Details about Afees Adebare Salisu

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Last updated 2023-09-30. Update your information in the RePEc Author Service.

Short-id: psa997

Working Papers

2023

1. 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
2. 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
3. Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics
4. Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics

2022

5. Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns
   Working Papers, University of Pretoria, Department of Economics
6. Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
   Working Papers, University of Pretoria, Department of Economics
7. 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 in Finance Research Letters (2023)
8. Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article in The Quarterly Review of Economics and Finance (2023)

2021

9. 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
10. Assessing the safe haven property of the gold market during COVID-19 pandemic
    MPRA Paper, University Library of Munich, Germany View citations (31)
    See also Journal Article in International Review of Financial Analysis (2021)
11. 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 in International Review of Finance (2023)
12. 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)
13. El Nino and Forecastability of Oil-Price Realized Volatility
    Working Papers, University of Pretoria, Department of Economics View citations (11)
14. Exchange Rate Predictability with Nine Alternative Models for BRICS Countries
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Journal of Macroeconomics (2022)
15. Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Global Finance Journal (2022)
16. Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2023)
17. Forecasting Oil Price over 150 Years: The Role of Tail Risks
    Working Papers, University of Pretoria, Department of Economics View citations (9)
    See also Journal Article in Resources Policy (2022)
18. Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty
    GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2021) View citations (2)
    See also Journal Article in Resources Policy (2022)
19. Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Financial Analysis (2022)
20. Forecasting US Output Growth with Large Information Sets
    Working Papers, University of Pretoria, Department of Economics
21. 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 (15)
    See also Journal Article in Energy (2021)
22. 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 in Finance Research Letters (2022)
23. Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Energy Economics (2022)
24. Gold and the Global Financial Cycle
    Working Papers, University of Pretoria, Department of Economics View citations (1)
25. 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 in Finance Research Letters (2022)
26. Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Finance Research Letters (2022)
27. Out-of-Sample Predictability of Gold Market Volatility: The Role of US Nonfarm Payroll
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2022)
28. 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
29. 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 in The European Journal of Finance (2023)
30. The (Asymmetric) Effect of El Nino and La Nina on Gold and Silver Prices in a GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Resources Policy (2022)
31. 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)
32. 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 (6)
    See also Journal Article in Applied Economics Letters (2023)
33. 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)
34. The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in International Finance (2022)
35. Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Forecasting (2022)

2020

36. A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment
    Working Papers, University of Pretoria, Department of Economics View citations (2)
    See also Journal Article in Annals of Financial Economics (AFE) (2022)
37. Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Applied Economics Letters (2021)
38. 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)
39. Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in International Review of Economics & Finance (2022)
40. Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in The Journal of Real Estate Finance and Economics (2022)
41. Oil Price and Exchange Rate Behaviour of the BRICS for Over a Century
    Working Papers, University of Pretoria, Department of Economics View citations (5)
42. Oil-Price Uncertainty and the U.K. Unemployment Rate: A Forecasting Experiment with Random Forests Using 150 Years of Data
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Resources Policy (2022)
43. Pandemics and cryptocurrencies
    MPRA Paper, University Library of Munich, Germany
44. Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States
    Working Papers, University of Pretoria, Department of Economics View citations (1)
45. Stock Markets and Exchange Rate Behaviour of the BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Forecasting (2021)
46. 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 (19)
    See also Journal Article in Research in International Business and Finance (2020)
47. To “ECO” or not to “ECO”? Evidence for the single currency agenda of ECOWAS
    MPRA Paper, University Library of Munich, Germany

2019

48. A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article in International Journal of Finance & Economics (2022)
49. How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Emerging Markets Finance and Trade (2021)
50. Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Global Finance Journal (2021)

2018

51. A new procedure for pre-testing the distribution properties of Stock returns
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
52. Analysing the distribution properties of Bitcoin returns
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
53. Could this be a fiction? Bitcoin forecasts most tradable currency pairs better than ARFIMA
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
54. Does the choice of estimator matter for forecasting? A revisit
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (7)
55. 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)
56. Energy consumption and economic growth in oil importing and oil exporting countries: A Panel ARDL approach
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (4)
57. Forecasting CO2 emissions: Does the choice of estimator matter?
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
58. Forecasting GDP of OPEC: The role of oil price
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
59. Improving the predictability of commodity prices in US inflation: The role of coffee price
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
60. Modeling the residential electricity demand in the US
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
61. Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
62. Predicting the stock prices of G7 countries with Bitcoin prices
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
63. Testing for spillovers in Naira exchange rates: The role of electioneering& global financial crisis
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (5)
    See also Journal Article in Borsa Istanbul Review (2018)
64. Testing for time-varying stochastic volatility in Bitcoin returns
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
65. US shale oil and the behaviour of commodity prices
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
66. United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (2)
    See also Journal Article in Finance Research Letters (2019)
67. You are what you eat: The role of oil price in Nigeria inflation forecast
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (3)

2017

68. A Capital Flight-Growth Nexus in Sub-Saharan Africa: The Role of Macroeconomic Uncertainty
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
69. A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (4)
70. A new look at the stock price-exchange rate nexus
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
71. A sectoral analysis of asymmetric nexus between oil and stock
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
72. Are daily agricultural grains prices stationary? New evidence from GARCH-based unit root tests
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
73. 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 (2)
    See also Journal Article in Energy (2019)
74. Forecasting the return volatility of European equity markets under different market conditions:A GARCH-MIDAS approach
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
75. Forecasting the return volatility of energy prices: A GARCH MIDAS approach
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
    See also Chapter (2020)
76. 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)
77. Modeling the spillovers between stock market and money market in Nigeria
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
78. Modelling Return and Volatility Spillovers in Global Foreign Exchange Markets
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (5)
79. Modelling oil price-inflation nexus: The role of asymmetries and structural breaks
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (27)
80. Modelling stock price-exchange rate nexus in OECD countries - A new perspective
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (1)
    See also Journal Article in Economic Modelling (2018)
81. Predicting US CPI-Inflation in the presence of asymmetries, persistence, endogeneity, and conditional heteroscedasticity
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (2)
    See also Journal Article in Economic Modelling (2018)
82. Predicting US Inflation: Evidence from a New Approach
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (3)
    See also Journal Article in Economic Modelling (2018)
83. Revisiting the forecasting accuracy of Phillips curve: the role of oil price
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (4)
    See also Journal Article in Energy Economics (2018)
84. Statistical Modelling of Second Round Qualification at FIFA World Cup Tournaments
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan
85. The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (3)
86. US stocks in the presence of oil price risk: Large cap vs. Small cap
    Working Papers, Centre for Econometric and Allied Research, University of Ibadan View citations (3)
    See also Journal Article in Economics and Business Letters (2017)

Journal Articles

2023

1. A test for the contributions of urban and rural inflation to inflation persistence in Nigeria
   Macroeconomics and Finance in Emerging Market Economies, 2023, 16, (2), 222-246
2. COVID-19 pandemic and financial innovations
   Quality & Quantity: International Journal of Methodology, 2023, 57, (4), 3885-3904
3. Climate Policy Uncertainty and Crude Oil Market Volatility
   Energy RESEARCH LETTERS, 2023, 4, (1), 1-5
4. Climate Risk Measures - A Review
   Asian Economics Letters, 2023, 4, (1), 1-4
5. Climate risk and gold
   Resources Policy, 2023, 82, (C)
6. 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 (1)
   See also Working Paper (2021)
7. Disentangled oil shocks and stock market volatility in Nigeria and South Africa: A GARCH-MIDAS approach
   Economic Analysis and Policy, 2023, 78, (C), 707-717
8. Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic
   The Quarterly Review of Economics and Finance, 2023, 88, (C), 295-302
   See also Working Paper (2021)
9. Geopolitical risk and global financial cycle: Some forecasting experiments
   Journal of Forecasting, 2023, 42, (1), 3-16
10. Gold and tail risks
    Resources Policy, 2023, 80, (C)
11. Hedging against risks associated with travel and tourism stocks during COVID‐19 pandemic: The role of gold
    International Journal of Finance & Economics, 2023, 28, (2), 1872-1882
12. Oil price and the Bitcoin market
    Resources Policy, 2023, 82, (C) View citations (1)
13. Oil tail risks and the realized variance of consumer prices in advanced economies
    Resources Policy, 2023, 83, (C)
14. Predictability of economic slowdowns in advanced countries over eight centuries: The role of climate risks
    Finance Research Letters, 2023, 54, (C) View citations (2)
    See also Working Paper (2022)
15. Stock returns and interest rate differential in high and low interest rate environments
    International Journal of Finance & Economics, 2023, 28, (2), 1713-1728
16. 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
    See also Working Paper (2021)
17. Technology Shocks and the Efficiency of Equity Markets in the Developed and Emerging Economies: A Global VAR Approach
    JRFM, 2023, 16, (3), 1-17
18. 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
    See also Working Paper (2022)
19. 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 (1)
    See also Working Paper (2021)
20. The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
    Financial Innovation, 2023, 9, (1), 1-22
21. Transition risk, physical risk, and the realized volatility of oil and natural gas prices
    Resources Policy, 2023, 81, (C) View citations (1)
22. Youth unemployment in Nigeria: nature, causes and solutions
    Quality & Quantity: International Journal of Methodology, 2023, 57, (2), 1125-1157

2022

23. 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 (2020)
24. 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 (2)
25. A firm level analysis of asymmetric response of U.S. stock returns to exchange rate movements
    International Journal of Finance & Economics, 2022, 27, (1), 1220-1239 View citations (1)
26. 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 (2)
    See also Working Paper (2019)
27. Assessing the hedging potential of gold and other precious metals against uncertainty due to epidemics and pandemics
    Quality & Quantity: International Journal of Methodology, 2022, 56, (4), 2199-2214 View citations (1)
28. 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 (4)
29. Economic Growth, Exchange Rate and Remittance Nexus: Evidence from Africa
    JRFM, 2022, 15, (6), 1-13 View citations (2)
30. Exchange rate predictability with nine alternative models for BRICS countries
    Journal of Macroeconomics, 2022, 71, (C)
    See also Working Paper (2021)
31. Financial turbulence, systemic risk and the predictability of stock market volatility
    Global Finance Journal, 2022, 52, (C) View citations (4)
    See also Working Paper (2021)
32. Forecasting oil prices over 150 years: The role of tail risks
    Resources Policy, 2022, 75, (C) View citations (6)
    See also Working Paper (2021)
33. 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 (5)
    See also Working Paper (2021)
34. 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 (1)
    See also Working Paper (2021)
35. 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 (1)
36. Geopolitical risks and historical exchange rate volatility of the BRICS
    International Review of Economics & Finance, 2022, 77, (C), 179-190 View citations (10)
    See also Working Paper (2020)
37. 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 (2021)
38. Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model
    Energy Economics, 2022, 108, (C) View citations (9)
    See also Working Paper (2021)
39. Historical geopolitical risk and the behaviour of stock returns in advanced economies
    The European Journal of Finance, 2022, 28, (9), 889-906 View citations (6)
40. Islamic Stock indices and COVID-19 pandemic
    International Review of Economics & Finance, 2022, 80, (C), 282-293 View citations (4)
41. 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 (2020)
42. 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 (5)
43. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning
    Finance Research Letters, 2022, 45, (C)
    See also Working Paper (2021)
44. Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
    JRFM, 2022, 15, (8), 1-26 View citations (3)
45. Oil price uncertainty and real exchange rate in a global VAR framework: a note
    Journal of Economics and Finance, 2022, 46, (4), 704-712
46. Oil tail risk and the tail risk of the US Dollar exchange rates
    Energy Economics, 2022, 109, (C) View citations (4)
47. 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 (3)
    See also Working Paper (2021)
48. Oil-growth nexus in Nigeria: An ADL-MIDAS approach
    Resources Policy, 2022, 77, (C)
49. 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 (3)
    See also Working Paper (2020)
50. Out-of- Sample Stock Return Predictability of Alternative COVID-19 Indices
    Emerging Markets Finance and Trade, 2022, 58, (13), 3739-3750
51. 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
    See also Working Paper (2021)
52. 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)
53. Testing for unemployment persistence in Nigeria
    Economic Change and Restructuring, 2022, 55, (4), 2605-2630
54. 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 (3)
    See also Working Paper (2021)
55. The U.S. Nonfarm Payroll and the out-of-sample predictability of output growth for over six decades
    Quality & Quantity: International Journal of Methodology, 2022, 56, (6), 4663-4673
56. The behaviour of U.S. stocks to financial and health risks
    International Journal of Finance & Economics, 2022, 27, (4), 4607-4618
57. The financial US uncertainty spillover multiplier: Evidence from a GVAR model
    International Finance, 2022, 25, (3), 313-340
    See also Working Paper (2021)
58. The return volatility of cryptocurrencies during the COVID-19 pandemic: Assessing the news effect
    Global Finance Journal, 2022, 54, (C) View citations (2)
59. US Stock return predictability with high dimensional models
    Finance Research Letters, 2022, 45, (C) View citations (2)
60. Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis
    Journal of Forecasting, 2022, 41, (7), 1525-1556 View citations (1)
    See also Working Paper (2021)
61. Uncertainty due to pandemics and epidemics and the behavior of Travel & Leisure stocks in the UK, the USA and Europe
    Journal of Risk Finance, 2022, 23, (5), 619-638

2021

62. A Comparative Assessment of the Global Effects of US Monetary and Fiscal Policy Uncertainty Shocks
    Advances in Decision Sciences, 2021, 25, (4), 89-114 View citations (1)
63. A New Index for Measuring Uncertainty Due to the COVID-19 Pandemic
    Sustainability, 2021, 13, (6), 1-18 View citations (7)
64. Analysis of asymmetric response of exchange rate to interest rate differentials: The case of African Big 4
    The North American Journal of Economics and Finance, 2021, 55, (C) View citations (1)
65. Assessing the safe haven property of the gold market during COVID-19 pandemic
    International Review of Financial Analysis, 2021, 74, (C) View citations (34)
    See also Working Paper (2021)
66. Asymmetric and Time-Varying Behavior of Exchange Rate and Interest Rate Differential in Emerging Markets
    Emerging Markets Finance and Trade, 2021, 57, (14), 3944-3959
67. COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations
    Financial Innovation, 2021, 7, (1), 1-19 View citations (8)
68. Do Epidemics and Pandemics Have Predictive Content for Exchange Rate Movements? Evidence for Asian Economies
    Asian Economics Letters, 2021, 2, (3), 1-6 View citations (3)
69. 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 (2020)
70. Firm-specific news and the predictability of Consumer stocks in Vietnam
    Finance Research Letters, 2021, 41, (C)
71. Geopolitical Risk and the Return Volatility of Islamic Stocks in Indonesia and Malaysia - A GARCH-MIDAS Approach
    Asian Economics Letters, 2021, 2, (3), 1-5 View citations (4)
72. 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 (14)
    See also Working Paper (2021)
73. Gold and US sectoral stocks during COVID-19 pandemic
    Research in International Business and Finance, 2021, 57, (C) View citations (16)
74. Hedging oil price risk with gold during COVID-19 pandemic
    Resources Policy, 2021, 70, (C) View citations (49)
75. 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 (2019)
76. Improving forecasting accuracy of the Phillips curve in OECD countries: The role of commodity prices
    International Journal of Finance & Economics, 2021, 26, (2), 2946-2975 View citations (5)
77. Oil Price and Exchange Rate Behaviour of the BRICS
    Emerging Markets Finance and Trade, 2021, 57, (7), 2042-2051 View citations (10)
78. Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach
    Global Finance Journal, 2021, 48, (C) View citations (31)
    See also Working Paper (2019)
79. Pandemics and the Asia-Pacific Islamic Stocks
    Asian Economics Letters, 2021, 1, (1), 1-5 View citations (6)
80. Point and density forecasting of macroeconomic and financial uncertainties of the USA
    Journal of Forecasting, 2021, 40, (4), 700-707
81. Special Issue on Forecasting Asian Markets
    Asian Economics Letters, 2021, 2, (3), 1-2
82. Stock markets and exchange rate behavior of the BRICS
    Journal of Forecasting, 2021, 40, (8), 1581-1595 View citations (4)
    See also Working Paper (2020)
83. Stock‐induced Google trends and the predictability of sectoral stock returns
    Journal of Forecasting, 2021, 40, (2), 327-345 View citations (6)
84. THE EFFECTS OF U.S. MONETARY POLICY UNCERTAINTY SHOCK ON INTERNATIONAL EQUITY MARKETS
    Annals of Financial Economics (AFE), 2021, 16, (04), 1-14
85. The behavior of exchange rate and stock returns in high and low interest rate environments
    International Review of Economics & Finance, 2021, 74, (C), 138-149 View citations (2)
86. Uncertainty Due to Infectious Diseases and Energy Market Volatility
    Energy RESEARCH LETTERS, 2021, 1, (1), 1-4 View citations (5)
87. Volatility spillovers and hedging effectiveness between health and tourism stocks: Empirical evidence from the US
    International Review of Economics & Finance, 2021, 74, (C), 150-159 View citations (6)

2020

88. A fractional cointegration VAR analysis of Islamic stocks: A global perspective
    The North American Journal of Economics and Finance, 2020, 51, (C) View citations (4)
89. A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques
    Economic Modelling, 2020, 87, (C), 225-237 View citations (8)
90. Analysis of the asymmetric response of exchange rate to interest rate differentials: Evidence from the MINT countries
    Economics Bulletin, 2020, 40, (2), 938-943 View citations (2)
91. Constructing a Global Fear Index for the COVID-19 Pandemic
    Emerging Markets Finance and Trade, 2020, 56, (10), 2310-2331 View citations (38)
92. Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks
    Resources Policy, 2020, 66, (C) View citations (34)
93. Google trends and the predictability of precious metals
    Resources Policy, 2020, 65, (C) View citations (20)
94. Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators
    Journal of Quantitative Economics, 2020, 18, (1), 191-229 View citations (7)
95. Modeling Exchange rate -interest rate differential nexus in BRICS: The role asymmetry and structural breaks
    Economics and Business Letters, 2020, 9, (2), 73-83 View citations (1)
96. Mortgage asymmetric pricing, cash rate and international funding cost: Australian evidence
    International Review of Economics & Finance, 2020, 65, (C), 46-68
97. New evidence for the inflation hedging potential of US stock returns
    Finance Research Letters, 2020, 37, (C) View citations (2)
98. Predicting stock returns in the presence of COVID-19 pandemic: The role of health news
    International Review of Financial Analysis, 2020, 71, (C) View citations (94)
99. REVISED SMALL MACRO-ECONOMETRIC MODEL OF THE NIGERIAN ECONOMY
    Applied Econometrics and International Development, 2020, 20, (1), 97-116
100. Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results
     International Review of Economics & Finance, 2020, 69, (C), 280-294 View citations (85)
101. The COVID-19 global fear index and the predictability of commodity price returns
     Journal of Behavioral and Experimental Finance, 2020, 27, (C) View citations (69)
102. The heterogeneous behaviour of the inflation hedging property of cocoa
     The North American Journal of Economics and Finance, 2020, 51, (C) View citations (8)
103. The inflation hedging properties of gold, stocks and real estate: A comparative analysis
     Resources Policy, 2020, 66, (C) View citations (16)
104. 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 (20)
     See also Working Paper (2020)
105. The transmission of monetary policy in emerging economies during tranquil and turbulent periods
     Finance Research Letters, 2020, 35, (C) View citations (1)

2019

106. A sectoral analysis of asymmetric nexus between oil price and stock returns
     International Review of Economics & Finance, 2019, 61, (C), 241-259 View citations (40)
107. Another look at the energy-growth nexus: New insights from MIDAS regressions
     Energy, 2019, 174, (C), 69-84 View citations (22)
     See also Working Paper (2017)
108. Assessing the inflation hedging of gold and palladium in OECD countries
     Resources Policy, 2019, 62, (C), 357-377 View citations (34)
109. Assessing the inflation hedging potential of coal and iron ore in Australia
     Resources Policy, 2019, 63, (C), - View citations (15)
110. Can agricultural commodity prices predict Nigeria's inflation?
     Journal of Commodity Markets, 2019, 16, (C) View citations (16)
111. Can urban coffee consumption help predict US inflation?
     Journal of Forecasting, 2019, 38, (7), 649-668 View citations (5)
112. Dynamic spillovers between stock and money markets in Nigeria: A VARMA-GARCH approach
     Review of Economic Analysis, 2019, 11, (2), 255-283
113. Examining Rational Bubbles in Oil Prices: Evidence From Frequency Domain Estimates
     International Journal of Energy Economics and Policy, 2019, 9, (2), 166-173 View citations (4)
114. Improving the predictability of stock returns with Bitcoin prices
     The North American Journal of Economics and Finance, 2019, 48, (C), 857-867 View citations (25)
115. Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables
     Economic Modelling, 2019, 76, (C), 153-171 View citations (42)
116. Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries
     Resources Policy, 2019, 62, (C), 33-56 View citations (30)
117. Stock returns-inflation nexus in Africa during tranquil and crisis periods: New evidence
     Review of Development Finance Journal, 2019, 9, (1), 22-31 View citations (1)
118. Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach
     Resources Policy, 2019, 64, (C) View citations (16)
119. United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD
     Finance Research Letters, 2019, 28, (C), 343-347 View citations (2)
     See also Working Paper (2018)

2018

120. A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus
     Global Finance Journal, 2018, 37, (C), 199-218 View citations (15)
121. Modelling stock price–exchange rate nexus in OECD countries: A new perspective
     Economic Modelling, 2018, 74, (C), 105-123 View citations (15)
     See also Working Paper (2017)
122. Predicting US inflation: Evidence from a new approach
     Economic Modelling, 2018, 71, (C), 134-158 View citations (37)
     See also Working Paper (2017)
     Working Paper (2017)
123. Revisiting the forecasting accuracy of Phillips curve: The role of oil price
     Energy Economics, 2018, 70, (C), 334-356 View citations (31)
     See also Working Paper (2017)
124. Testing for spillovers in naira exchange rates: The role of electioneering & global financial crisis
     Borsa Istanbul Review, 2018, 18, (4), 341-348 View citations (5)
     See also Working Paper (2018)
125. The U.S. Shale Oil Revolution and the Behavior of Commodity Prices
     Econometric Research in Finance, 2018, 3, (1), 27-53 View citations (4)

2017

126. Modelling oil price-inflation nexus: The role of asymmetries
     Energy, 2017, 125, (C), 97-106 View citations (83)
127. Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach
     Economic Modelling, 2017, 66, (C), 258-271 View citations (131)
128. Testing for asymmetries in the predictive model for oil price-inflation nexus
     Economics Bulletin, 2017, 37, (3), 1797-1804 View citations (5)
129. US stocks in the presence of oil price risk: Large cap vs. Small cap
     Economics and Business Letters, 2017, 6, (4), 116-124 View citations (3)
     See also Working Paper (2017)

2016

130. Further application of Narayan and Liu (2015) unit root model for trending time series
     Economic Modelling, 2016, 55, (C), 305-314 View citations (27)
131. MODELLING ROAD TRAFFIC CRASHES USING SPATIAL AUTOREGRESSIVE MODEL WITH ADDITIONAL ENDOGENOUS VARIABLE
     Statistics in Transition New Series, 2016, 17, (4), 659-670 View citations (1)
     Also in Statistics in Transition New Series, 2016, 17, (4), 659-670 (2016)
132. Modeling energy demand: Some emerging issues
     Renewable and Sustainable Energy Reviews, 2016, 54, (C), 1470-1480 View citations (18)
133. Modelling Oil Price Volatility with the Beta-Skew-t-EGARCH Framework
     Economics Bulletin, 2016, 36, (3), 1315-1324 View citations (6)
134. Testing for martingale difference hypothesis with structural breaks: Evidence from AsiaePacific foreign exchange markets
     Borsa Istanbul Review, 2016, 16, (4), 210-218 View citations (2)
135. Testing the Martingale Difference Hypothesis (MDH) with Structural Breaks: Evidence from Foreign Exchanges of Nigeria and South Africa
     Journal of African Business, 2016, 17, (3), 342-359 View citations (3)
136. Unit root modeling for trending stock market series
     Borsa Istanbul Review, 2016, 16, (2), 82-91 View citations (27)

2015

137. FOREIGN CAPITAL FLOWS, FINANCIAL DEVELOPMENT AND GROWTH IN SUB-SAHARAN AFRICA
     Journal of Economic Development, 2015, 40, (3), 85-103 View citations (9)
138. Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach
     Energy Economics, 2015, 50, (C), 1-12 View citations (91)
139. Modelling spillovers between stock market and FX market: evidence for Nigeria
     Journal of African Business, 2015, 16, (1-2), 84-108 View citations (20)

2014

140. A small macroeconometric model of the Nigerian economy
     Economic Modelling, 2014, 39, (C), 305-313 View citations (4)
141. Modelling oil price volatility before, during and after the global financial crisis
     OPEC Energy Review, 2014, 38, (4), 469-495 View citations (1)
142. Testing for heteroskedasticity and spatial correlation in a two way random effects model
     Computational Statistics & Data Analysis, 2014, 70, (C), 153-171

2013

143. Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate
     Energy Economics, 2013, 39, (C), 169-176 View citations (76)
144. Modelling oil price volatility with structural breaks
     Energy Policy, 2013, 52, (C), 554-562 View citations (110)
145. Modelling the Demand for Money in Sub-Saharan Africa (SSA)
     Economics Bulletin, 2013, 33, (1), 635-647 View citations (7)

2012

146. Comparative Performance of Volatility Models for Oil Price
     International Journal of Energy Economics and Policy, 2012, 2, (3), 167-183 View citations (9)
147. Is uemoa trade creating? an empirical investigation
     Economics Bulletin, 2012, 32, (2), A21
148. Trade creation and trade diversion in West African Monetary Zone (WAMZ)
     Economics Bulletin, 2012, 32, (4), 3071-3081 View citations (2)

2010

149. Aid-Macroeconomic Policy Environment and Growth:Evidence From Sub-Saharan Africa
     Pakistan Journal of Applied Economics, 2010, 20, 1-12 View citations (10)

Chapters

2020

1. Forecasting the Return Volatility of Energy Prices: A GARCH-MIDAS Approach
   Chapter 3 in HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, 2020, pp 47-71
   See also Working Paper (2017)

2014

2. Determinants of a Successful Regional Trade Agreement in West Africa
   Springer View citations (1)