Details about Ahamuefula Ephraim Ogbonna

Access statistics for papers by Ahamuefula Ephraim Ogbonna.

Last updated 2025-02-08. Update your information in the RePEc Author Service.

Short-id: pog56

Working Papers

2025

1. Supply Disruptions and Predictability of Oil Returns Volatility: A GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics

2024

2. Climate Risks and Prediction of Sectoral REITs Volatility: International Evidence
   Working Papers, University of Pretoria, Department of Economics
3. 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
4. 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)
5. Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics
6. Geopolitical Risks and Oil Returns Volatility: A GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics

2023

7. 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)

2022

8. Oil shocks and volatility of green investments: GARCH-MIDAS analyses
   MPRA Paper, University Library of Munich, Germany View citations (19)
   See also Journal Article Oil shocks and volatility of green investments: GARCH-MIDAS analyses, Resources Policy, Elsevier (2022) View citations (6) (2022)
9. Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses
   MPRA Paper, University Library of Munich, Germany View citations (5)
   See also Journal Article Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses, Resources Policy, Elsevier (2022) View citations (2) (2022)

2021

10. An Information-Based Index of Uncertainty and the predictability of Energy Prices
    MPRA Paper, University Library of Munich, Germany View citations (6)
11. Energy Pricing during the COVID-19 Pandemic: Predictive Information-Based Uncertainty Indexes with Machine Learning Algorithm
    MPRA Paper, University Library of Munich, Germany View citations (5)
12. Safe-haven Effectiveness of Cryptocurrency: Evidence from Stock Markets of COVID-19 worst-hit African Countries
    MPRA Paper, University Library of Munich, Germany
13. 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)
14. Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific, Asian Economics Letters, Asia-Pacific Applied Economics Association (2021) View citations (1) (2021)
15. 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)
16. Unemployment Hysteresis in Middle East and North Africa Countries: Panel SUR-based Unit root test with a Fourier function
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Unemployment hysteresis in Middle East and North Africa countries: panel SUR-based unit root test with a Fourier function, Middle East Development Journal, Taylor & Francis Journals (2021) View citations (1) (2021)

2020

17. Life Expectancy in West African Countries: Evidence of Convergence and Catching Up with the North
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Life expectancy in West African countries: Evidence of convergence and catching up with the north, Statistics in Transition New Series, Statistics Poland (2021) (2021)
18. Long-range dependence and Trends in Nigerian Popular Music Artists’ Famosity-“Davido”, “Burna Boy”, “Tiwa Savage” and “Wizkid”: Evidence from Google Trends
    MPRA Paper, University Library of Munich, Germany
19. Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Modelling cryptocurrency high–low prices using fractional cointegrating VAR, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2022) View citations (2) (2022)
20. Pandemics and cryptocurrencies
    MPRA Paper, University Library of Munich, Germany View citations (1)
21. Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (1)
22. To “ECO” or not to “ECO”? Evidence for the single currency agenda of ECOWAS
    MPRA Paper, University Library of Munich, Germany View citations (1)

2019

23. 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)
24. A new unit root analysis for testing hysteresis in unemployment
    MPRA Paper, University Library of Munich, Germany
25. Are inflation rates in OECD countries actually stationary during 2011-2018? Evidence based on Fourier Nonlinear Unit root tests with Break
    MPRA Paper, University Library of Munich, Germany View citations (8)
26. Do we Experience Day-of-the-week Effects in Returns and Volatility of Cryptocurrency?
    MPRA Paper, University Library of Munich, Germany View citations (9)
27. Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test
    MPRA Paper, University Library of Munich, Germany View citations (8)
    See also Journal Article Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test, Quality & Quantity: International Journal of Methodology, Springer (2019) View citations (8) (2019)
28. Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach
    MPRA Paper, University Library of Munich, Germany View citations (1)
29. Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2021) View citations (14) (2021)

2018

30. Does the choice of estimator matter for forecasting? A revisit
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (7)
31. Does time-variation matter in the stochastic volatility components for G7 stock returns
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (2)
32. Forecasting CO2 emissions: Does the choice of estimator matter?
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
33. How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?, Physica A: Statistical Mechanics and its Applications, Elsevier (2019) View citations (30) (2019)
34. Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models
    MPRA Paper, University Library of Munich, Germany

2017

35. Forecasting GDP with energy series: ADL-MIDAS vs. Linear Time Series Models
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (3)
    See also Journal Article Another look at the energy-growth nexus: New insights from MIDAS regressions, Energy, Elsevier (2019) View citations (24) (2019)
36. Improving the Predictive ability of oil for inflation: An ADL-MIDAS Approach
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (5)
37. Investigating Structural break-GARCH-based Unit root test in US exchange rates
    MPRA Paper, University Library of Munich, Germany View citations (2)

Journal Articles

2025

1. Sectoral Corporate Profits and Long‐Run Stock Return Volatility in the United States: A GARCH‐MIDAS Approach
   Journal of Forecasting, 2025, 44, (2), 623-634

2024

2. A new fractional integration approach based on neural network nonlinearity with an application to testing unemployment hysteresis
   Empirical Economics, 2024, 66, (6), 2471-2499
3. Digital Currencies and Macroeconomic Performance: A Global Perspective
   Bulletin of Monetary Economics and Banking, 2024, 27, (2), 351-394
4. Dynamic connectedness of economic policy uncertainty in G7 countries and the influence of the USA and UK on non-G7 countries
   Economic Change and Restructuring, 2024, 57, (2), 1-27 View citations (1)
5. 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)
6. 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)
7. Re-validating the Phillips Curve hypothesis in Africa and the role of oil prices: A mixed-frequency approach
   Energy, 2024, 303, (C)

2023

8. A Global Analysis of the Macroeconomic Effects of Climate Change
   Asian Economics Letters, 2023, 4, (1), 1-6 View citations (6)
9. Information and Communication Technology (ICT) and youth unemployment in Africa
   Quality & Quantity: International Journal of Methodology, 2023, 57, (6), 5055-5077
10. Oil tail risks and the realized variance of consumer prices in advanced economies
    Resources Policy, 2023, 83, (C) View citations (1)
11. 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)
12. Technology shocks - Gold market connection: Is the effect episodic to business cycle behaviour?
    Resources Policy, 2023, 84, (C)

2022

13. 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)
14. Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach
    The North American Journal of Economics and Finance, 2022, 62, (C) View citations (22)
15. Modelling cryptocurrency high–low prices using fractional cointegrating VAR
    International Journal of Finance & Economics, 2022, 27, (1), 489-505 View citations (2)
    See also Working Paper Modelling Cryptocurrency High-Low Prices using Fractional Cointegrating VAR, MPRA Paper (2020) View citations (2) (2020)
16. Oil shocks and volatility of green investments: GARCH-MIDAS analyses
    Resources Policy, 2022, 78, (C) View citations (6)
    See also Working Paper Oil shocks and volatility of green investments: GARCH-MIDAS analyses, MPRA Paper (2022) View citations (19) (2022)
17. The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
    Global Finance Journal, 2022, 54, (C) View citations (10)
18. Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses
    Resources Policy, 2022, 79, (C) View citations (2)
    See also Working Paper Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses, MPRA Paper (2022) View citations (5) (2022)
19. 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)

2021

20. A New Index for Measuring Uncertainty Due to the COVID-19 Pandemic
    Sustainability, 2021, 13, (6), 1-18 View citations (7)
21. A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network*
    Oxford Bulletin of Economics and Statistics, 2021, 83, (4), 960-981 View citations (26)
22. Fractional cointegration between gold price and inflation rate: Implication for inflation rate persistence
    Resources Policy, 2021, 74, (C)
23. Life expectancy in West African countries: Evidence of convergence and catching up with the north
    Statistics in Transition New Series, 2021, 22, (1), 75-88
    Also in Statistics in Transition New Series, 2021, 22, (1), 75-88 (2021)
    See also Working Paper Life Expectancy in West African Countries: Evidence of Convergence and Catching Up with the North, MPRA Paper (2020) (2020)
24. Mapping US presidential terms with S&P500 index: Time series analysis approach
    International Journal of Finance & Economics, 2021, 26, (2), 1938-1954 View citations (1)
25. Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration
    International Journal of Finance & Economics, 2021, 26, (1), 1318-1335 View citations (14)
    See also Working Paper Market Efficiency and Volatility Persistence of Cryptocurrency during Pre- and Post-Crash Periods of Bitcoin: Evidence based on Fractional Integration, MPRA Paper (2019) View citations (3) (2019)
26. Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach
    Economic Analysis and Policy, 2021, 70, (C), 259-275 View citations (20)
27. Point and density forecasting of macroeconomic and financial uncertainties of the USA
    Journal of Forecasting, 2021, 40, (4), 700-707
28. Stock‐induced Google trends and the predictability of sectoral stock returns
    Journal of Forecasting, 2021, 40, (2), 327-345 View citations (8)
29. Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific
    Asian Economics Letters, 2021, 2, (3), 1-6 View citations (1)
    See also Working Paper Tail Risks and Stock Return Predictability: Evidence From Asia-Pacific, MPRA Paper (2021) View citations (1) (2021)
30. Unemployment hysteresis in Middle East and North Africa countries: panel SUR-based unit root test with a Fourier function
    Middle East Development Journal, 2021, 13, (2), 318-334 View citations (1)
    See also Working Paper Unemployment Hysteresis in Middle East and North Africa Countries: Panel SUR-based Unit root test with a Fourier function, MPRA Paper (2021) View citations (1) (2021)

2020

31. Google trends and the predictability of precious metals
    Resources Policy, 2020, 65, (C) View citations (22)

2019

32. Another look at the energy-growth nexus: New insights from MIDAS regressions
    Energy, 2019, 174, (C), 69-84 View citations (24)
    See also Working Paper Forecasting GDP with energy series: ADL-MIDAS vs. Linear Time Series Models, Working Papers (2017) View citations (3) (2017)
33. CPI INFLATION IN AFRICA: FRACTIONAL PERSISTENCE, MEAN REVERSION AND NONLINEARITY
    Statistics in Transition New Series, 2019, 20, (3), 119-132 View citations (2)
    Also in Statistics in Transition New Series, 2019, 20, (3), 119-132 (2019) View citations (2)
34. How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?
    Physica A: Statistical Mechanics and its Applications, 2019, 531, (C) View citations (30)
    See also Working Paper How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?, MPRA Paper (2018) View citations (4) (2018)
35. Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test
    Quality & Quantity: International Journal of Methodology, 2019, 53, (6), 2781-2795 View citations (8)
    See also Working Paper Hysteresis of Unemployment Rates in Africa: New Findings from Fourier ADF test, MPRA Paper (2019) View citations (8) (2019)