investor happiness
     Journal of Behavioral and Experimental Finance, 2021, 30, (C) View citations (34)
     See also Working Paper Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness, Working Papers (2020) View citations (2) (2020)
241. 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
     See also Working Paper What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data, Working Papers (2019) View citations (2) (2019)

2020

242. 125 ​Years of time-varying effects of fiscal policy on financial markets
     International Review of Economics & Finance, 2020, 70, (C), 303-320 View citations (4)
243. Are Uncertainties across the World Convergent?
     Economics Bulletin, 2020, 40, (1), 855-862 View citations (3)
     See also Working Paper Are Uncertainties across the World Convergent?, Working Papers (2019) View citations (5) (2019)
244. Asymmetric effects of inequality on real output levels of the United States
     Eurasian Economic Review, 2020, 10, (1), 47-69 View citations (1)
245. Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions
     Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (3), 17 View citations (4)
     Also in Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (3), 17 (2020) View citations (4)
     See also Working Paper Conventional and Unconventional Monetary Policy Reaction to Uncertainty in Advanced Economies: Evidence from Quantile Regressions, Working Papers (2018) View citations (3) (2018)
246. 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) View citations (7)
     See also Working Paper Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows, Working Papers (2019) View citations (1) (2019)
247. Does real U.K. GDP have a unit root? Evidence from a multi-century perspective
     Applied Economics, 2020, 52, (10), 1070-1087 View citations (1)
248. 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 View citations (7)
     See also Working Paper Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom, Working Papers (2018) View citations (1) (2018)
249. 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 View citations (9)
     See also Working Paper Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data, Working Papers (2019) View citations (1) (2019)
250. Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?
     Mathematics, 2020, 8, (11), 1-16
     See also Working Paper Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?, Working Papers (2020) View citations (1) (2020)
251. Forecasting core inflation: the case of South Africa
     Applied Economics, 2020, 52, (28), 3004-3022 View citations (3)
     See also Working Paper Forecasting Core Inflation: The Case of South Africa, Working Papers (2015) (2015)
252. Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs
     Economics Letters, 2020, 186, (C) View citations (12)
253. 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 View citations (7)
     See also Working Paper Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty, Working Papers (2016) View citations (2) (2016)
254. Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
     Journal of Applied Statistics, 2020, 47, (6), 1128-1143 View citations (3)
     See also Working Paper Forecasting Interest Rate Volatility of the United Kingdom: Evidence from over 150 Years of Data, Working Papers (2018) (2018)
255. Forecasting local currency bond risk premia of emerging markets: The role of cross‐country macrofinancial linkages
     Journal of Forecasting, 2020, 39, (6), 966-985 View citations (2)
     See also Working Paper Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages, Working Papers (2019) (2019)
256. Forecasting output growth using a DSGE-based decomposition of the South African yield curve
     Empirical Economics, 2020, 58, (1), 351-378 View citations (1)
     See also Working Paper Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield Curve, Working Papers (2015) View citations (3) (2015)
257. Forecasting realized gold volatility: Is there a role of geopolitical risks?
     Finance Research Letters, 2020, 35, (C) View citations (61)
     See also Working Paper Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?, Working Papers (2019) View citations (18) (2019)
258. Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss
     Journal of International Money and Finance, 2020, 104, (C) View citations (81)
     See also Working Paper Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss, Working Papers (2019) View citations (19) (2019)
259. 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 View citations (87)
     See also Working Paper Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks, Working Papers (2019) View citations (3) (2019)
260. Forecasting with Second-Order Approximations and Markov-Switching DSGE Models
     Computational Economics, 2020, 56, (4), 747-771 View citations (2)
     See also Working Paper Forecasting with Second-Order Approximations and Markov Switching DSGE Models, Working Papers (2018) (2018)
261. Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data
     Applied Economics Letters, 2020, 27, (19), 1562-1566 View citations (1)
     See also Working Paper Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data, Working Papers (2018) (2018)
262. 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
     Also in Emerging Markets Finance and Trade, 2019, 55, (8), 1841-1856 (2019) View citations (32)
     See also Working Paper Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model, Working Papers (2017) View citations (7) (2017)
263. 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) View citations (39)
     See also Working Paper Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data, Working Papers (2019) View citations (2) (2019)
264. Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model
     Energy Economics, 2020, 88, (C) View citations (68)
     See also Working Paper Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model, Working Papers (2019) View citations (6) (2019)
265. Graph theory-based network analysis of regional uncertainties of the US Economy
     Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) View citations (2)
266. Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting
     Economies, 2020, 8, (1), 1-14 View citations (2)
     See also Working Paper Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting, Working Papers (2019) (2019)
267. 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 View citations (1)
     See also Working Paper Historical Forecasting of Interest Rate Mean and Volatility of the United States: Is there a Role of Uncertainty?, Working Papers (2020) View citations (1) (2020)
268. Halloween Effect in developed stock markets: A historical perspective
     International Economics, 2020, 161, (C), 130-138 View citations (3)
     Also in International Economics, 2020, (161), 130-138 (2020) View citations (3)
269. Historical evolution of monthly anomalies in international stock markets
     Research in International Business and Finance, 2020, 52, (C) View citations (3)
     See also Working Paper Historical Evolution of Monthly Anomalies in International Stock Markets, Working Papers (2019) (2019)
270. Historical volatility of advanced equity markets: The role of local and global crises
     Finance Research Letters, 2020, 34, (C) View citations (2)
     See also Working Paper Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises, Working Papers (2019) (2019)
271. Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model
     Empirical Economics, 2020, 58, (5), 2309-2332 View citations (2)
     See also Working Paper Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Economy DSGE Model, Working Papers (2016) View citations (4) (2016)
272. Infectious Diseases, Market Uncertainty and Oil Market Volatility
     Energies, 2020, 13, (16), 1-8 View citations (57)
273. Inflation dynamics in Uganda: a quantile regression approach
     Macroeconomics and Finance in Emerging Market Economies, 2020, 13, (2), 161-187
     See also Working Paper Inflation Dynamics in Uganda: A Quantile Regression Approach, School of Economics Macroeconomic Discussion Paper Series (2017) (2017)
274. Insurance and economic policy uncertainty
     Research in International Business and Finance, 2020, 54, (C) View citations (19)
275. Insurance-growth nexus in Africa
     The Geneva Papers on Risk and Insurance - Issues and Practice, 2020, 45, (2), 335-360 View citations (3)
     See also Working Paper Insurance-Growth Nexus in Africa, Working Papers (2018) View citations (1) (2018)
276. Investor Happiness and Predictability of the Realized Volatility of Oil Price
     Sustainability, 2020, 12, (10), 1-11 View citations (19)
     See also Working Paper Investor Happiness and Predictability of the Realized Volatility of Oil Price, Working Papers (2020) View citations (24) (2020)
277. Is real per capita state personal income stationary? New nonlinear, asymmetric panel‐data evidence
     Bulletin of Economic Research, 2020, 72, (1), 50-62 View citations (4)
     See also Working Paper Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence, Working papers (2016) (2016)
278. Is the Housing Market in the United States Really Weakly-Efficient?
     Applied Economics Letters, 2020, 27, (14), 1124-1134 View citations (2)
     See also Working Paper Is the Housing Market in the United States Really Weakly-Efficient?, Working Papers (2019) (2019)
279. Is the response of the bank of England to exchange rate movements frequency-dependent?
     Journal of Macroeconomics, 2020, 63, (C)
     See also Working Paper Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?, Working Papers (2018) (2018)
280. 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 View citations (1)
     See also Working Paper Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements, Working Papers (2018) View citations (1) (2018)
281. Local currency bond risk premia of emerging markets: The role of local and global factors
     Finance Research Letters, 2020, 33, (C) View citations (2)
     See also Working Paper Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors, Working Papers (2019) View citations (5) (2019)
282. 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 View citations (3)
     See also Working Paper Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas, Working Papers (2018) View citations (7) (2018)
283. Modeling US historical time-series prices and inflation using alternative long-memory approaches
     Empirical Economics, 2020, 58, (4), 1491-1511
284. Moments-based spillovers across gold and oil markets
     Energy Economics, 2020, 89, (C) View citations (37)
     See also Working Paper Moments-Based Spillovers across Gold and Oil Markets, Working Papers (2019) View citations (1) (2019)
285. Monetary policy and financial frictions in a small open-economy model for Uganda
     Empirical Economics, 2020, 59, (3), 1213-1241
     See also Working Paper Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda, Working Papers (2017) (2017)
286. Monetary policy uncertainty spillovers in time and frequency domains
     Journal of Economic Structures, 2020, 9, (1), 1-30 View citations (7)
     See also Working Paper Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains, Working Papers (2020) View citations (7) (2020)
287. Monetary policy, financial frictions and structural changes in Uganda: a Markov-switching DSGE approach
     Economic Research-Ekonomska Istraživanja, 2020, 33, (1), 1538-1561
288. Mortgage Default Risks and High-Frequency Predictability of the U.S. Housing Market: A Reconsideration
     Journal of Real Estate Portfolio Management, 2020, 26, (2), 111-117
     See also Working Paper Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration, Working Papers (2018) (2018)
289. Movements in international bond markets: The role of oil prices
     International Review of Economics & Finance, 2020, 68, (C), 47-58 View citations (30)
     See also Working Paper Movements in International Bond Markets: The Role of Oil Prices, Working Papers (2019) (2019)
290. Oil price uncertainty and movements in the US government bond risk premia
     The North American Journal of Economics and Finance, 2020, 52, (C) View citations (23)
     See also Working Paper Oil Price Uncertainty and Movements in the US Government Bond Risk Premia, Working Papers (2019) View citations (2) (2019)
291. Oil shocks and volatility jumps
     Review of Quantitative Finance and Accounting, 2020, 54, (1), 247-272 View citations (9)
     See also Working Paper Oil Shocks and Volatility Jumps, Working Papers (2018) View citations (5) (2018)
292. Predicting firm-level volatility in the United States: the role of monetary policy uncertainty
     Economics and Business Letters, 2020, 9, (3), 167-177 View citations (2)
     See also Working Paper Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty, Working Papers (2020) View citations (2) (2020)
293. Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models
     International Review of Financial Analysis, 2020, 68, (C) View citations (8)
     See also Working Paper Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models, Working Papers (2018) (2018)
294. Price and volatility linkages between international REITs and oil markets
     Energy Economics, 2020, 88, (C) View citations (17)
     See also Working Paper Price and Volatility Linkages between International REITs and Oil Markets, Working Papers (2019) (2019)
295. Price gap anomaly in the US stock market: The whole story
     The North American Journal of Economics and Finance, 2020, 52, (C) View citations (1)
     See also Working Paper Price Gap Anomaly in the US Stock Market: The Whole Story, Working Papers (2019) (2019)
296. 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) View citations (18)
     See also Working Paper 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 (2017) View citations (1) (2017)
297. Spillover of sentiment in the European Union: Evidence from time- and frequency-domains
     International Review of Economics & Finance, 2020, 68, (C), 105-130 View citations (6)
     See also Working Paper Spillover of Sentiment in the European Union: Evidence from Time- and Frequency-Domains, Working Papers (2019) (2019)
298. Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach
     Structural Change and Economic Dynamics, 2020, 52, (C), 167-173 View citations (24)
     See also Working Paper Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach, Working Papers (2019) View citations (2) (2019)
299. Spillovers between US real estate and financial assets in time and frequency domains
     Journal of Property Investment & Finance, 2020, 38, (6), 525-537 View citations (9)
     See also Working Paper Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains, Working Papers (2019) View citations (2) (2019)
300. Testing the white noise hypothesis in high-frequency housing returns of the United States
     Economics and Business Letters, 2020, 9, (3), 178-188 View citations (1)
     See also Working Paper Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States, Working Papers (2019) (2019)
301. 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 View citations (1)
     See also Working Paper The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model, Working Papers (2016) View citations (1) (2016)
302. The Time-series Linkages between US Fiscal Policy and Asset Prices
     Public Finance Review, 2020, 48, (3), 303-339 View citations (3)
     See also Working Paper The time-series linkages between US fiscal policy and asset prices, Working papers (2016) View citations (1) (2016)
303. The US Term Structure and Return Volatility in Global REIT Markets
     Advances in Decision Sciences, 2020, 24, (3), 84-109 View citations (1)
     See also Working Paper The U.S. Term Structure and Return Volatility in Global REIT Markets, Working Papers (2020) View citations (1) (2020)
304. The effect of global and regional stock market shocks on safe haven assets
     Structural Change and Economic Dynamics, 2020, 54, (C), 297-308 View citations (14)
305. 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 View citations (29)
306. The impact of macroeconomic factors on income inequality: Evidence from the BRICS
     Economic Modelling, 2020, 91, (C), 559-567 View citations (10)
307. The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries
     Energy Economics, 2020, 91, (C) View citations (24)
     See also Working Paper The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 45 Countries, Working Papers (2020) View citations (37) (2020)
308. 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 View citations (16)
     See also Working Paper The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles, Working Papers (2019) (2019)
309. The predictive power of oil price shocks on realized volatility of oil: A note
     Resources Policy, 2020, 69, (C) View citations (24)
     See also Working Paper The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note, Working Papers (2020) View citations (30) (2020)
310. 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 View citations (3)
     See also Working Paper The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Evidence from Time- and Frequency-Domains, Working Papers (2019) (2019)
311. The role of an aligned investor sentiment index in predicting bond risk premia of the U.S
     Journal of Financial Markets, 2020, 51, (C) View citations (21)
312. 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) View citations (21)
     See also Working Paper The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach, Working Papers (2020) View citations (28) (2020)
313. 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 View citations (2)
     See also Working Paper The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach, Working Papers (2019) (2019)
314. 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 View citations (2)
     See also Working Paper Threshold Effects of Inequality on Economic Growth in the US States: The Role of Human Capital to Physical Capital Ratio, Working Papers (2019) (2019)
315. Time-Varying Impact of Geopolitical Risks on Oil Prices
     Defence and Peace Economics, 2020, 31, (6), 692-706 View citations (76)
     See also Working Paper Time-Varying Impact of Geopolitical Risks on Oil Prices, Working Papers (2018) View citations (4) (2018)
316. Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
     Economies, 2020, 8, (1), 1-12 View citations (2)
     See also Working Paper Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram, Working Papers (2019) (2019)
317. 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 View citations (5)
318. Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data
     Finance Research Letters, 2020, 37, (C) View citations (10)
     See also Working Paper Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data, Working Papers (2019) View citations (3) (2019)
319. Time-varying risk aversion and the predictability of bond premia
     Finance Research Letters, 2020, 34, (C) View citations (6)
     See also Working Paper Time-Varying Risk Aversion and the Predictability of Bond Premia, Working Papers (2019) View citations (5) (2019)
320. 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 View citations (6)
     See also Working Paper Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data, Working Papers (2017) View citations (8) (2017)
321. Trade uncertainties and the hedging abilities of Bitcoin
     Economic Notes, 2020, 49, (3) View citations (21)
     See also Working Paper Trade Uncertainties and the Hedging Abilities of Bitcoin, Working Papers (2019) View citations (6) (2019)
322. Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective
     Research in International Business and Finance, 2020, 52, (C) View citations (18)
323. Uncertainty and Forecasts of U.S. Recessions
     Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (4), 20 View citations (7)
     See also Working Paper Uncertainty and Forecasts of U.S. Recessions, Working Papers (2017) View citations (4) (2017)
324. Volatility forecasting with bivariate multifractal models
     Journal of Forecasting, 2020, 39, (2), 155-167 View citations (13)
325. Why must it always be so Real with tax evasion?
     The Quarterly Review of Economics and Finance, 2020, 78, (C), 304-308
     See also Working Paper Why must it always be so Real with Tax Evasion?, Working Papers (2018) (2018)

2019

326. A TIME-VARYING APPROACH OF THE US WELFARE COST OF INFLATION
     Macroeconomic Dynamics, 2019, 23, (2), 775-797 View citations (8)
     See also Working Paper A Time-Varying Approach of the US Welfare Cost of Inflation, Working papers (2014) View citations (17) (2014)
327. A note on the technology herd: evidence from large institutional investors
     Review of Behavioral Finance, 2019, 11, (3), 294-308 View citations (4)
     See also Working Paper A Note on the Technology Herd: Evidence from Large Institutional Investors, Working Papers (2017) View citations (2) (2017)
328. A re-evaluation of the term spread as a leading indicator
     International Review of Economics & Finance, 2019, 64, (C), 476-492 View citations (4)
329. A wavelet analysis of the relationship between oil and natural gas prices
     Resources Policy, 2019, 60, (C), 118-124 View citations (26)
     See also Working Paper A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices, Working Papers (2018) View citations (10) (2018)
330. Are BRICS exchange rates chaotic?
     Applied Economics Letters, 2019, 26, (13), 1104-1110 View citations (8)
     See also Working Paper Are BRICS Exchange Rates Chaotic?, Working Papers (2018) View citations (5) (2018)
331. 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 View citations (9)
     See also Working Paper Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data, Working Papers (2017) View citations (2) (2017)
332. Are there Really Long-Run Diversification Benefits from Sustainable Investments?
     International Journal of Business and Economics, 2019, 18, (2), 141-163
333. Asymmetric dynamics of insurance premium: the impacts of output and economic policy uncertainty
     Empirical Economics, 2019, 57, (6), 1959-1978 View citations (20)
     See also Working Paper Asymmetric dynamics of insurance premium: The impacts of output and economic policy uncertainty, Working Papers (2016) View citations (1) (2016)
334. Chaos in G7 stock markets using over one century of data: A note
     Research in International Business and Finance, 2019, 47, (C), 304-310 View citations (5)
     See also Working Paper Chaos in G7 Stock Markets using Over One Century of Data: A Note, Working Papers (2016) (2016)
335. Does financial development affect income inequality in the U.S. States?
     Journal of Policy Modeling, 2019, 41, (6), 1043-1056 View citations (13)
336. Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?
     International Review of Financial Analysis, 2019, 61, (C), 29-36 View citations (145)
     See also Working Paper Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin?, Working Papers (2018) View citations (13) (2018)
337. Does inequality really matter in forecasting real housing returns of the United Kingdom?
     International Economics, 2019, 159, (C), 18-25 View citations (5)
     Also in International Economics, 2019, (159), 18-25 (2019) View citations (7)
     See also Working Paper Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?, Working Papers (2018) (2018)
338. Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market
     Advances in Decision Sciences, 2019, 23, (1), 88-113 View citations (4)
     See also Working Paper Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market, Working Papers (2019) View citations (4) (2019)
339. Effects of geopolitical risks on trade flows: evidence from the gravity model
     Eurasian Economic Review, 2019, 9, (4), 515-530 View citations (48)
     See also Working Paper Effects of Geopolitical Risks on Trade Flows: Evidence from the Gravity Model, Working Papers (2018) View citations (6) (2018)
340. 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 View citations (3)
     See also Working Paper Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability, Working Papers (2018) View citations (1) (2018)
341. Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests
     Sustainability, 2019, 11, (2), 1-15 View citations (18)
     See also Working Paper Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests, Working Papers (2018) View citations (1) (2018)
342. Exchange rate returns and volatility: the role of time-varying rare disaster risks
     The European Journal of Finance, 2019, 25, (2), 190-203 View citations (15)
     See also Working Paper Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks, Working Papers (2017) View citations (3) (2017)
343. 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) View citations (17)
344. 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 View citations (11)
     See also Working Paper Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty, Working Papers (2016) (2016)
345. Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
     Defence and Peace Economics, 2019, 30, (3), 367-379 View citations (41)
     See also Working Paper Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note, Working Papers (2017) View citations (3) (2017)
346. 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 View citations (18)
     See also Working Paper Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data, Working Papers (2018) View citations (2) (2018)
347. Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach
     Physica A: Statistical Mechanics and its Applications, 2019, 535, (C) View citations (13)
348. Growth volatility and inequality in the U.S.: A wavelet analysis
     Physica A: Statistical Mechanics and its Applications, 2019, 521, (C), 48-73 View citations (4)
     See also Working Paper Growth Volatility and Inequality in the U.S.: A Wavelet Analysis, Working Papers (2018) (2018)
349. Herding behaviour in cryptocurrencies
     Finance Research Letters, 2019, 29, (C), 216-221 View citations (104)
350. Inflation Aversion and the Growth-Inflation Relationship
     Annals of Economics and Finance, 2019, 20, (2), 803-815 View citations (1)
     See also Working Paper Inflation Aversion and the Growth-Inflation Relationship, Working Papers (2019) View citations (1) (2019)
351. Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests
     International Finance, 2019, 22, (2), 221-240 View citations (6)
     See also Working Paper Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests, Working Papers (2018) View citations (1) (2018)
352. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression
     International Review of Financial Analysis, 2019, 65, (C) View citations (49)
353. Investor Sentiment and Crash Risk in Safe Havens
     Journal of Economics and Behavioral Studies, 2019, 10, (6), 97-108 View citations (3)
     See also Working Paper Investor Sentiment and Crash Risk in Safe Havens, Working Papers (2018) View citations (5) (2018)
354. 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 View citations (10)
     See also Working Paper 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 (2018) (2018)
355. 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 View citations (6)
     See also Working Paper Kuznets Curve for the US: A Reconsideration Using Cosummability, Working Papers (2017) View citations (4) (2017)
356. 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 View citations (7)
     See also Working Paper Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks, Working Papers (2017) View citations (4) (2017)
357. MACROECONOMIC UNCERTAINTY AND THE COMOVEMENT IN BUYING VERSUS RENTING IN THE USA
     Advances in Decision Sciences, 2019, 23, (3), 93-121 View citations (3)
358. Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector
     Sustainability, 2019, 11, (10), 1-12 View citations (14)
     See also Working Paper Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector, Working Papers (2018) View citations (1) (2018)
359. 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
360. Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks
     International Journal of Finance & Economics, 2019, 24, (1), 412-426 View citations (70)
     See also Working Paper Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Structural Breaks, Working Papers (2016) View citations (14) (2016)
361. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
     Advances in Decision Sciences, 2019, 23, (4), 1-23 View citations (3)
     See also Working Paper OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration, Working Papers (2017) (2017)
362. Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data
     Applied Energy, 2019, 233-234, 612-621 View citations (121)
363. 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 View citations (22)
     See also Working Paper Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis, Working Papers (2018) View citations (14) (2018)
364. Oil speculation and herding behavior in emerging stock markets
     Journal of Economics and Finance, 2019, 43, (1), 44-56 View citations (11)
     See also Working Paper Oil Speculation and Herding Behavior in Emerging Stock Markets, Working Papers (2017) View citations (1) (2017)
365. On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees
     Finance Research Letters, 2019, 30, (C), 160-169 View citations (2)
     See also Working Paper On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees, Working Papers (2016) View citations (4) (2016)
366. On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
     Quantitative Finance, 2019, 19, (5), 843-858 View citations (29)
     See also Working Paper On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators, Working Papers (2017) View citations (5) (2017)
367. 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 View citations (1)
368. 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 View citations (5)
369. 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 View citations (8)
     See also Working Paper Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data, Working Papers (2018) (2018)
370. Persistence of economic uncertainty: a comprehensive analysis
     Applied Economics, 2019, 51, (41), 4477-4498 View citations (10)
     See also Working Paper Persistence of Economic Uncertainty: A Comprehensive Analysis, Working Papers (2018) View citations (2) (2018)
371. 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 View citations (1)
     See also Working Paper Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data, Working Papers (2017) (2017)
372. Point and density forecasts of oil returns: The role of geopolitical risks
     Resources Policy, 2019, 62, (C), 580-587 View citations (71)
     See also Working Paper Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks, Working Papers (2018) View citations (4) (2018)
373. Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
     International Review of Economics & Finance, 2019, 59, (C), 458-467 View citations (5)
     See also Working Paper Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio, Working Papers (2017) View citations (1) (2017)
374. Price Convergence Patterns across U.S. States
     Panoeconomicus, 2019, 66, (2), 187-201 View citations (1)
     See also Working Paper Price Convergence Patterns across U.S. States, Working Papers (2016) (2016)
375. Price jumps in developed stock markets: the role of monetary policy committee meetings
     Journal of Economics and Finance, 2019, 43, (2), 298-312 View citations (8)
     See also Working Paper Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings, Working Papers (2017) View citations (3) (2017)
376. 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 View citations (5)
377. Revisiting the twin deficits hypothesis: a quantile cointegration analysis over the period 1791-2013
     Journal of Applied Economics, 2019, 22, (1), 117-131 View citations (1)
     See also Working Paper Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013, Working Papers (2016) (2016)
378. Rise and fall of calendar anomalies over a century
     The North American Journal of Economics and Finance, 2019, 49, (C), 181-205 View citations (21)
     See also Working Paper Rise and Fall of Calendar Anomalies over a Century, Working Papers (2019) View citations (20) (2019)
379. Spillover of mortgage default risks in the United States: Evidence from metropolitan statistical areas and states
     The Journal of Economic Asymmetries, 2019, 19, (C), - View citations (2)
     See also Working Paper Spillover of Mortgage Default Risks in the United States: Evidence from Metropolitan Statistical Areas and States, Working Papers (2018) (2018)
380. Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach
     Finance Research Letters, 2019, 28, (C), 398-411 View citations (26)
     See also Working Paper Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach, Working Papers (2018) View citations (3) (2018)
381. The Effect of Economic Uncertainty on the Housing Market Cycle
     Journal of Real Estate Portfolio Management, 2019, 25, (1), 67-75 View citations (1)
     See also Working Paper The Effect of Economic Uncertainty on the Housing Market Cycle, Working Papers (2017) View citations (12) (2017)
382. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
     Energies, 2019, 12, (17), 1-17 View citations (35)
     See also Working Paper The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures, Working Papers (2019) View citations (36) (2019)
383. 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 View citations (14)
384. 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 View citations (41)
     See also Working Paper The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis, Working Papers (2019) View citations (48) (2019)
385. 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 View citations (18)
     See also Working Paper 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 (2018) View citations (3) (2018)
386. 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 View citations (49)
     See also Working Paper The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model, Working Papers (2016) View citations (6) (2016)
387. 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 View citations (10)
     See also Working Paper The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests, Working Papers (2018) View citations (5) (2018)
388. 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 View citations (39)
389. 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 View citations (1)
     See also Working Paper The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model, Working Papers (2018) (2018)
390. 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 View citations (3)
     See also Working Paper The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data, Working Papers (2018) (2018)
391. 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
     See also Working Paper 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 (2017) (2017)
392. The role of time‐varying rare disaster risks in predicting bond returns and volatility
     Review of Financial Economics, 2019, 37, (3), 327-340 View citations (5)
     See also Working Paper The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility, Working Papers (2017) View citations (2) (2017)
393. The stock-bond nexus and investors’ behavior in mature and emerging markets
     Studies in Economics and Finance, 2019, 38, (3), 562-582
394. 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 View citations (4)
     See also Working Paper Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017, Working Papers (2018) (2018)
395. Time-varying impact of uncertainty shocks on the US housing market
     Economics Letters, 2019, 180, (C), 15-20 View citations (14)
     See also Working Paper Time-Varying Impact of Uncertainty Shocks on the US Housing Market, Working Papers (2018) (2018)
396. 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) View citations (18)
     See also Working Paper Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress, Working Papers (2018) View citations (1) (2018)
397. Time-varying risk aversion and realized gold volatility
     The North American Journal of Economics and Finance, 2019, 50, (C) View citations (39)
     See also Working Paper Time-Varying Risk Aversion and Realized Gold Volatility, Working Papers (2018) View citations (2) (2018)
398. Time–frequency relationship between US inflation and inflation uncertainty: evidence from historical data
     Scottish Journal of Political Economy, 2019, 66, (5), 673-702 View citations (5)
399. US Fiscal Policy and Asset Prices: The Role of Partisan Conflict
     International Review of Finance, 2019, 19, (4), 851-862 View citations (5)
     See also Working Paper U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict, Working Papers (2017) View citations (2) (2017)
400. Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence
     Empirical Economics, 2019, 56, (1), 61-79 View citations (4)
     See also Working Paper Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence, Working Papers (2017) View citations (2) (2017)
401. Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies
     Journal of Central Banking Theory and Practice, 2019, 8, (3), 39-50 View citations (2)

2018

402. Analysis of Herding in Reits of an Emerging Market: The Case of Turkey
     Journal of Real Estate Portfolio Management, 2018, 24, (1), 65-81
     See also Working Paper Analysis of Herding in REITs of an Emerging Market: The Case of Turkey, Working Papers (2016) View citations (4) (2016)
403. Asymmetric causality between military expenditures and economic growth in top six defense spenders
     Quality & Quantity: International Journal of Methodology, 2018, 52, (3), 1193-1207 View citations (15)
404. 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 View citations (103)
     See also Working Paper Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles, Working Papers (2017) (2017)
405. Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
     Applied Economics, 2018, 50, (53), 5712-5727 View citations (37)
     See also Working Paper Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach, Working Papers (2015) View citations (7) (2015)
406. 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 View citations (17)
     See also Working Paper 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 (2016) View citations (23) (2016)
407. 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 View citations (8)
     See also Working Paper Causality between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis, Working papers (2016) View citations (1) (2016)
408. Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty
     Journal of Macroeconomics, 2018, 57, (C), 317-337 View citations (85)
     See also Working Paper Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty, Working Papers (2017) (2017)
409. 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 View citations (8)
     See also Working Paper Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa, Working Papers (2015) View citations (6) (2015)
410. 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 View citations (12)
411. 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 View citations (5)
412. 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 View citations (4)
413. 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 View citations (8)
     See also Working Paper Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks, Working Papers (2017) (2017)
414. Date stamping historical periods of oil price explosivity: 1876–2014
     Energy Economics, 2018, 70, (C), 582-587 View citations (51)
415. Date-stamping US housing market explosivity
     Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2018, 12, 1-33 View citations (4)
     See also Working Paper Date-stamping US housing market explosivity, Economics Discussion Papers (2017) (2017)
416. 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 View citations (7)
     See also Working Paper Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach, Working Papers (2016) (2016)
417. Do house prices hedge inflation in the US? A quantile cointegration approach
     International Review of Economics & Finance, 2018, 54, (C), 15-26 View citations (14)
     See also Working Paper Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach, Working Papers (2017) (2017)
418. 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 View citations (4)
     See also Working Paper Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities, Working Papers (2018) View citations (4) (2018)
419. 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 View citations (48)
420. 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 View citations (28)
421. Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note
     Empirica, 2018, 45, (1), 49-57 View citations (7)
422. Dynamic Relationship Between Oil Price And Inflation In South Africa
     Journal of Developing Areas, 2018, 52, (2), 73-93 View citations (18)
     See also Working Paper Dynamic Relationship between Oil Price and Inflation in South Africa, Working Papers (2014) View citations (3) (2014)
423. Dynamic connectedness of uncertainty across developed economies: A time-varying approach
     Economics Letters, 2018, 166, (C), 63-75 View citations (183)
     See also Working Paper Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach, Working Papers (2018) View citations (181) (2018)
424. 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 View citations (4)
425. Firm-level political risk and asymmetric volatility
     The Journal of Economic Asymmetries, 2018, 18, (C), - View citations (12)
     See also Working Paper Firm-Level Political Risk and Asymmetric Volatility, Working Papers (2018) View citations (12) (2018)
426. Forecasting US GNP growth: The role of uncertainty
     Journal of Forecasting, 2018, 37, (5), 541-559 View citations (11)
     See also Working Paper Forecasting US GNP Growth: The Role of Uncertainty, Working Papers (2016) View citations (5) (2016)
427. Forecasting using a Nonlinear DSGE Model
     Journal of Central Banking Theory and Practice, 2018, 7, (2), 73-98 View citations (1)
     See also Working Paper Forecasting using a Nonlinear DSGE Model, Working Papers (2016) (2016)
428. Geopolitical risks and stock market dynamics of the BRICS
     Economic Systems, 2018, 42, (2), 295-306 View citations (122)
     See also Working Paper Geopolitical Risks and Stock Market Dynamics of the BRICS, Working Papers (2016) View citations (30) (2016)
429. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
     Resources Policy, 2018, 57, (C), 196-212 View citations (10)
     See also Working Paper Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach, Working Papers (2016) (2016)
430. 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 View citations (29)
431. IS WINE A SAFE-HAVEN? EVIDENCE FROM A NONPARAMETRIC CAUSALITY-IN-QUANTILES TEST
     Advances in Decision Sciences, 2018, 22, (1), 95-114 View citations (1)
     See also Working Paper Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test, Working Papers (2017) (2017)
432. Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures
     International Economics, 2018, 156, (C), 247-253 View citations (19)
     Also in International Economics, 2018, (156), 247-253 (2018) View citations (19)
     See also Working Paper The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures, Working Papers (2017) View citations (3) (2017)
433. Inflation–growth nexus: evidence from a pooled CCE multiple-regime panel smooth transition model
     Empirical Economics, 2018, 54, (3), 913-944 View citations (9)
434. 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 View citations (22)
     See also Working Paper Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis, Working Papers (2018) View citations (22) (2018)
435. Is wine a good choice for investment?
     Pacific-Basin Finance Journal, 2018, 51, (C), 171-183 View citations (28)
     See also Working Paper Is Wine a Good Choice for Investment?, Working Papers (2017) View citations (5) (2017)
436. Macroeconomic uncertainty, growth and inflation in the Eurozone: a causal approach
     Applied Economics Letters, 2018, 25, (14), 1029-1033
     See also Working Paper Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach, Working Papers (2017) (2017)
437. Market efficiency of Baltic stock markets: A fractional integration approach
     Physica A: Statistical Mechanics and its Applications, 2018, 511, (C), 251-262 View citations (13)
     See also Working Paper Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach, Working Papers (2016) View citations (1) (2016)
438. Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach
     Emerging Markets Finance and Trade, 2018, 54, (15), 3552-3565 View citations (2)
     See also Working Paper Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach, Working Papers (2017) (2017)
439. 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 View citations (122)
     See also Working Paper Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic Graph Approach, Working Papers (2017) View citations (10) (2017)
440. 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 View citations (14)
     See also Working Paper News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets, Working Papers (2017) View citations (1) (2017)
441. 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 View citations (21)
     See also Working Paper OPEC News and Predictability of Oil Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach, Working Papers (2017) View citations (1) (2017)
442. Oil returns and volatility: The role of mergers and acquisitions
     Energy Economics, 2018, 71, (C), 62-69 View citations (8)
     See also Working Paper Oil Returns and Volatility: The Role of Mergers and Acquisitions, Working Papers (2017) (2017)
443. On the directional accuracy of inflation forecasts: evidence from South African survey data
     Journal of Applied Statistics, 2018, 45, (5), 884-900 View citations (3)
     See also Working Paper On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data, Working Papers (2014) View citations (2) (2014)
444. On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach
     Economics Letters, 2018, 171, (C), 63-71 View citations (173)
     See also Working Paper On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach, Working Papers (2018) View citations (170) (2018)
445. 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 View citations (24)
446. 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 View citations (9)
     See also Working Paper Predicting Global Temperature Anomaly: A Definitive Investigation Using an Ensemble of Twelve Competing Forecasting Models, Working Papers (2015) View citations (1) (2015)
447. Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data
     Economics Letters, 2018, 167, (C), 36-39 View citations (12)
448. 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 View citations (1)
449. South Africa’s monetary policy independence: evidence from a Global New-Keynesian DSGE model
     Applied Economics Letters, 2018, 25, (12), 840-846 View citations (2)
450. Spillovers between Bitcoin and other assets during bear and bull markets
     Applied Economics, 2018, 50, (55), 5935-5949 View citations (118)
     See also Working Paper Spillovers between Bitcoin and other Assets during Bear and Bull Markets, Working Papers (2018) View citations (119) (2018)
451. THE RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND TRADING VOLUME: EVIDENCE FROM SOUTH AFRICA
     Journal of Developing Areas, 2018, 52, (1), 99-114 View citations (18)
     See also Working Paper The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa, Working Papers (2016) (2016)
452. 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 View citations (27)
     See also Working Paper Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries, Working Papers (2016) View citations (17) (2016)
453. Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices
     Resources Policy, 2018, 57, (C), 224-235 View citations (93)
     See also Working Paper Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices, Post-Print (2018) View citations (83) (2018)
454. 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 View citations (6)
455. The Impact of Unconventional Monetary Policy Shocks in the U.S. on Emerging Market REITs
     Journal of Real Estate Literature, 2018, 26, (1), 175-188
456. 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 View citations (34)
     See also Working Paper The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk, Working Papers (2015) View citations (11) (2015)
457. The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis
     Finance Research Letters, 2018, 24, (C), 1-9 View citations (10)
     See also Working Paper The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis, Working Papers (2016) (2016)
458. 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 View citations (1)
     See also Working Paper The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis, Discussion Papers of DIW Berlin (2015) View citations (6) (2015)
459. 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 View citations (15)
     See also Working Paper The Relationship between the Inflation Rate and Inequality across U.S. States: A Semiparametric Approach, Working papers (2017) View citations (2) (2017)
460. 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 View citations (63)
     See also Working Paper The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test, Working Papers (2017) (2017)
461. 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 View citations (33)
     See also Working Paper The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions, Working Papers (2017) View citations (1) (2017)
462. The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach
     Finance Research Letters, 2018, 25, (C), 131-136 View citations (13)
     See also Working Paper The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach, Working Papers (2016) View citations (3) (2016)
463. The synergistic effect of insurance and banking sector activities on economic growth in Africa
     Economic Systems, 2018, 42, (4), 637-648 View citations (12)
     See also Working Paper The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa, Working Papers (2018) View citations (15) (2018)
464. 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 View citations (8)
     See also Working Paper Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data, Working Papers (2017) (2017)
465. 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 View citations (1)
     See also Working Paper Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013, Working Papers (2015) View citations (2) (2015)
466. 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 View citations (14)
     See also Working Paper Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data, Working Papers (2017) View citations (2) (2017)
467. Time-varying rare disaster risks, oil returns and volatility
     Energy Economics, 2018, 75, (C), 239-248 View citations (51)
     See also Working Paper Time-Varying Rare Disaster Risks, Oil Returns and Volatility, Working Papers (2017) (2017)
468. U.S. state-level carbon dioxide emissions: Does it affect health care expenditure?
     Renewable and Sustainable Energy Reviews, 2018, 91, (C), 521-530 View citations (14)
469. UK macroeconomic volatility: Historical evidence over seven centuries
     Journal of Policy Modeling, 2018, 40, (4), 767-789
470. 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 View citations (10)
     See also Working Paper Unconventional Monetary Policy Shocks in OECD Countries: How Important is the Extent of Policy Uncertainty?, Working Papers (2015) View citations (4) (2015)
471. Volatility jumps: The role of geopolitical risks
     Finance Research Letters, 2018, 27, (C), 247-258 View citations (41)
     See also Working Paper Volatility Jumps: The Role of Geopolitical Risks, Working Papers (2018) View citations (55) (2018)
472. Volatility spillovers across global asset classes: Evidence from time and frequency domains
     The Quarterly Review of Economics and Finance, 2018, 70, (C), 194-202 View citations (94)
     See also Working Paper Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains, Working Papers (2017) (2017)
473. Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test
     International Review of Finance, 2018, 18, (3), 495-506 View citations (1)
     See also Working Paper Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test, Working Papers (2017) View citations (2) (2017)

2017

474. 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 View citations (1)
     See also Working Paper Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data, Working Papers (2015) View citations (2) (2015)
475. Are there Environmental Kuznets Curves for US state-level CO2 emissions?
     Renewable and Sustainable Energy Reviews, 2017, 69, (C), 551-558 View citations (42)
     See also Working Paper Are there Environmental Kuznets Curves for US State-Level CO2 Emissions?, Working Papers (2014) View citations (3) (2014)
476. Asymmetric Behavior in Nominal and Real Housing Prices: Evidence from Emerging and Advanced Economies
     Journal of Real Estate Literature, 2017, 25, (2), 409-425
477. Can (unusual) weather conditions in New York predict South African stock returns?
     Research in International Business and Finance, 2017, 41, (C), 377-386 View citations (5)
478. Can volume predict Bitcoin returns and volatility? A quantiles-based approach
     Economic Modelling, 2017, 64, (C), 74-81 View citations (326)
     See also Working Paper Can volume predict Bitcoin returns and volatility? A quantiles-based approach, Post-Print (2017) View citations (278) (2017)
479. 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 View citations (38)
     See also Working Paper Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data, Working Papers (2015) View citations (1) (2015)
480. 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 View citations (4)
     See also Working Paper Convergence of Health Care Expenditures across the US States: A Reconsideration, Working Papers (2015) View citations (2) (2015)
481. 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 View citations (15)
     See also Working Paper Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area, Working Papers (2016) (2016)
482. Development, Poverty and Inequality: A Spatial Analysis of South African Provinces
     Journal of Developing Areas, 2017, 51, (1), 19-32 View citations (1)
     See also Working Paper Development, Poverty and Inequality: A Spatial Analysis of South African Provinces, Working Papers (2015) (2015)
483. Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
     Sustainability, 2017, 9, (10), 1-18 View citations (26)
     See also Working Paper Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations, Working Papers (2016) (2016)
484. 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 View citations (4)
485. Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data
     International Finance, 2017, 20, (3), 289-316 View citations (33)
486. Do precious metal prices help in forecasting South African inflation?
     The North American Journal of Economics and Finance, 2017, 40, (C), 63-72 View citations (4)
     See also Working Paper Do Precious Metal Prices Help in Forecasting South African Inflation?, Working Papers (2015) (2015)
487. 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 View citations (21)
     See also Working Paper Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach, Working Papers (2016) View citations (4) (2016)
488. Do trend extraction approaches affect causality detection in climate change studies?
     Physica A: Statistical Mechanics and its Applications, 2017, 469, (C), 604-624 View citations (4)
     See also Working Paper Do Trend Extraction Approaches Affect Causality Detection in Climate Change Studies?, Working Papers (2016) View citations (1) (2016)
489. Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
     Finance Research Letters, 2017, 23, (C), 87-95 View citations (345)
     See also Working Paper Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions, Post-Print (2017) View citations (326) (2017)
490. Does country risks predict stock returns and volatility? Evidence from a nonparametric approach
     Research in International Business and Finance, 2017, 42, (C), 1173-1195 View citations (12)
     See also Working Paper Does Country Risks Predict Stock Returns and Volatility? Evidence from a Nonparametric Approach, Working Papers (2016) View citations (2) (2016)
491. 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 View citations (33)
     See also Working Paper Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach, Working Papers (2016) (2016)
492. 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 View citations (39)
     See also Working Paper Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016, Working Papers (2017) View citations (49) (2017)
493. Does the US. macroeconomic news make the South African stock market riskier?
     Journal of Developing Areas, 2017, 51, (4), 17-27 View citations (6)
     See also Working Paper Does U.S. Macroeconomic News Make the South African Stock Market Riskier?, Working Papers (2016) View citations (2) (2016)
494. Economic Policy Uncertainty, U.S. Real Housing Returns and Their Volatility: A Nonparametric Approach
     Journal of Real Estate Research, 2017, 39, (4), 493-514 View citations (3)
495. 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 View citations (83)
     See also Working Paper Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model, Working Papers (2016) (2016)
496. Electricity demand in South Africa: is it asymmetric?
     OPEC Energy Review, 2017, 41, (3), 226-238 View citations (3)
497. Evidence of persistence in U.S. short and long-term interest rates
     Journal of Policy Modeling, 2017, 39, (5), 775-789 View citations (3)
498. Financial tail risks in conventional and Islamic stock markets: A comparative analysis
     Pacific-Basin Finance Journal, 2017, 42, (C), 60-82 View citations (32)
499. Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis
     Computational Economics, 2017, 49, (1), 83-97 View citations (7)
     See also Working Paper Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis, Working Papers (2014) (2014)
500. Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model
     Empirical Economics, 2017, 53, (1), 117-135 View citations (3)
     See also Working Paper Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model, School of Economics Macroeconomic Discussion Paper Series (2016) View citations (2) (2016)
501. Forecasting accuracy evaluation of tourist arrivals
     Annals of Tourism Research, 2017, 63, (C), 112-127 View citations (42)
502. Forecasting inflation in an inflation targeting economy: structural versus nonstructural models
     Applied Economics, 2017, 49, (24), 2316-2321
     See also Working Paper Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models, Working Papers (2015) (2015)
503. Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR
     Journal of Forecasting, 2017, 36, (6), 640-650 View citations (4)
     See also Working Paper Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR, Working Papers (2015) View citations (2) (2015)
504. Forecasting oil and stock returns with a Qual VAR using over 150years off data
     Energy Economics, 2017, 62, (C), 181-186 View citations (48)
     See also Working Paper Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data, Working Papers (2015) View citations (1) (2015)
505. Geopolitical risks and the oil-stock nexus over 1899–2016
     Finance Research Letters, 2017, 23, (C), 165-173 View citations (134)
     See also Working Paper Geopolitical Risks and the Oil-Stock Nexus Over 1899-2016, Working Papers (2017) View citations (137) (2017)
506. 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 View citations (10)
507. 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 View citations (81)
     See also Working Paper Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach, Working Papers (2016) View citations (2) (2016)
508. Income inequality: A complex network analysis of US states
     Physica A: Statistical Mechanics and its Applications, 2017, 483, (C), 423-437 View citations (1)
509. International stock return predictability: Is the role of U.S. time-varying?
     Empirica, 2017, 44, (1), 121-146 View citations (27)
     See also Working Paper International Stock Return Predictability: Is the Role of U.S. Time-Varying?, Working Papers (2015) View citations (5) (2015)
510. 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 View citations (8)
     See also Working Paper Is Economic Policy Uncertainty Related to Suicide Rates? Evidence from the United States, Working Papers (2015) (2015)
511. Long memory, economic policy uncertainty and forecasting US inflation: a Bayesian VARFIMA approach
     Applied Economics, 2017, 49, (11), 1047-1054 View citations (23)
512. Merger and acquisitions in South African banking: A network DEA model
     Research in International Business and Finance, 2017, 41, (C), 362-376 View citations (13)
     See also Working Paper Merger and Acquisitions in South African Banking: A Network DEA Model, Working Papers (2016) (2016)
513. 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 View citations (38)
514. Near-Rational Expectations: How Far are Surveys from Rationality?
     Journal of Economics and Econometrics, 2017, 60, (1), 1-27
     See also Working Paper Near-Rational Expectations: How Far are Surveys from Rationality?, EERI Research Paper Series (2017) (2017)
515. Oil price shocks and China's economy: Reactions of the monetary policy to oil price shocks
     Energy Economics, 2017, 62, (C), 61-69 View citations (49)
     See also Working Paper Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks, Working Papers (2014) View citations (2) (2014)
516. 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 View citations (10)
     See also Working Paper On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test, Working Papers (2015) (2015)
517. 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 View citations (6)
518. 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 View citations (3)
     See also Working Paper Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates, Working Papers (2015) View citations (3) (2015)
519. South Africa’s economic response to monetary policy uncertainty
     Journal of Economic Studies, 2017, 44, (2), 282-293 View citations (5)
     See also Working Paper The South African Economic Response to Monetary Policy Uncertainty, Working Papers (2015) (2015)
520. South Africa’s inflation persistence: a quantile regression framework
     Economic Change and Restructuring, 2017, 50, (4), 367-386 View citations (6)
521. The Growth-Inflation Nexus for the U.S. from 1801 to 2013: A Semiparametric Approach
     Journal of Applied Economics, 2017, 20, (1), 105-120 View citations (1)
     Also in Journal of Applied Economics, 2017, 20, 105-120 (2017) View citations (1)
522. The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis
     African Development Review, 2017, 29, (2), 319-336 View citations (30)
     See also Working Paper The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis, Working Papers (2014) View citations (4) (2014)
523. The Informational Content of the Term Spread in Forecasting the US Inflation Rate: A Nonlinear Approach
     Journal of Forecasting, 2017, 36, (2), 109-121 View citations (6)
     See also Working Paper The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach, DUTH Research Papers in Economics (2019) (2019)
524. 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 View citations (10)
     See also Working Paper The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach, Working Papers (2016) (2016)
525. The US real GNP is trend-stationary after all
     Applied Economics Letters, 2017, 24, (8), 510-514 View citations (10)
     See also Working Paper The US Real GNP is Trend-Stationary After All, Working Papers (2015) (2015)
526. The depreciation of the pound post-Brexit: Could it have been predicted?
     Finance Research Letters, 2017, 21, (C), 206-213 View citations (12)
     See also Working Paper The Depreciation of the Pound Post-Brexit: Could it have been Predicted?, Working Papers (2016) View citations (3) (2016)
527. 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 View citations (12)
     See also Working Paper The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective, Working Papers (2016) View citations (8) (2016)
528. 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 View citations (51)
529. 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 View citations (11)
     See also Working Paper The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches, Working Papers (2016) View citations (1) (2016)
530. The impact of US policy uncertainty on the monetary effectiveness in the Euro area
     Journal of Policy Modeling, 2017, 39, (6), 1052-1064 View citations (26)
531. 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 View citations (34)
     See also Working Paper The International REIT's Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises, Working Papers (2017) View citations (33) (2017)
532. 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 View citations (4)
533. 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 View citations (4)
     See also Working Paper The Relationship between Population Growth and Standard-of-Living Growth Over 1870-2013: Evidence from a Bootstrapped Panel Granger Causality Test, Working papers (2016) (2016)
534. The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
     Empirical Economics, 2017, 53, (3), 879-889 View citations (135)
     See also Working Paper THE ROLE OF NEWS-BASED UNCERTAINTY INDICES IN PREDICTING OIL MARKETS: A HYBRID NONPARAMETRIC QUANTILE CAUSALITY METHOD, Working Papers (2015) View citations (13) (2015)
535. The role of oil prices in the forecasts of South African interest rates: A Bayesian approach
     Energy Economics, 2017, 61, (C), 270-278 View citations (1)
     See also Working Paper The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach, School of Economics Macroeconomic Discussion Paper Series (2016) (2016)
536. The time-varying correlation between output and prices in the United States over the period 1800–2014
     Economic Systems, 2017, 41, (1), 98-108 View citations (3)
537. Time-varying persistence in US inflation
     Empirical Economics, 2017, 53, (2), 423-439 View citations (6)
     See also Working Paper Time-Varying Persistence in US Inflation, Working Papers (2014) View citations (1) (2014)
538. Time-varying persistence of inflation: evidence from a wavelet-based approach
     Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (4), 18 View citations (3)
     See also Working Paper Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach, Working Papers (2016) View citations (3) (2016)

2016

539. 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 View citations (3)
     See also Working Paper A historical analysis of the US stock price index using empirical mode decomposition over 1791-2015, Economics Discussion Papers (2016) View citations (3) (2016)
540. A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices
     Applied Economics, 2016, 48, (31), 2895-2898 View citations (16)
     See also Working Paper A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices, Working Papers (2015) View citations (1) (2015)
541. 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
     See also Working Paper An Application of a New Seasonal Unit Root Test for Trending and Breaking Series to Industrial Production of the BRICS, Working Papers (2014) (2014)
542. 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 View citations (10)
     See also Working Paper Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter, Working Papers (2014) View citations (3) (2014)
543. 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 View citations (1)
     See also Working Paper Are there Housing Bubbles in South Africa? Evidence from SPSM-Based Panel KSS Test with a Fourier Function, Working Papers (2013) (2013)
544. 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
545. 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 View citations (23)
546. 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
547. Cross-Country Evidence on the Causal Relationship between Policy Uncertainty and Housing Prices
     Journal of Housing Research, 2016, 25, (2), 195-211 View citations (1)
548. Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
     Panoeconomicus, 2016, 63, (3), 273-291 View citations (1)
     See also Working Paper Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?, Working Papers (2014) (2014)
549. 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 View citations (98)
     See also Working Paper Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test, Working Papers (2015) View citations (3) (2015)
550. 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 View citations (6)
     See also Working Paper Does Sunspot Numbers Cause Global Temperatures? A Reconsideration Using a Non-Parametric Causality Test, Working Papers (2014) View citations (1) (2014)
551. Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test
     Resources Policy, 2016, 49, (C), 74-80 View citations (161)
     See also Working Paper Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test, Working Papers (2015) View citations (7) (2015)
552. Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note
     Atlantic Economic Journal, 2016, 44, (3), 377-386 View citations (21)
     See also Working Paper Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note, Working Papers (2015) (2015)
553. Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty, and the Macroeconomy
     Southern Economic Journal, 2016, 83, (2), 609-624 View citations (11)
     See also Working Paper Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy, Working Papers (2015) View citations (1) (2015)
554. Erratum to: Real estate returns predictability revisited: novel evidence from the US REITs market
     Empirical Economics, 2016, 51, (3), 1191-1191 View citations (34)
555. 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 View citations (22)
     See also Working Paper Evolution of the Monetary Transmission Mechanism in the US: The Role of Asset Returns, Working Papers (2014) (2014)
556. Forecasting South African inflation using non-linearmodels: a weighted loss-based evaluation
     Applied Economics, 2016, 48, (26), 2412-2427 View citations (2)
     See also Working Paper Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation, Working Papers (2014) View citations (2) (2014)
557. Forecasting US consumer price index: does nonlinearity matter?
     Applied Economics, 2016, 48, (46), 4462-4475 View citations (10)
558. Forecasting US real private residential fixed investment using a large number of predictors
     Empirical Economics, 2016, 51, (4), 1557-1580 View citations (4)
     See also Working Paper Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors, Working papers (2014) View citations (7) (2014)
559. Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
     Energy Economics, 2016, 56, (C), 117-133 View citations (80)
560. Forecasting the South African inflation rate: On asymmetric loss and forecast rationality
     Economic Systems, 2016, 40, (1), 82-92 View citations (4)
     See also Working Paper Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality, Working Papers (2014) (2014)
561. 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 View citations (42)
     See also Working Paper Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching, FinMaP-Working Papers (2014) View citations (3) (2014)
562. House Values and Proximity to a Landfill in South Africa
     Journal of Real Estate Literature, 2016, 24, (1), 133-149
563. 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 View citations (14)
     See also Working Paper Hydroelectricity Consumption and Economic Growth Nexus: Evidence from a Panel of Ten Largest Hydroelectricity Consumers, Working Papers (2015) (2015)
564. Impact of Activity Tax in the Property-Owning and Subletting of Fixed Property Sectors on the South African Economy: A CGE Analysis
     Journal of Real Estate Literature, 2016, 24, (2), 345-357
     See also Working Paper Impact of Activity Tax in the Property-Owning and Subletting of Fixed Property Sectors on the South African Economy: A CGE Analysis, Working Papers (2016) View citations (1) (2016)
565. Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis
     Finance Research Letters, 2016, 18, (C), 291-296 View citations (70)
     See also Working Paper Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis, Working Papers (2015) View citations (27) (2015)
566. 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 View citations (6)
     See also Working Paper Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data, Working Papers (2014) View citations (3) (2014)
567. Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model
     Resources Policy, 2016, 48, (C), 77-84 View citations (42)
     See also Working Paper Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model, Working Papers (2015) (2015)
568. Is inflation persistence different in reality?
     Economics Letters, 2016, 148, (C), 55-58 View citations (11)
     See also Working Paper Is Inflation Persistence Different in Reality?, Working Papers (2016) View citations (11) (2016)
569. LPPLS bubble indicators over two centuries of the S&P 500 index
     Physica A: Statistical Mechanics and its Applications, 2016, 458, (C), 126-139 View citations (19)
     See also Working Paper LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index, Working Papers (2016) View citations (26) (2016)
570. Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting
     International Review of Economics & Finance, 2016, 43, (C), 443-456 View citations (27)
     See also Working Paper Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting, Post-Print (2016) View citations (19) (2016)
571. Modeling persistence of carbon emission allowance prices
     Renewable and Sustainable Energy Reviews, 2016, 55, (C), 221-226 View citations (11)
     See also Working Paper Modeling Persistence of Carbon Emission Allowance Prices, Working Papers (2015) View citations (3) (2015)
572. On economic uncertainty, stock market predictability and nonlinear spillover effects
     The North American Journal of Economics and Finance, 2016, 36, (C), 184-191 View citations (50)
     See also Working Paper On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects, Working Papers (2015) View citations (7) (2015)
573. On international uncertainty links: BART-based empirical evidence for Canada
     Economics Letters, 2016, 143, (C), 24-27 View citations (25)
     See also Working Paper On International Uncertainty Links: BART-Based Empirical Evidence for Canada, Working Papers (2015) View citations (5) (2015)
574. 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 View citations (7)
     See also Working Paper Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors, Working Papers (2011) View citations (11) (2011)
575. Periodically collapsing bubbles in the South African stock market
     Research in International Business and Finance, 2016, 38, (C), 191-201 View citations (16)
     See also Working Paper Periodically Collapsing Bubbles in the South African Stock Market, Working Papers (2016) View citations (21) (2016)
576. Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013
     Applied Economics, 2016, 48, (34), 3244-3252
     See also Working Paper Persistence, Mean Reversion and Non-Linearities in US Housing Prices Over 1830-2013, Working Papers (2014) (2014)
577. Real estate returns predictability revisited: novel evidence from the US REITs market
     Empirical Economics, 2016, 51, (3), 1165-1190 View citations (34)
     See also Working Paper Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market, Working Papers (2014) View citations (6) (2014)
578. Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing
     Applied Economics, 2016, 48, (24), 2301-2308 View citations (21)
     See also Working Paper Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing, Working Papers (2014) View citations (2) (2014)
579. 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 View citations (7)
     See also Working Paper Stock Price Dynamics and the Business Cycle in an Estimated DSGE Model for South Africa, Working Papers (2014) (2014)
580. 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 View citations (3)
     See also Working Paper Technical Efficiency of Connecticut Long Island Sound Lobster Fishery: A Nonparametric Approach to Aggregate Frontier Analysis, Working Papers (2015) View citations (1) (2015)
581. Testing for bubbles in the BRICS stock markets
     Journal of Economic Studies, 2016, 43, (4), 646-660 View citations (12)
582. 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 View citations (25)
     See also Working Paper Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach, Working Papers (2014) View citations (9) (2014)
583. 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 View citations (88)
     See also Working Paper The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach, Working Papers (2013) View citations (11) (2013)
584. The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach
     The Journal of International Trade & Economic Development, 2016, 25, (7), 978-991 View citations (2)
     See also Working Paper The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach, Working Papers (2015) (2015)
585. 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
586. The causal relationship between natural gas consumption and economic growth: evidence from the G7 countries
     Applied Economics Letters, 2016, 23, (1), 38-46 View citations (8)
     See also Working Paper The causal relationship between natural gas consumption and economic growth: Evidence from the G7 countries, Working Papers (2013) (2013)
587. The dynamic response of the rand real exchange rate to fundamental shocks
     Journal of Economic Studies, 2016, 43, (1), 108-121 View citations (1)
588. The relationship between oil and agricultural commodity prices in South Africa: A quantile causality approach
     Journal of Developing Areas, 2016, 50, (3), 93-107 View citations (7)
     Also in Journal of Developing Areas, 2016, 50, (2), 137-152 (2016) View citations (7)
589. 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 View citations (43)
     See also Working Paper The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach, Economics Discussion Papers (2016) View citations (50) (2016)
590. Time series analysis of persistence in crude oil price volatility across bull and bear regimes
     Energy, 2016, 109, (C), 29-37 View citations (34)
     See also Working Paper Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes, Working Papers (2015) View citations (1) (2015)
591. 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
592. Time-frequency relationship between US output with commodity and asset prices
     Applied Economics, 2016, 48, (3), 227-242 View citations (9)
     See also Working Paper Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices, Working Papers (2015) View citations (1) (2015)
593. Trust and quality of growth: a note
     Economics Bulletin, 2016, 36, (3), 1854-1867 View citations (8)
     See also Working Paper Trust and Quality of Growth: A Note, MPRA Paper (2015) View citations (5) (2015)
594. Uncertainty and crude oil returns
     Energy Economics, 2016, 55, (C), 92-100 View citations (156)
     See also Working Paper Uncertainty and Crude Oil Returns, Working Papers (2015) View citations (1) (2015)

2015

595. 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 View citations (5)
     See also Working Paper Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function, Working Papers (2013) View citations (1) (2013)
596. 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 View citations (61)
     See also Working Paper Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test, Working Papers (2013) View citations (6) (2013)
597. Are there long-run diversification gains from the Dow Jones Islamic finance index?
     Applied Economics Letters, 2015, 22, (12), 945-950 View citations (7)
     See also Working Paper Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?, Working Papers (2014) View citations (2) (2014)
598. Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?
     Renewable and Sustainable Energy Reviews, 2015, 52, (C), 19-23 View citations (12)
     See also Working Paper Are there Multiple Bubbles in the Ethanol-Gasoline Price Ratio of Brazil?, Working Papers (2014) (2014)
599. 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 View citations (12)
     See also Working Paper Convergence in Provincial-Level South African House Prices: Evidence from the Club Convergence and Clustering Procedure, Working Papers (2013) (2013)
600. 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 View citations (3)
601. 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
602. Causality Between Us Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
     Journal of Applied Economics, 2015, 18, (2), 225-246 View citations (20)
     Also in Journal of Applied Economics, 2015, 18, 225-246 (2015) View citations (30)
     See also Working Paper Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests, Working Papers (2013) View citations (1) (2013)
603. Causality between exports and economic growth in South Africa: evidence from linear and nonlinear tests
     Journal of Developing Areas, 2015, 49, (2), 163-181 View citations (23)
     See also Working Paper Causality between Exports and Economic Growth in South Africa: Evidence from Linear and Nonlinear Tests, Working Papers (2013) View citations (8) (2013)
604. 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 View citations (18)
     See also Working Paper Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model, Working Papers (2014) View citations (6) (2014)
605. Causality between research output and economic growth in BRICS
     Quality & Quantity: International Journal of Methodology, 2015, 49, (1), 167-176 View citations (16)
     See also Working Paper Causality between Research Output and Economic Growth in BRICS, Working Papers (2013) View citations (6) (2013)
606. Comovement in Euro area housing prices: A fractional cointegration approach
     Urban Studies, 2015, 52, (16), 3123-3143 View citations (15)
     See also Working Paper Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach, Working Papers (2013) View citations (2) (2013)
607. Convergence of greenhouse gas emissions among G7 countries
     Applied Economics, 2015, 47, (60), 6543-6552 View citations (13)
     See also Working Paper Convergence of Greenhouse Gas Emissions among G7 Countries, Working Papers (2013) View citations (1) (2013)
608. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
     Applied Economics, 2015, 47, (3), 207-221 View citations (4)
     See also Working Paper DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa, Open Access publications (2015) View citations (4) (2015)
609. 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 View citations (12)
     See also Working Paper Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model, Working Papers (2012) View citations (23) (2012)
610. Do commodity investors herd? Evidence from a time-varying stochastic volatility model
     Resources Policy, 2015, 46, (P2), 281-287 View citations (17)
611. Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test
     Applied Economics, 2015, 47, (8), 798-808 View citations (8)
     See also Working Paper Does Sunspot Numbers Cause Global Temperatures? Evidence from a Frequency Domain Causality Test, Working Papers (2013) (2013)
612. Do we need a global VAR model to forecast inflation and output in South Africa?
     Applied Economics, 2015, 47, (25), 2649-2670 View citations (4)
     See also Working Paper Do we need a global VAR model to forecast inflation and output in South Africa?, Working Papers (2013) View citations (2) (2013)
613. 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
614. Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns
     Journal of Real Estate Portfolio Management, 2015, 21, (1), 53-60 View citations (2)
     See also Working Paper Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns, MPRA Paper (2015) View citations (47) (2015)
615. Energy efficiency of selected OECD countries: A slacks based model with undesirable outputs
     Energy Economics, 2015, 51, (C), 45-53 View citations (61)
     See also Working Paper Energy Efficiency of Selected OECD Countries: A Slacks Based Model with Undesirable Outputs, Working Papers (2014) (2014)
616. Forecasting US real house price returns over 1831-2013: evidence from copula models
     Applied Economics, 2015, 47, (48), 5204-5213 View citations (8)
     See also Working Paper Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models, Working Papers (2014) View citations (1) (2014)
617. Forecasting aggregate retail sales: The case of South Africa
     International Journal of Production Economics, 2015, 160, (C), 66-79 View citations (12)
     See also Working Paper Forecasting Aggregate Retail Sales: The Case of South Africa, Working Papers (2014) View citations (2) (2014)
618. Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model
     Economic Modelling, 2015, 44, (C), 215-228 View citations (13)
619. Forecasting the U.S. real house price index
     Economic Modelling, 2015, 45, (C), 259-267 View citations (8)
     See also Working Paper Forecasting the U.S. Real House Price Index, Papers (2017) (2017)
620. Forecasting the price of gold
     Applied Economics, 2015, 47, (39), 4141-4152 View citations (57)
     See also Working Paper Forecasting the Price of Gold, Working Papers (2014) View citations (29) (2014)
621. Forecasting the price of gold using dynamic model averaging
     International Review of Financial Analysis, 2015, 41, (C), 257-266 View citations (71)
     See also Working Paper Forecasting the Price of Gold Using Dynamic Model Averaging, Working Papers (2014) View citations (10) (2014)
622. Guest Editor’s Introduction
     Emerging Markets Finance and Trade, 2015, 51, (3), 445-447
623. Has oil price predicted stock returns for over a century?
     Energy Economics, 2015, 48, (C), 18-23 View citations (239)
     See also Working Paper Has oil price predicted stock returns for over a century?, Working Papers (2015) View citations (255) (2015)
624. Herding behavior in real estate markets: Novel evidence from a Markov-switching model
     Journal of Behavioral and Experimental Finance, 2015, 8, (C), 40-43 View citations (30)
625. House Prices and Balance of Trade Dynamics in South Africa: Evidence from an Agnostic Identification Procedure
     Journal of Housing Research, 2015, 24, (1), 107-126
     See also Working Paper HOUSE PRICES AND BALANCE OF TRADE DYNAMICS IN SOUTH AFRICA: EVIDENCE FROM AN AGNOSTIC IDENTIFICATION PROCEDURE, Working Papers (2012) (2012)
626. Identifying an index of financial conditions for South Africa
     Studies in Economics and Finance, 2015, 32, (2), 256-274 View citations (9)
627. 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 View citations (19)
     See also Working Paper Is there an Environmental Kuznets Curve for South Africa? A Co-Summability Approach Using a Century of Data, Working Papers (2014) View citations (2) (2014)
628. Oil price forecastability and economic uncertainty
     Economics Letters, 2015, 132, (C), 125-128 View citations (61)
     See also Working Paper Oil Price Forecastability and Economic Uncertainty, Working Papers (2015) View citations (62) (2015)
629. Oil prices and financial stress: A volatility spillover analysis
     Energy Policy, 2015, 82, (C), 278-288 View citations (103)
630. Panel Granger causality between oil consumption and GDP: evidence from BRICS countries
     International Journal of Sustainable Economy, 2015, 7, (1), 30-41 View citations (1)
     See also Working Paper Panel Granger causality between oil consumption and GDP: Evidence from the BRICS countries, Working Papers (2013) View citations (1) (2013)
631. Persistence of precious metal prices: A fractional integration approach with structural breaks
     Resources Policy, 2015, 44, (C), 57-64 View citations (36)
     See also Working Paper Persistence of precious metal prices: a fractional integration approach with structural breaks, NCID Working Papers (2015) View citations (37) (2015)
632. Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach
     Economics Letters, 2015, 131, (C), 83-85 View citations (8)
     See also Working Paper Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach, Working Papers (2015) View citations (8) (2015)
633. Regime switching model of US crude oil and stock market prices: 1859 to 2013
     Energy Economics, 2015, 49, (C), 317-327 View citations (103)
     See also Working Paper Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013, Working papers (2014) View citations (3) (2014)
634. Renewable energy and growth: Evidence from heterogeneous panel of G7 countries using Granger causality
     Renewable and Sustainable Energy Reviews, 2015, 52, (C), 1405-1412 View citations (81)
635. 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 View citations (13)
     See also Working Paper Revisiting the Causality between Electricity Consumption and Economic Growth in South Africa: A Bootstrap Rolling-Window Approach, Working Papers (2013) View citations (3) (2013)
636. 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 View citations (79)
     See also Working Paper Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach, Working Papers (2013) View citations (6) (2013)
637. 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 View citations (5)
     See also Working Paper Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa, Working Papers (2013) View citations (4) (2013)
638. The Impact of Exchange Rate Uncertainty on Exports in South Africa
     Journal of International Commerce, Economics and Policy (JICEP), 2015, 06, (01), 1-14 View citations (13)
639. 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
640. 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 View citations (56)
641. The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US
     Applied Economics, 2015, 47, (22), 2259-2277 View citations (15)
     See also Working Paper The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US, Working Papers (2012) View citations (6) (2012)
642. 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
643. 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 View citations (27)
644. Trends and cycles in historical gold and silver prices
     Journal of International Money and Finance, 2015, 58, (C), 98-109 View citations (14)
     See also Working Paper Trends and Cycles in Historical Gold and Silver Prices, NCID Working Papers (2016) (2016)
645. US inflation dynamics on long-range data
     Applied Economics, 2015, 47, (36), 3874-3890 View citations (8)
     See also Working Paper US inflation dynamics on long range data, DUTH Research Papers in Economics (2015) View citations (6) (2015)
646. Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test
     Applied Economics, 2015, 47, (46), 4996-5011 View citations (46)
     See also Working Paper Volatility Transmission between Islamic and Conventional Equity Markets: Evidence from Causality-in-Variance Test, Working Papers (2013) View citations (3) (2013)
647. Was the recent downturn in US real GDP predictable?
     Applied Economics, 2015, 47, (28), 2985-3007 View citations (6)

2014

648. A time-varying approach to analysing fiscal policy and asset prices in South Africa
     Journal of Financial Economic Policy, 2014, 6, (1), 46-63 View citations (7)
     See also Working Paper A Time-Varying Approach to Analysing Fiscal Policy and Asset Prices in South Africa, Working Papers (2013) View citations (4) (2013)
649. 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 View citations (57)
     See also Working Paper Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?, Working Papers (2014) View citations (53) (2014)
650. Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?
     Applied Financial Economics, 2014, 24, (17), 1147-1157 View citations (9)
     See also Working Paper Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?, Working Papers (2013) View citations (2) (2013)
651. 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 View citations (20)
652. 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 View citations (51)
653. Fiscal Policy Shocks and the Dynamics of Asset Prices
     Public Finance Review, 2014, 42, (4), 511-531 View citations (7)
654. 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 View citations (22)
     See also Working Paper Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty, Working Papers (2013) (2013)
655. GENETIC DIVERSITY ANALYSIS OF RICE (Oryza sativa L.) LANDRACES THROUGH RAPD MARKERS
     International Journal of Agricultural Research, Innovation and Technology (IJARIT), 2014, 04, (01)
656. Housing and the Great Depression
     Applied Economics, 2014, 46, (24), 2966-2981 View citations (33)
     See also Working Paper Housing and the Great Depression, Working Papers (2013) View citations (5) (2013)
657. Housing and the business cycle in South Africa
     Journal of Policy Modeling, 2014, 36, (3), 471-491 View citations (17)
     See also Working Paper Housing and the Business Cycle in South Africa, Working Papers (2014) View citations (22) (2014)
658. Intertemporal portfolio allocation and hedging demand: an application to South Africa
     Journal of Business Economics and Management, 2014, 15, (4), 744-775 View citations (1)
     See also Working Paper Intertemporal portfolio allocation and hedging demand: An application to South Africa, Working Papers (2011) View citations (1) (2011)
659. Military expenditure, economic growth and structural instability: a case study of South Africa
     Defence and Peace Economics, 2014, 25, (6), 619-633 View citations (19)
     See also Working Paper Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa, Working Papers (2013) (2013)
660. Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
     Applied Financial Economics, 2014, 24, (14), 993-1004 View citations (42)
     See also Working Paper Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model, Working Papers (2013) View citations (4) (2013)
661. Oil price uncertainty and manufacturing production
     Energy Economics, 2014, 43, (C), 41-47 View citations (50)
662. Persistence and cycles in historical oil price data
     Energy Economics, 2014, 45, (C), 511-516 View citations (21)
     See also Working Paper Persistence and Cycles in Historical Oil Prices Data, Working Papers (2013) (2013)
663. Predicting BRICS stock returns using ARFIMA models
     Applied Financial Economics, 2014, 24, (17), 1159-1166 View citations (14)
     See also Working Paper Predicting BRICS Stock Returns Using ARFIMA Models, Working Papers (2012) View citations (6) (2012)
664. Real interest rate persistence in South Africa: evidence and implications
     Economic Change and Restructuring, 2014, 47, (1), 41-62 View citations (6)
     See also Working Paper Real Interest Rate Persistence in South Africa: Evidence and Implications, Working Papers (2012) (2012)
665. 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 View citations (6)
     See also Working Paper 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 (2011) View citations (5) (2011)
666. Tax evasion, financial development and inflation: Theory and empirical evidence
     Journal of Banking & Finance, 2014, 41, (C), 194-208 View citations (46)
     See also Working Paper Tax evasion, financial development and inflation: theory and empirical evidence, Working Papers (2013) View citations (2) (2013)
667. Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries
     Applied Economics, 2014, 46, (18), 2127-2138 View citations (15)
     See also Working Paper Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries, Working Papers (2013) View citations (1) (2013)
668. The Long-Run Relationship Between Consumption, House Prices, and Stock Prices in South Africa: Evidence from Provincial-level Data
     Journal of Real Estate Literature, 2014, 22, (1), 83-99
     See also Working Paper The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data, Working Papers (2013) View citations (3) (2013)
669. 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 View citations (4)
670. The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries
     Energy Policy, 2014, 66, (C), 359-368 View citations (163)
     See also Working Paper The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries, Working Papers (2013) View citations (8) (2013)
671. Time-varying causality between research output and economic growth in US
     Scientometrics, 2014, 100, (1), 203-216 View citations (29)
     See also Working Paper Time-Varying Causality between Research Output and Economic Growth in the US, Working Papers (2013) View citations (7) (2013)
672. Time-varying linkages between tourism receipts and economic growth in South Africa
     Applied Economics, 2014, 46, (36), 4381-4398 View citations (23)
     See also Working Paper Time-Varying Linkages between Tourism Receipts and Economic Growth in South Africa, Working Papers (2013) (2013)
673. Using large data sets to forecast sectoral employment
     Statistical Methods & Applications, 2014, 23, (2), 229-264 View citations (2)
     See also Working Paper Using Large Data Sets to Forecast Sectoral Employment, Working papers (2012) (2012)

2013

674. A DSGE-VAR model for forecasting key South African macroeconomic variables
     Economic Modelling, 2013, 33, (C), 19-33 View citations (28)
675. Does the source of oil price shocks matter for South African stock returns? A structural VAR approach
     Energy Economics, 2013, 40, (C), 825-831 View citations (80)
     See also Working Paper Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach, Working Papers (2013) View citations (85) (2013)
676. Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes
     Empirical Economics, 2013, 44, (2), 387-417 View citations (1)
     See also Working Paper Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes, Working Papers (2011) View citations (2) (2011)
677. 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 View citations (12)
678. 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 View citations (21)
679. Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach
     Journal of Housing Research, 2013, 22, (2), 203-219
     See also Working Paper Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach, Working Papers (2011) View citations (13) (2011)
680. Macroeconomic Variables and South African Stock Return Predictability
     Economic Modelling, 2013, 30, (C), 612-622 View citations (27)
     See also Working Paper Macroeconomic Variables and South African Stock Return Predictability, Working Papers (2011) View citations (4) (2011)
681. Macroeconomic surprises and stock returns in South Africa
     Studies in Economics and Finance, 2013, 30, (3), 266-282 View citations (3)
     See also Working Paper Macroeconomic Surprises and Stock Returns in South Africa, Working Papers (2012) View citations (8) (2012)
682. Metropolitan House Prices In Regions of India: Do They Converge?
     Regional and Sectoral Economic Studies, 2013, 13, (1), 135-144 View citations (2)
683. Testing for Persistence in South African House Prices
     Journal of Real Estate Literature, 2013, 21, (2), 293-314
684. Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
     Contemporary Economics, 2013, 7, (1) View citations (15)
     See also Working Paper Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data, Working Papers (2011) View citations (6) (2011)
685. The Impact of House Prices on Consumption in South Africa: Evidence from Provincial-Level Panel VARs
     Housing Studies, 2013, 28, (8), 1133-1154 View citations (18)
     See also Working Paper THE IMPACT OF HOUSE PRICES ON CONSUMPTION IN SOUTH AFRICA: EVIDENCE FROM PROVINCIAL-LEVEL PANEL VARs, Working Papers (2012) View citations (21) (2012)
686. The Role of Asset Prices in Forecasting Inflation and Output in South Africa
     Journal of Emerging Market Finance, 2013, 12, (3), 239-291 View citations (31)
     See also Working Paper The Role of Asset Prices in Forecasting Inflation and Output in South Africa, Working Papers (2011) View citations (8) (2011)
687. 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 View citations (7)
     See also Working Paper The Causal Relationship between Exports and Economic Growth in the Nine Provinces of South Africa: Evidence from Panel-Granger Causality Tests, Working Papers (2013) View citations (16) (2013)
688. The long-run impact of inflation in South Africa
     Journal of Policy Modeling, 2013, 35, (5), 798-812 View citations (12)
     See also Working Paper The Long-Run Impact of Inflation in South Africa, Working Papers (2010) View citations (2) (2010)
689. 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 View citations (2)
     See also Working Paper The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand, Working Papers (2013) View citations (2) (2013)
690. ‘Ripple’ Effects in South African House Prices
     Urban Studies, 2013, 50, (5), 876-894 View citations (15)

2012

691. Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application of Saphe Cracking
     Journal of Developing Areas, 2012, 46, (1), 45-54 View citations (10)
     See also Working Paper COMPARING SOUTH AFRICAN INFLATION VOLATILITY ACROSS MONETARY POLICY REGIMES: AN APPLICATION OF SAPHE CRACKING, Working Papers (2009) View citations (8) (2009)
692. 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
     See also Working Paper Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure, OECD Economics Department Working Papers (2012) View citations (29) (2012)
693. House Prices and Economic Growth in South Africa: Evidence From Provincial-Level Data
     Journal of Real Estate Literature, 2012, 20, (1), 97-117
     See also Working Paper House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data, Working Papers (2011) View citations (21) (2011)
694. Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”
     Applied Econometrics and International Development, 2012, 12, (2) View citations (6)
     See also Working Paper Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession", Working Papers (2012) View citations (7) (2012)
695. 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 View citations (22)
     See also Working Paper South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns, Working Papers (2010) (2010)
696. Structural breaks and GARCH models of stock return volatility: The case of South Africa
     Economic Modelling, 2012, 29, (6), 2435-2443 View citations (26)
     See also Working Paper Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa, Working Papers (2010) View citations (2) (2010)
697. THE EFFECTS OF MONETARY POLICY ON REAL FARM PRICES IN SOUTH AFRICA
     Regional and Sectoral Economic Studies, 2012, 12, (1), 147-158
     See also Working Paper The Effects of Monetary Policy On Real Farm Prices in South Africa, Working Papers (2011) (2011)
698. 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 View citations (41)
     See also Working Paper The Time-Series Properties of House Prices: A Case Study of the Southern California Market, Working Papers (2009) View citations (8) (2009)
699. Valuation Ratios and Stock Return Predictability in South Africa: Is It There?
     Emerging Markets Finance and Trade, 2012, 48, (1), 70-82 View citations (5)
700. “Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix
     The Annals of Regional Science, 2012, 48, (3), 763-782 View citations (31)
     See also Working Paper "Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix, Working papers (2009) View citations (16) (2009)

2011

701. A large factor model for forecasting macroeconomic variables in South Africa
     International Journal of Forecasting, 2011, 27, (4), 1076-1088 View citations (30)
702. 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 View citations (20)
     See also Working Paper An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa, Working Papers (2010) View citations (4) (2010)
703. Currency Substitution and Financial Repression
     International Economic Journal, 2011, 25, (1), 47-61
     See also Working Paper Currency Substitution and Financial Repression, Working Papers (2008) View citations (3) (2008)
704. 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 Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs, Working Papers (2008) View citations (4) (2008)
705. Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
     Journal of Forecasting, 2011, 30, (2), 288-302 View citations (17)
706. Forecasting the US real house price index: Structural and non-structural models with and without fundamentals
     Economic Modelling, 2011, 28, (4), 2013-2021 View citations (41)
     See also Working Paper Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals, Working Papers (2010) View citations (2) (2010)
707. Growth-Effects of Inflation Targeting: The Role of Financial Sector Development
     Annals of Economics and Finance, 2011, 12, (1), 65-87 View citations (3)
     See also Working Paper Growth-Effects of Inflation Targeting: The Role of Financial Sector Development, Working Papers (2006) View citations (2) (2006)
708. INTERNATIONAL ARTICLES: BUBBLES IN SOUTH AFRICAN HOUSE PRICES AND THEIR IMPACT ON CONSUMPTION
     Journal of Real Estate Literature, 2011, 19, (1), 69-91
709. Is the Permanent Income Hypothesis Really Well-Suited for Forecasting&quest
     Eastern Economic Journal, 2011, 37, (2), 165-177 View citations (1)
710. 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 View citations (3)
     See also Working Paper The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa, Working Papers (2010) View citations (1) (2010)
711. Using Large Data Sets to Forecast House Prices: A Case Study of Twenty U.S. States
     Journal of Housing Research, 2011, 20, (2), 161-190

2010

712. CONVERGENCE OF METROPOLITAN HOUSE PRICES IN SOUTH AFRICA: A RE-EXAMINATION USING EFFICIENT UNIT ROOT TESTS
     Applied Econometrics and International Development, 2010, 10, (1) View citations (11)
     See also Working Paper Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests, Working Papers (2009) (2009)
713. Could We Have Predicted the Recent Downturn in Home Sales in the Four U.S. Census Regions?
     Journal of Housing Research, 2010, 19, (2), 111-128
     See also Working Paper Could We Have Predicted the Recent Downturn in Home Sales of the Four US Census Regions?, Working Papers (2009) View citations (10) (2009)
714. DYNAMIC TIME INCONSISTENCY AND THE SOUTH AFRICAN RESERVE BANK
     South African Journal of Economics, 2010, 78, (1), 76-88 View citations (6)
715. 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 Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments, Working Papers (2008) (2008)
716. 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 (20)
     See also Working Paper Financial Liberalisation and the Effectiveness of Monetary Policy on House Prices in South Africa, Working Papers (2008) View citations (5) (2008)
717. 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 View citations (44)
     See also Working Paper Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models, Working Papers (2008) View citations (16) (2008)
718. Forecasting the South African economy: a hybrid‐DSGE approach
     Journal of Economic Studies, 2010, 37, (2), 181-195 View citations (12)
719. Has the SARB become more effective post inflation targeting?
     Economic Change and Restructuring, 2010, 43, (3), 187-204 View citations (13)
     See also Working Paper Has the SARB Become More Effective Post Inflation Targeting?, Working Papers (2009) View citations (1) (2009)
720. Loan Portfolio Conditional Loss Estimation Using an Error-Correcting Macroeconometric Model
     The African Finance Journal, 2010, 12, (2), 28-49 View citations (1)
721. Optimal public policy with endogenous mortality
     Journal of Economic Policy Reform, 2010, 13, (3), 241-249
     See also Working Paper Optimal Public Policy with Endogenous Mortality, Working Papers (2008) (2008)
722. Predicting Downturns in the US Housing Market: A Bayesian Approach
     The Journal of Real Estate Finance and Economics, 2010, 41, (3), 294-319 View citations (28)
     See also Working Paper Predicting Downturns in the US Housing Market: A Bayesian Approach, Working Papers (2008) (2008)
723. Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting
     Annals of Economics and Finance, 2010, 11, (1), 139-153 View citations (14)
     See also Working Paper Private and Public Health Expenditures in an Endogenous Growth Model with Inflation Targeting, Working Papers (2010) View citations (13) (2010)
724. THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
     Defence and Peace Economics, 2010, 21, (2), 135-147 View citations (12)
     See also Working Paper THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH, Working Papers (2009) View citations (2) (2009)
725. The Blessing of Dimensionality in Forecasting Real House Price Growth in the Nine Census Divisions of the U.S
     Journal of Housing Research, 2010, 19, (1), 89-109
     See also Working Paper THE BLESSING OF DIMENSIONALITY IN FORECASTING REAL HOUSE PRICE GROWTH IN THE NINE CENSUS DIVISIONS OF THE US, Working Papers (2009) View citations (17) (2009)
726. The effect of monetary policy on house price inflation
     Journal of Economic Studies, 2010, 37, (6), 616-626 View citations (63)
727. 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 View citations (70)
     See also Working Paper THE EFFECT OF MONETARY POLICY ON REAL HOUSE PRICE GROWTH IN SOUTH AFRICA: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH, Working Papers (2009) View citations (4) (2009)

2009

728. A New-Keynesian DSGE model for forecasting the South African economy
     Journal of Forecasting, 2009, 28, (5), 387-404 View citations (27)
     See also Working Paper A New-Keynesian DSGE Model for Forecasting the South African Economy, Working Papers (2008) View citations (1) (2008)
729. An Endogenous Growth Model of a Financially Repressed Small Open Economy
     International Economic Journal, 2009, 23, (1), 143-161 View citations (1)
     See also Working Paper An Endogenous Growth Model of a Financially Repressed Small Open Economy, Working Papers (2006) (2006)
730. BAYESIAN METHODS OF FORECASTING INVENTORY INVESTMENT
     South African Journal of Economics, 2009, 77, (1), 113-126 View citations (4)
731. Could we have predicted the recent downturn in the South African housing market?
     Journal of Housing Economics, 2009, 18, (4), 325-335 View citations (28)
     See also Working Paper COULD WE HAVE PREDICTED THE RECENT DOWNTURN IN THE SOUTH AFRICAN HOUSING MARKET?, Working Papers (2008) View citations (9) (2008)
732. Financial Liberalization and a Possible Growth-Inflation Trade-Off
     Indian Economic Review, 2009, 44, (1), 1-19 View citations (2)
     See also Working Paper Financial Liberalization and a Possible Growth-Inflation Trade-Off, Working Papers (2006) (2006)
733. Half-Life Deviations from PPP in the South African Development Community (SADC)
     Applied Econometrics and International Development, 2009, 9, (1) View citations (3)
734. Linking global economic dynamics to a South African-specific credit risk correlation model
     Economic Modelling, 2009, 26, (5), 1000-1011 View citations (11)
     See also Working Paper Linking Global Economic Dynamics to a South African-Specific Credit Risk Correlation Model, Working Papers (2007) (2007)
735. 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 Market Microstructure Approach to the Exchange Rate Determination Puzzle, Working Papers (2008) (2008)
736. TESTING FOR FRACTIONAL INTEGRATION IN SOUTHERN AFRICAN DEVELOPMENT COMMUNITY REAL EXCHANGE RATES
     South African Journal of Economics, 2009, 77, (4), 531-537 View citations (1)
737. TESTING FOR PPP USING SADC REAL EXCHANGE RATES
     South African Journal of Economics, 2009, 77, (3), 351-362 View citations (7)
     See also Working Paper Testing for PPP Using SADC Real Exchange Rates, Working Papers (2008) View citations (1) (2008)
738. Tax evasion and financial repression: a reconsideration using endogenous growth models
     Journal of Economic Studies, 2009, 36, (6), 660-674 View citations (9)
     See also Working Paper Tax Evasion and Financial Repression: A Reconsideration Using Endogenous Growth Models, Working Papers (2008) View citations (2) (2008)
739. 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
     See also Working Paper Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?, Working Papers (2008) View citations (4) (2008)
740. Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
     Studies in Economics and Econometrics, 2009, 33, (3), 95-109
     See also Working Paper Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation, Working Papers (2008) View citations (1) (2008)

2008

741. Costly Tax Enforcement and Financial Repression
     Economic Notes, 2008, 37, (2), 141-154 View citations (7)
     See also Working Paper Costly Tax Enforcement and Financial Repression, Working Papers (2008) View citations (7) (2008)
742. 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 Financial Liberalization: A Myth or a Miracle Cure?, Working Papers (2005) View citations (1) (2005)
743. MEASURING THE WELFARE COST OF INFLATION IN SOUTH AFRICA
     South African Journal of Economics, 2008, 76, (1), 16-25 View citations (6)
     See also Working Paper Measuring the Welfare Cost of Inflation in South Africa, Working Papers (2008) View citations (5) (2008)
744. Modeling and Forecasting the Metical-Rand Exchange Rate
     The IUP Journal of Monetary Economics, 2008, VI, (4), 63-90 View citations (4)
     See also Working Paper Modelling and Forecasting the Metical-Rand Exchange Rate, Working Papers (2007) View citations (2) (2007)
745. Modelling South African grain farmers’ preferences to adopt derivative contracts using discrete choice models
     Agrekon, 2008, 47, (2), 18 View citations (4)
746. SPATIAL BAYESIAN METHODS OF FORECASTING HOUSE PRICES IN SIX METROPOLITAN AREAS OF SOUTH AFRICA
     South African Journal of Economics, 2008, 76, (2), 298-313 View citations (27)
     See also Working Paper Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa, Working Papers (2008) View citations (29) (2008)
747. Tax evasion and financial repression
     Journal of Economics and Business, 2008, 60, (6), 517-535 View citations (18)
     See also Working Paper Tax Evasion and Financial Repression, Working papers (2007) View citations (2) (2007)

2007

748. A SMALL‐SCALE DSGE MODEL FOR FORECASTING THE SOUTH AFRICAN ECONOMY
     South African Journal of Economics, 2007, 75, (2), 179-193 View citations (39)
     See also Working Paper A Small-Scale DSGE Model for Forecasting the South African Economy, Working Papers (2006) View citations (2) (2006)
749. FORECASTING THE SOUTH AFRICAN ECONOMY WITH GIBBS SAMPLED BVECMs
     South African Journal of Economics, 2007, 75, (4), 631-643 View citations (9)
     See also Working Paper Forecasting the South African Economy with Gibbs Sampled BVECMs, Working Papers (2007) View citations (9) (2007)
750. Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
     International Economic Journal, 2007, 21, (3), 335-360
     See also Working Paper Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis, Working papers (2005) View citations (1) (2005)
751. 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 Financial Liberalization and the Dynamics of Inflation, the Nominal Exchange Rate and the Terms of Trade, Working Papers (2005) (2005)

2006

752. A BVAR MODEL FOR THE SOUTH AFRICAN ECONOMY
     South African Journal of Economics, 2006, 74, (3), 391-409 View citations (20)
     See also Working Paper A BVAR Model for the South African Economy, Working Papers (2006) View citations (18) (2006)
753. Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
     The IUP Journal of Monetary Economics, 2006, IV, (1), 75 - 89 View citations (6)
     See also Working Paper Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue, Working papers (2005) (2005)
754. FORECASTING THE SOUTH AFRICAN ECONOMY WITH VARs AND VECMs
     South African Journal of Economics, 2006, 74, (4), 611-628 View citations (27)
     See also Working Paper Forecasting the South African Economy with VARs and VECMs, Working Papers (2006) View citations (27) (2006)

2005

755. Costly State Monitoring and Reserve Requirements
     Annals of Economics and Finance, 2005, 6, (2), 263-288 View citations (12)
     See also Working Paper Costly State Monitoring and Reserve Requirements, Working papers (2005) View citations (14) (2005)

Undated

756. Forecasting Bitcoin returns: is there a role for the US–China trade war?
     Journal of Risk
757. High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
     Journal of Risk
758. Monetary policy uncertainty and jumps in advanced equity markets
     Journal of Risk

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 View citations (1)
   See also Working Paper The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2021) View citations (1) (2021)