Access Statistics for Riza Demirer

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility 0 0 0 16 0 0 0 55
A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment 0 0 0 17 0 0 1 54
A Note on the Technology Herd: Evidence from Large Institutional Investors 0 0 0 6 0 0 1 60
Bitcoin Mining Activity and Volatility Dynamics in the Power Market 0 0 0 0 1 1 6 34
COVID-19 Pandemic and Investor Herding in International Stock Markets 0 0 0 64 1 1 4 232
Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks 0 0 0 10 0 2 14 58
Commodity Financialization and Herd Behavior in Commodity Futures Markets 0 0 0 14 1 1 4 50
Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach 0 0 0 0 0 1 1 122
Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PIIGS: Evidence from a Nonparametric Causality-in-Quantiles Approach 0 0 0 46 0 0 3 144
Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows 0 0 0 4 0 0 4 83
Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach 0 0 0 20 0 0 3 78
Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets 0 0 0 56 0 0 2 107
Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets? 0 1 3 9 0 1 6 40
Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations 0 0 0 15 0 0 4 92
Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities 0 0 0 9 0 0 5 161
Does speculation in the oil market drive investor herding in net exporting nations? 0 0 0 35 0 0 4 154
Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market 0 0 0 0 0 0 4 136
Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data 0 0 0 11 0 1 3 35
Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty 0 0 0 91 0 0 9 256
Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests 0 0 0 30 0 0 0 81
Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility 0 0 0 23 0 0 7 85
Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models 0 0 0 33 1 1 13 83
Firm-Level Political Risk and Asymmetric Volatility 0 0 0 10 0 2 5 54
Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic 0 0 0 17 0 0 2 38
Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies 0 0 0 14 0 0 2 6
Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks 0 0 0 23 0 2 13 66
Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value? 0 0 1 32 0 3 7 39
Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality? 0 0 0 26 0 0 1 59
Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note 0 0 0 9 1 1 5 88
Geopolitical Risks and Stock Market Dynamics of the BRICS 0 0 0 31 1 2 8 239
Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility 0 0 0 15 0 1 8 105
Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model 0 0 0 18 1 2 8 103
Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach 0 0 0 27 0 0 0 75
Gold and the Global Financial Cycle 0 0 0 0 0 1 22 124
Gold, Platinum and the Predictability of Bond Risk Premia 0 0 0 36 0 0 2 76
Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets 0 0 26 26 1 6 30 30
Interest Rate Uncertainty and the Predictability of Bank Revenues 0 0 0 7 0 0 0 28
Interest Rate Uncertainty and the Predictability of Bank Revenues 0 0 1 11 0 0 1 26
Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data 0 0 0 12 0 0 2 92
Investor Sentiment and Crash Risk in Safe Havens 0 0 0 21 0 0 2 128
Monetary Policy and Speculative Spillovers in Financial Markets 0 0 0 15 0 1 2 53
Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries 0 0 0 2 0 0 1 25
Oil Returns and Volatility: The Role of Mergers and Acquisitions 0 0 0 4 0 0 2 93
Oil Speculation and Herding Behavior in Emerging Stock Markets 0 0 0 58 0 0 2 113
Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data 0 0 0 23 0 0 6 62
On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators 0 0 0 40 1 2 8 303
On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal 0 0 0 6 1 2 7 20
Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality 0 0 0 25 0 2 7 43
Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty 0 0 0 0 0 0 3 57
Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data 0 0 0 9 1 1 4 59
Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets 0 0 1 44 0 0 6 157
Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests 0 0 0 26 0 0 4 84
Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk 0 0 0 38 3 3 17 291
Sentiment and Financial Market Connectedness: The Role of Investor Happiness 0 0 0 24 0 2 18 145
Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach 0 0 53 53 0 0 47 47
The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis 0 0 0 73 0 1 2 148
The Effect of Gold Market Speculation on REIT Returns in South Africa: A Behavioral Perspective 0 0 0 5 0 0 4 143
The Effect of Investor Sentiment on Gold Market Dynamics 0 0 0 31 0 0 8 187
The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model 0 0 0 10 0 0 7 37
The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model 0 0 0 18 1 1 3 62
The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles 0 0 0 20 0 0 1 75
The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests 0 0 0 17 8 9 10 70
The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note 0 0 0 0 1 3 8 44
The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests 0 0 0 0 0 2 7 53
The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach 0 0 0 8 0 0 3 60
The U.S. Term Structure and Return Volatility in Global REIT Markets 0 0 0 0 0 2 3 23
The U.S. term structure and stock market volatility: Evidence from emerging stock markets 0 0 1 20 0 1 4 33
Time-Varying Rare Disaster Risks, Oil Returns and Volatility 0 0 0 33 0 0 3 99
Time-Varying Risk Aversion and Realized Gold Volatility 0 0 0 27 0 0 1 79
Time-Varying Risk Aversion and the Predictability of Bond Premia 0 0 0 28 0 4 7 61
Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram 0 0 0 11 0 0 0 31
Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data 0 0 0 15 1 1 4 54
Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data 0 0 0 27 0 0 0 108
Total Working Papers 0 1 86 1,554 25 66 425 6,495


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT 0 1 1 1 0 2 4 7
A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models 0 0 1 1 0 1 5 6
A note on oil price shocks and the forecastability of gold realized volatility 0 0 0 0 0 0 1 6
A note on the technology herd: evidence from large institutional investors 0 0 0 1 0 0 2 12
An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey 1 2 3 27 2 5 8 98
Anti-herding by hedge funds and its implications for expected returns 0 0 2 2 0 1 8 8
Bitcoin mining activity and volatility dynamics in the power market 0 0 2 7 0 0 2 15
COVID-19 Pandemic and Investor Herding in International Stock Markets 0 0 2 6 1 2 10 31
Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets 0 0 0 10 0 0 3 79
Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks 1 1 2 2 1 1 8 12
Climate uncertainty and information transmissions across the conventional and ESG assets 0 0 3 3 1 2 11 11
Commodity-currencies or currency-commodities: Evidence from causality tests 0 0 1 8 0 0 1 51
Comparisons of short and long hedge performance: the case of Taiwan 0 0 0 52 0 0 0 140
Correlation and return dispersion dynamics in Chinese markets 0 0 0 51 0 0 0 124
Country Risk Ratings and Stock Market Returns in Brazil, Russia, India, and China (BRICS) Countries: A Nonlinear Dynamic Approach 0 0 0 19 0 1 1 93
Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach 0 0 1 4 0 0 4 19
Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies 0 0 1 1 0 0 3 3
Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows 1 1 5 24 3 3 16 86
Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach 0 0 0 5 0 1 3 43
Do ADR investors herd?: Evidence from advanced and emerging markets 0 1 1 18 0 1 4 119
Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations 0 0 0 17 0 0 4 84
Do emerging stock markets offer an illiquidity premium for local or global investors? 0 0 0 2 0 0 5 9
Do firm characteristics matter in explaining the herding effect on returns? 0 0 0 2 0 1 3 9
Do industries predict stock market volatility? Evidence from machine learning models 1 1 1 1 2 2 2 2
Do investors herd in emerging stock markets?: Evidence from the Taiwanese market 2 3 9 108 4 8 24 373
Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities 0 0 1 2 0 0 4 25
Does herding behavior exist in Chinese stock markets? 1 3 12 283 4 9 49 817
Does speculation in the oil market drive investor herding in emerging stock markets? 0 0 0 21 2 4 13 125
Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies 0 0 1 25 0 0 5 115
Does the stock market drive herd behavior in commodity futures markets? 1 2 3 30 1 2 3 128
Downside risk for short and long hedgers 0 0 0 47 0 0 0 158
Economic Policy Uncertainty and Herding Behavior Evidence from the South African Housing Market 0 0 3 35 1 2 16 174
Economic policy uncertainty and fund flow performance sensitivity: Evidence from New Zealand 0 0 1 1 0 0 3 3
Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data 0 0 1 4 1 1 7 21
Economic policy uncertainty and institutional investment returns: The case of New Zealand 0 0 0 1 1 1 2 8
Effect of Global Shocks and Volatility on Herd Behavior in an Emerging Market: Evidence from Borsa Istanbul 0 0 2 6 0 0 5 35
Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests 0 0 0 5 0 0 0 41
Financial market connectedness: The role of investors’ happiness 0 0 3 10 1 3 9 36
Financial turbulence, systemic risk and the predictability of stock market volatility 0 1 1 4 0 1 11 26
Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic 0 0 0 0 0 0 2 2
Firm-level political risk and asymmetric volatility 0 0 0 8 0 1 5 48
Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversification 0 0 0 78 0 0 0 338
Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold 0 0 0 1 0 1 4 16
Flight to quality and the predictability of reversals: The role of market states and global factors 0 0 0 1 0 0 0 26
Forecasting oil and gold volatilities with sentiment indicators under structural breaks 1 1 2 5 1 2 6 27
Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality? 0 0 0 0 0 0 0 0
Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note 0 0 1 11 1 2 9 41
Geopolitical risks and stock market dynamics of the BRICS 1 4 14 96 1 8 46 389
Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model 0 1 3 7 0 1 6 21
Global risk aversion and emerging market return comovements 0 0 1 18 0 0 8 136
Global risk exposures and industry diversification with Shariah-compliant equity sectors 0 0 0 14 0 0 1 72
Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach 0 0 0 3 0 0 2 41
Gold, platinum and the predictability of bond risk premia 0 0 2 3 0 1 3 18
Green investments: A luxury good or a financial necessity? 0 1 5 21 4 7 29 82
Hedging climate risks with green assets 2 5 11 27 2 7 26 58
Herding and flash events: Evidence from the 2010 Flash Crash 0 0 1 8 0 1 3 34
Industry Herding and the Profitability of Momentum Strategies During Market Crises 0 0 2 4 0 0 2 12
Industry herding and momentum strategies 1 2 2 50 1 3 6 176
Infectious Diseases, Market Uncertainty and Oil Market Volatility 2 2 3 9 2 2 4 36
Interest rate uncertainty and the predictability of bank revenues 0 0 1 3 1 1 3 6
Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data 0 1 6 6 0 3 15 16
Investor Sentiment and Crash Risk in Safe Havens 0 0 0 5 0 0 1 41
Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC) equity markets 0 0 0 7 0 1 2 49
Investor herds and regime-switching: Evidence from Gulf Arab stock markets 1 2 5 77 3 5 17 265
Monetary policy and speculative spillovers in financial markets 0 0 1 8 0 1 4 35
Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model 0 0 12 13 0 0 18 27
Oil and risk premia in equity markets 0 0 0 2 2 2 2 16
Oil and stock market momentum 0 0 0 10 2 2 6 98
Oil beta uncertainty and global stock returns 0 0 0 1 2 2 2 5
Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries 0 0 2 12 0 0 6 88
Oil price shocks and cost of capital: Does market liquidity play a role? 0 1 1 1 1 2 5 12
Oil price shocks, global financial markets and their connectedness 0 1 3 24 3 10 20 104
Oil price uncertainty, global industry returns and active investment strategies 0 0 0 2 0 0 2 24
Oil returns and volatility: The role of mergers and acquisitions 0 0 2 11 0 0 5 73
Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high‐frequency data† 1 1 1 1 1 3 4 5
Oil speculation and herding behavior in emerging stock markets 0 0 5 15 1 4 15 90
On the hedging benefits of REITs: The role of risk aversion and market states 0 0 0 2 0 0 4 12
On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators 2 2 4 13 2 2 10 76
On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal 1 1 1 1 1 2 3 3
On the short-term predictability of stock returns: A quantile boosting approach 0 0 0 6 0 0 3 54
On the volatility transmission between oil and stock markets: a comparison of emerging importers and exporters 0 0 0 28 0 1 4 128
Policy uncertainty and stock market volatility revisited: The predictive role of signal quality 0 3 7 7 0 9 19 19
Predicting firm-level volatility in the United States: the role of monetary policy uncertainty 0 0 1 3 0 0 2 21
Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data 0 0 0 2 0 0 1 38
Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets 0 0 0 7 0 1 7 50
Regional and global spillovers and diversification opportunities in the GCC equity sectors 0 0 0 14 0 0 2 80
Risk Appetite and Jumps in Realized Correlation 0 0 0 0 0 0 0 2
Risk and return in the Chinese stock market: Does equity return dispersion proxy risk? 0 0 0 16 0 0 1 89
Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests 0 0 2 4 0 1 4 7
Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk 1 4 5 24 4 9 23 148
Sequential valuation networks for asymmetric decision problems 0 0 0 6 0 0 0 58
The Effect of Global Shocks and Volatility on Herd Behavior in Borsa Istanbul 0 0 0 28 0 0 14 167
The U.S. term structure and return volatility in emerging stock markets 0 0 1 2 0 0 1 13
The US Term Structure and Return Volatility in Global REIT Markets 0 0 0 17 0 0 5 65
The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective 0 1 5 145 3 5 22 488
The conditional relation between dispersion and return 0 0 0 0 0 0 0 2
The conditional relation between dispersion and return 0 0 0 15 0 0 1 80
The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging 0 0 4 23 1 4 16 83
The effect of ethanol listing on corn prices: Evidence from spot and futures markets 0 0 0 10 0 0 2 74
The effect of global and regional stock market shocks on safe haven assets 0 0 0 6 0 0 4 21
The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis 1 1 3 12 2 3 9 62
The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective 0 0 0 4 0 2 6 52
The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach 0 1 2 39 1 5 15 137
The financial US uncertainty spillover multiplier: Evidence from a GVAR model 0 0 2 3 0 1 5 8
The impact of US policy uncertainty on the monetary effectiveness in the Euro area 0 0 3 37 0 1 20 171
The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles 0 0 1 8 0 1 4 22
The predictive power of oil price shocks on realized volatility of oil: A note 0 1 2 9 0 1 7 28
Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram 0 0 0 8 0 0 0 38
Time-varying rare disaster risks, oil returns and volatility 0 0 0 13 1 1 7 83
Time-varying risk aversion and currency excess returns 0 0 0 4 1 1 3 15
Time-varying risk aversion and realized gold volatility 0 0 1 7 0 1 6 42
Time-varying risk aversion and the predictability of bond premia 0 0 0 3 0 0 1 16
U.S. monetary policy and the predictability of global economic synchronization patterns 0 0 0 3 0 1 3 10
Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data 0 1 5 13 0 2 9 49
Value-at-risk and the cross section of emerging market hedge fund returns 0 0 0 0 0 0 2 4
Volatility forecasting with bivariate multifractal models 0 0 0 10 0 0 1 28
What drives green betas? Climate uncertainty or speculation 0 0 0 0 0 0 0 0
What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors 0 2 7 33 0 4 16 135
Total Journal Articles 22 55 205 1,993 69 184 810 8,357
4 registered items for which data could not be found


Statistics updated 2024-04-03