Access Statistics for Mark Wohar

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data 0 0 0 41 0 0 1 33
Are BRICS Exchange Rates Chaotic? 0 0 0 39 0 0 4 138
Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis 0 0 0 0 0 1 3 35
Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data 0 0 0 69 1 3 11 150
Are Tax Effects Important in the Long-Run Fisher Relation?: Evidence from the Municipal Bond Market 0 0 0 234 1 1 3 1,478
Are U.S. industries resilient in dealing with trade uncertainty ? The case of U.S.-China trade war 0 0 4 42 0 0 8 69
Bitcoin: competitor or complement to gold? 0 0 3 50 0 0 7 85
Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation 0 0 0 95 3 3 12 292
Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach 0 0 0 14 1 1 5 105
Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014 0 0 2 53 0 0 4 127
Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty 0 0 0 14 0 0 7 136
Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data 0 0 0 10 1 3 4 90
Convergence in Interest Rates and Inflation Rates Across Countries and Across Time 0 0 0 0 0 1 1 1,189
Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach 0 0 0 20 0 0 1 75
Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets 0 0 0 56 0 1 3 103
Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach 0 0 0 58 1 4 8 107
Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data 0 0 0 57 0 1 3 82
Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis 0 0 0 17 0 1 4 137
Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach 0 0 0 49 0 0 0 91
Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test 0 0 0 57 0 0 5 232
Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model 0 0 0 50 1 2 3 90
Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data 0 0 0 19 0 1 6 75
Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies 0 0 5 17 0 1 16 27
Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market 0 0 0 3 1 2 14 55
Examining real interest parity: which component reverts quickest and in which regime? 0 0 0 70 0 0 0 81
Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks 0 0 0 19 0 1 3 79
Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets 0 0 0 55 2 2 17 195
Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR 0 0 0 60 0 0 6 167
Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data 0 0 0 55 0 0 6 153
Forecasting US GNP Growth: The Role of Uncertainty 0 0 0 53 1 1 7 175
Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data 0 0 0 44 0 0 0 71
Giant Oil Discoveries and Conflicts 0 0 0 22 0 2 13 56
Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model 0 0 4 7 1 2 22 26
Gold, Platinum and the Predictability of Bond Risk Premia 0 0 0 36 0 0 5 73
Growth Volatility and Inequality in the U.S.: A Wavelet Analysis 0 0 0 8 0 0 1 71
Growth Volatility and Inequality in the U.S.: A Wavelet Analysis 0 0 0 42 0 0 5 94
Halloween Effect in Developed Stock Markets: A US Perspective 0 0 0 27 0 0 12 84
High-Frequency Volatility Forecasting of US Housing Markets 0 0 0 30 2 4 10 88
Historical Evolution of Monthly Anomalies in International Stock Markets 0 0 0 26 0 0 3 47
Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises 0 0 0 0 0 0 4 21
How Does the Economic Uncertainty Affect Asset Prices under Normal and Financial Distress Times? 0 9 9 9 0 5 7 7
Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence 0 0 0 9 0 0 3 21
Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach 0 0 0 33 0 1 4 171
International Monetary Policy Spillovers: Evidence from a TVP-VAR 0 0 0 93 0 3 22 222
Is the Housing Market in the United States Really Weakly-Efficient? 0 0 0 13 0 1 7 55
Is there a National Housing Market Bubble Brewing in the United States? 0 0 0 30 5 12 36 144
Is there a National Housing Market Bubble Brewing in the United States? 1 2 16 52 1 2 25 137
Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump 0 0 0 0 0 0 3 23
Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio 0 0 0 0 0 0 4 16
Low frequency movements in stock prices: a state space decomposition 0 0 0 250 0 0 1 1,871
Measuring the response of gold prices to uncertainty: An analysis beyond the mean 0 0 1 7 0 0 5 57
Measuring the response of gold prices to uncertainty: An analysis beyond the mean 0 0 1 7 0 0 2 48
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 0 0 3 395
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 210 0 0 0 590
Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration 0 0 0 22 0 0 2 53
Multi-Horizon Financial and Housing Wealth Effects across the U.S. States 0 0 0 11 0 0 6 34
News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets 0 0 0 29 0 2 12 108
Nonlinear dynamics and covered interest rate parity 0 0 0 87 0 0 2 1,019
Oil Price Uncertainty and Movements in the US Government Bond Risk Premia 0 0 0 15 0 1 6 83
Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data 0 0 0 22 2 6 18 157
Oil Shocks and Volatility Jumps 0 0 0 19 0 0 4 94
Periodically Collapsing Bubbles in the South African Stock Market 0 0 0 26 1 1 10 132
Persistence of Economic Uncertainty: A Comprehensive Analysis 0 0 0 18 1 2 6 94
Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings 0 0 0 76 0 2 7 92
Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data 0 0 0 45 0 2 4 55
Price Gap Anomaly in the US Stock Market: The Whole Story 0 0 0 15 0 0 12 87
Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence 0 0 1 201 0 0 4 754
Rise and Fall of Calendar Anomalies over a Century 0 0 0 16 0 5 18 145
Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals 0 0 0 0 0 0 4 20
Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries 0 0 0 9 1 2 9 127
Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter? 0 0 4 59 0 1 27 165
Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks 0 0 0 40 0 0 1 141
The Depreciation of the Pound Post-Brexit: Could it have been Predicted? 0 0 0 87 1 2 4 277
The Dynamics of Inflation: A Study of a Large Number of Countries 0 0 0 20 1 2 13 132
The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach 0 0 0 35 0 0 16 93
The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches 0 0 0 20 0 0 3 119
The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States 0 0 0 6 0 0 4 25
The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence 0 0 1 3 0 1 7 24
The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa 0 0 0 116 2 6 44 350
The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels 0 0 0 38 1 2 4 135
The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model 0 0 0 39 0 0 10 162
The Long and the Short of It: Long Memory Regressors and Predictive Regressions 0 0 0 98 0 1 4 354
The Long-Run Linkage Between Yields on Treasury and Municipal Bonds and the 1986 Tax Act 0 0 0 206 0 0 0 2,017
The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test 0 0 0 23 0 0 2 96
The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests 0 0 0 41 0 0 2 79
The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach 0 0 0 8 0 0 6 51
The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach 0 0 0 13 0 0 0 68
The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data 0 0 0 42 1 1 5 99
The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach 0 0 0 13 0 0 0 42
The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach 0 0 0 8 0 0 3 33
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 0 0 0 38 0 0 2 75
The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility 0 0 0 24 0 0 0 75
The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States 0 0 0 16 0 1 1 61
The Strategic Implications of Setting Border Tax Adjustments 0 0 0 10 0 0 0 49
Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017 0 0 0 52 0 0 7 69
Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress 0 0 0 17 0 2 8 55
Time-Varying Rare Disaster Risks, Oil Returns and Volatility 0 0 0 33 0 0 5 92
Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data 0 0 0 82 1 1 9 147
Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times 0 0 7 30 0 2 26 93
Trends and Cycles in Real Commodity Prices: 1650-2010 0 0 2 138 0 1 11 415
Trends and Persistence in Primary Commodity Prices 0 0 1 240 0 0 2 553
Two Puzzles in the Analysis of Foreign Exchange Market Efficiency 0 0 0 0 0 0 2 592
U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict 0 0 0 35 0 0 3 69
U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict 0 0 0 16 0 0 3 64
U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks 0 0 0 208 0 0 5 1,284
Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis 0 0 3 20 0 3 19 57
Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold 0 0 0 0 0 0 5 55
Volatility Jumps: The Role of Geopolitical Risks 0 0 0 21 0 1 5 95
Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains 0 0 0 53 0 2 12 125
Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note 0 0 0 21 0 0 1 47
Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test 0 0 0 0 0 1 3 63
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats? 0 0 0 1 1 2 10 40
What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data 0 0 0 0 0 1 5 40
Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests 0 1 1 330 0 2 2 1,435
Total Working Papers 1 12 65 5,243 35 120 794 23,405


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A BAYESIAN ANALYSIS OF WEAK IDENTIFICATION IN STOCK PRICE DECOMPOSITIONS 0 0 1 19 0 0 1 48
A Cautionary Note on the Order of Integration of Post‐war Aggregate Wage, Price and Productivity Measures 0 0 2 18 0 0 2 117
A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH 0 0 1 28 0 0 3 68
A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set 0 0 0 0 0 0 0 10
A cointegrated structural VAR model of the Canadian economy 0 0 1 147 0 1 2 355
Abnormal profits and relative strength in mutual fund returns 0 0 0 92 0 0 2 432
Abnormal profits and relative strength in mutual fund returns 0 0 0 0 0 0 1 4
Alternative Modes of Deficit Financing and Endogeneous Monetary and Fiscal Policy in the U.S.A. 1923-1982 0 0 0 67 0 0 1 506
An Unobserved Components Model that Yields Business and Medium-Run Cycles 0 0 2 16 0 1 4 63
An Unobserved Components Model that Yields Business and Medium‐Run Cycles 0 0 0 0 0 0 5 8
An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear 0 0 0 20 0 0 0 79
An empirical investigation of the Taylor curve 0 0 0 66 0 0 4 196
An evaluation of ECB policy in the Euro's big four 0 0 0 10 0 0 2 53
Are BRICS exchange rates chaotic? 0 0 0 3 0 0 3 22
Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis 1 1 5 20 1 1 10 58
Are Tax Effects Important in the Long‐Run Fisher Relationship? Evidence from the Municipal Bond Market 0 0 0 62 1 1 2 192
Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data 2 3 5 14 2 10 18 45
Asymmetric tax multipliers 0 1 7 41 0 1 10 117
BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER 0 0 2 3 1 1 6 9
Bitcoin: competitor or complement to gold? 0 1 11 57 1 6 50 264
Breaks, trends and unit roots in commodity prices: a robust investigation 0 0 0 81 0 1 3 223
CITY SIZE, LABOR PRODUCTIVITY AND WAGES IN KOREA 0 1 1 5 0 1 5 18
Can commodity returns forecast Canadian sector stock returns? 0 0 0 20 0 0 0 66
Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries 0 0 3 6 0 0 4 20
Can the term spread predict output growth and recessions? a survey of the literature 1 3 18 278 11 22 74 879
Capital Inflows and Economic Growth: Does the Role of Institutions Matter? 1 1 3 34 1 3 19 94
Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach 0 0 0 5 1 2 13 61
Causality between trading volume and returns: Evidence from quantile regressions 0 1 11 111 1 4 29 403
Changes in the oil price-inflation pass-through 0 1 5 59 1 5 20 200
Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014 0 0 1 5 0 0 4 24
Cointegration and the term structure: A multicountry comparison 0 0 0 15 0 0 2 94
Cointegration, forecasting and international stock prices 0 0 0 75 0 0 3 196
Commodity volatility breaks 0 2 9 158 1 5 26 377
Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty 0 1 4 23 0 1 18 105
Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data 0 0 2 20 0 1 11 96
Consumption growth, preference for smoothing, changes in expectations and risk premium 0 0 0 7 1 8 17 76
Convergence in Interest Rates and Inflation Rates across Countries and over Time 0 0 0 0 0 0 3 1,429
Corporate Ownership and the Thrift Crisis 0 0 0 6 0 0 1 268
DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS 0 0 3 14 0 0 6 34
Day-of-the-week effect and spread determinants: Some international evidence from equity markets 0 1 5 6 1 4 16 30
Derivative activities and managerial incentives in the banking industry 0 1 1 121 0 1 3 353
Determinants of State Labor Productivity: The Changing Role of Density 0 0 3 47 0 0 7 195
Determinants of state diesel fuel excise tax rates: the political economy of fuel taxation in the United States 0 1 1 47 0 2 2 271
Determining what drives stock returns: Proper inference is crucial: Evidence from the UK 0 0 0 12 0 0 0 51
Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach 0 0 0 4 0 0 5 39
Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test 0 0 0 6 0 0 3 51
Do commodities make effective hedges for equity investors? 0 0 0 18 0 0 3 46
Do house prices hedge inflation in the US? A quantile cointegration approach 1 3 4 18 1 8 22 92
Do increases in petroleum product prices put the incumbent party at risk in US presidential elections? 0 0 0 15 0 0 0 71
Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data 0 0 0 3 0 0 6 20
Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach 0 0 0 4 0 0 3 40
Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test 0 0 11 73 1 4 29 274
Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆ 0 1 3 9 0 1 7 48
Domestic‐Foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models 0 0 0 0 0 0 0 0
Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies 0 0 4 5 1 3 11 31
Evolution of price effects after one-day abnormal returns in the US stock market 0 0 1 1 0 0 2 3
Examining real interest parity: Which component reverts quickest and in which regime? 0 0 0 4 0 0 1 48
Exchange rate pass-through in the Asian countries: does inflation volatility matter? 0 1 2 8 0 1 3 19
Exchange rate returns and volatility: the role of time-varying rare disaster risks 0 0 1 6 0 0 2 25
Expected returns and expected dividend growth: time to rethink an established empirical literature 0 0 0 10 1 1 2 59
Explaining stock price movements: is there a case for fundamentals? 1 2 2 558 1 2 10 1,562
FORECASTING US INFLATION USING DYNAMIC GENERAL-TO-SPECIFIC MODEL SELECTION 0 0 2 3 0 0 4 28
Fed’s unconventional monetary policy and risk spillover in the US financial markets 0 1 5 6 1 3 17 37
Financial stress, economic policy uncertainty, and oil price uncertainty 1 4 11 11 6 14 30 30
Fiscal stance, foreign capital inflows and the behavior of current account in the Asian countries 0 0 1 10 0 0 4 44
Forecasting US GNP growth: The role of uncertainty 0 0 2 4 0 0 6 26
Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR 0 0 3 6 0 0 4 29
Forecasting market returns: bagging or combining? 0 0 0 19 0 0 3 64
Forecasting oil and stock returns with a Qual VAR using over 150years off data 0 1 3 15 3 4 9 81
Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models This is a significantly revised version of our previous paper, 'Forecasting US Business Fixed Investment Spending'. The results reported in this paper were generated using GAUSS 6.0. The GAUSS programs are available at http:||pages.slu.edu|faculty|rapachde|Research.htm 0 0 3 125 0 2 9 580
Fractional frequency flexible Fourier form (FFFFF) for panel cointegration test 0 0 4 6 1 3 13 18
Geopolitical risks and recessions in a panel of advanced economies: evidence from over a century of data 0 0 0 3 0 0 1 23
Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate 0 3 17 29 1 8 35 77
Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model 1 1 1 1 1 2 2 2
Global factors and equity market valuations: Do country characteristics matter? 1 1 3 7 1 1 4 22
Gold, platinum and the predictability of bond risk premia 0 0 1 1 0 1 8 11
Growth volatility and inequality in the U.S.: A wavelet analysis 0 0 2 8 0 0 3 41
Halloween Effect in developed stock markets: A historical perspective 0 0 2 12 0 3 14 48
High-Frequency Volatility Forecasting of US Housing Markets 0 0 4 7 1 1 20 37
Historical evolution of monthly anomalies in international stock markets 0 1 1 9 0 3 13 44
Historical volatility of advanced equity markets: The role of local and global crises 0 0 0 0 0 0 1 10
Housing sector and economic policy uncertainty: A GMM panel VAR approach 0 4 11 11 1 7 34 34
IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY 0 0 1 34 2 2 5 125
Identifying regime changes in closed-end fund discounts 0 0 0 1 0 0 1 14
Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach 0 1 2 36 0 1 17 136
Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets 0 0 0 0 0 0 2 118
In-sample vs. out-of-sample tests of stock return predictability in the context of data mining 0 1 13 541 1 4 31 1,393
Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence 2 3 16 73 4 10 67 264
Interactive effect of changes in the shape of the yield curve and conditional term spread on expected equity returns 0 0 0 5 0 0 0 74
International herding: Does it differ across sectors? 2 2 10 92 6 6 33 257
Is COVID-19 Related Anxiety an Accelerator for Responsible and Sustainable Investing ? A Sentiment Analysis 0 0 3 5 0 0 8 19
Is the Housing Market in the United States Really Weakly-Efficient? 0 1 2 7 0 2 4 26
Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump 0 0 1 5 0 0 3 14
Keynes on Investment and the Business Cycle 0 0 2 10 0 0 3 21
Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio 0 0 1 4 0 0 6 22
Location, location, location: currency effects and return predictability? 0 0 0 0 0 2 2 30
Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach 1 2 3 22 1 2 3 92
Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day 0 0 6 47 0 0 31 172
Long-run growth empirics and new challenges for unified theory 0 0 0 23 0 0 0 93
Low-Frequency Movements in Stock Prices: A State-Space Decomposition 0 0 0 135 0 0 4 525
Macro variables and international stock return predictability 5 14 44 764 6 21 81 1,530
Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data 0 0 3 3 0 1 13 13
Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective 0 0 0 252 0 0 5 682
Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries 0 2 5 30 0 2 9 99
Measuring the response of gold prices to uncertainty: An analysis beyond the mean 0 0 6 13 1 1 14 75
Models with Unexpected Components: The Case for Efficient Estimation 0 0 0 20 0 0 2 108
Monetarism and the Aggregate Economy: Some Longer-Run Evidence 0 0 0 18 0 0 2 158
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 157 0 0 1 541
Monetary institutions, budget deficits and inflation: Empirical results for eight countries 0 0 0 49 0 0 0 131
Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries 0 0 3 3 0 2 23 27
Multi-Horizon Financial and Housing Wealth Effects across the U.S. States 0 0 0 1 1 1 4 11
Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence 0 0 5 169 0 0 10 535
NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM 0 0 0 1 0 0 1 168
News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets 0 0 1 8 0 1 7 51
Nonlinear Taylor rules: evidence from a large dataset 0 0 2 28 0 0 7 91
Nonlinear dynamics and covered interest rate parity 0 0 0 924 1 1 5 3,906
Oil price uncertainty and movements in the US government bond risk premia 0 0 4 7 1 2 23 95
Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data 3 10 22 86 7 19 66 285
Oil shocks and volatility jumps 0 0 0 2 0 0 2 14
On the prevalence of trends in primary commodity prices 0 0 2 140 1 1 4 323
Output and stock prices: an examination of the relationship over 200 years 0 0 0 22 1 1 1 106
PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES 0 0 1 9 0 0 6 49
PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK 1 1 1 9 1 1 3 45
Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model 0 0 0 4 0 0 1 31
PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review 0 0 0 392 0 0 2 2,042
Periodically collapsing bubbles in the South African stock market 0 0 1 15 1 1 10 85
Persistence and time-varying coefficients 0 1 2 55 0 3 7 154
Persistence of economic uncertainty: a comprehensive analysis 0 1 2 10 0 1 3 23
Phillips Curve for the Asian Economies: A Nonlinear Perspective 0 0 3 3 0 2 10 10
Pierre L. Siklos, Martin T. Bohl and Mark E. Wohar, Challenges in central banking: the current institutional environment and forces affecting monetary policy, Cambridge University Press (2010) 0 0 0 29 0 1 6 160
Political uncertainty, COVID-19 pandemic and stock market volatility transmission 1 1 6 6 6 10 31 31
Predictability and underreaction in industry-level returns: Evidence from commodity markets 0 0 0 2 0 0 3 30
Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings 0 0 3 3 0 0 6 9
Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors 0 0 2 18 0 0 11 80
Price gap anomaly in the US stock market: The whole story 0 0 3 7 0 2 15 43
Public and private investment: Are there causal linkages? 0 0 1 238 0 0 5 464
Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? 0 0 0 1 1 1 7 460
Regulation, Scale Economies, and Productivity in Steam-Electric Generation 0 0 0 54 0 0 1 172
Regulation, Scale and Productivity: Reply 0 0 0 3 0 0 1 61
Rise and fall of calendar anomalies over a century 0 0 2 10 0 1 11 55
Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets 1 1 5 5 2 3 17 17
Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals 0 0 2 7 0 0 3 22
Sources of the stock price fluctuations in Chinese equity market 0 0 0 7 0 0 0 48
Spillover effects in oil-related CDS markets during and after the sub-prime crisis 0 0 4 6 0 0 9 15
Spurious long memory, uncommon breaks and the implied–realized volatility puzzle 0 0 0 9 0 0 3 56
Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market 0 0 0 20 0 1 2 126
Stock Price Effects of Permanent and Transitory Shocks 0 0 0 0 0 0 0 201
Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index 0 0 1 10 0 0 4 47
Stock return predictability and dividend-price ratio: a nonlinear approach 0 0 0 126 0 0 8 416
Stock returns forecasting with metals: sentiment vs. fundamentals 0 0 0 2 0 2 4 16
Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns 0 0 4 225 0 0 7 489
Structural Breaks in Volatility: The Case of Chinese Stock Returns 0 0 0 2 0 0 1 10
Structural breaks in volatility: the case of UK sector returns 0 2 3 31 0 2 7 100
Sum of the parts stock return forecasting: international evidence 0 0 0 22 0 0 3 86
Technological convergence among US regions and states 0 0 0 53 0 0 2 243
Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries 0 0 0 3 1 2 5 34
Testing for rational bubbles in the UK housing market 0 0 1 5 0 1 6 11
Testing the Efficiency of the Art Market Using Quantile†Based Unit Root Tests with Sharp and Smooth Breaks 0 1 2 2 0 1 3 13
Testing the asymmetric effects of exchange rate pass‐through in BRICS countries: Does the state of the economy matter? 1 1 2 6 1 3 9 23
Testing the monetary model of exchange rate determination: a closer look at panels 0 1 7 262 0 1 12 618
Testing the monetary model of exchange rate determination: new evidence from a century of data 1 4 14 567 2 7 38 1,254
Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure 0 0 0 0 0 1 1 70
The Adjustment of Expectations to a Change in Regime: Comment 0 0 1 19 0 0 4 114
The Composition of Industry and the Duration of State Recessions 0 0 0 1 1 1 2 14
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 0 0 1 9 0 0 5 26
The Impact of Petroleum Product Prices on State Economic Conditions: An Analysis of the Economic Base 0 0 2 10 0 0 6 72
The Indeterminacy of the Optimal Aggregate for Stabilization Policy under Rational Expectations - L’indeterminatezza dell’aggregato monetario ottimale per la politica di stabilizzazione in presenza di aspettative razionali 0 0 0 0 0 1 2 35
The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries 0 0 1 1 0 2 5 5
The Prebisch-Singer Hypothesis: Four Centuries of Evidence 1 1 4 166 2 6 38 591
The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness 1 1 2 46 1 1 2 186
The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach 0 0 0 7 0 0 2 37
The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity 0 0 0 105 0 0 1 616
The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act 0 0 0 11 0 0 1 76
The changing long‐run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act 0 0 2 3 1 1 6 10
The conditional influence of term spread and pattern changes on future equity returns 0 0 0 5 0 1 1 39
The contribution of economic fundamentals to movements in exchange rates 0 0 2 78 0 0 9 282
The cyclicality of fiscal policy: New evidence from unobserved components approach 0 1 5 24 1 2 10 79
The depreciation of the pound post-Brexit: Could it have been predicted? 0 0 0 20 0 1 5 93
The determinants of international reserves in the small open economy: The case of Honduras 0 0 1 78 0 0 1 198
The determinants of quantile autocorrelations: Evidence from the UK 0 0 2 7 0 0 4 45
The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach 0 1 5 5 0 1 11 11
The dynamics of inflation: a study of a large number of countries 0 0 0 18 2 4 11 129
The effect of global and regional stock market shocks on safe haven assets 0 0 4 6 0 0 8 16
The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches 0 1 1 11 0 3 12 85
The energy transition, Trump energy agenda and COVID-19 0 0 1 1 1 1 8 13
The expectations theory of interest rates: Cointegration and factor decomposition 0 0 0 76 0 0 2 342
The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model 0 1 5 18 0 1 21 103
The impact of US uncertainty shocks on a panel of advanced and emerging market economies 0 1 4 11 1 4 14 34
The impact of disaggregated oil shocks on state-level consumption of the United States 0 0 2 2 0 0 5 5
The impact of disaggregated oil shocks on state-level real housing returns of the United States: The role of oil dependence 0 0 0 0 0 0 2 2
The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior 1 1 1 195 2 2 5 364
The output gap and stock returns: Do cyclical fluctuations predict portfolio returns? 0 0 1 59 0 0 3 186
The persistence in international real interest rates 0 0 0 143 0 0 4 382
The predictive power of the yield spread for future economic expansions: Evidence from a new approach 0 0 2 7 0 0 4 39
The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests 0 0 3 6 0 0 5 25
The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration 0 0 0 252 0 0 3 669
The relationship between energy and equity markets: Evidence from volatility impulse response functions 0 0 1 33 0 0 8 152
The relationship between temperature and CO 2 emissions: evidence from a short and very long dataset 0 0 0 7 0 0 0 82
The role of an aligned investor sentiment index in predicting bond risk premia of the U.S 0 0 2 8 1 2 11 32
The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data 2 2 4 11 2 2 5 32
The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach 0 0 0 4 0 0 0 19
The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach 0 0 0 4 0 0 3 20
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 0 0 1 3 0 0 2 28
The role of time‐varying rare disaster risks in predicting bond returns and volatility 0 0 0 2 0 1 2 12
Time varying stock return predictability: Evidence from US sectors 0 0 2 95 0 0 3 210
Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017 0 1 6 32 0 1 9 104
Time-varying predictability of oil market movements over a century of data: The role of US financial stress 0 0 2 4 0 0 7 22
Time-varying rare disaster risks, oil returns and volatility 1 1 4 13 3 3 11 72
Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data 1 1 6 11 1 3 11 42
Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993 0 0 0 68 0 0 1 209
Two puzzles in the analysis of foreign exchange market efficiency 0 0 0 89 0 0 2 265
UK macroeconomic volatility: Historical evidence over seven centuries 0 0 0 2 0 0 2 16
UK stock market predictability: evidence of time variation 0 0 1 14 1 1 2 77
UK stock price effects of permanent and transitory shocks 0 0 0 20 0 0 1 86
US Fiscal Policy and Asset Prices: The Role of Partisan Conflict 0 0 0 3 0 0 7 24
Valuation ratios and long-horizon stock price predictability 0 1 3 336 3 4 14 980
Valuation ratios and long‐horizon stock price predictability 0 0 0 0 0 2 3 5
Variants of consumption‐wealth ratios and predictability of U.S. government bond risk premia 0 0 0 1 0 1 1 3
Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies 0 0 1 5 0 0 3 46
Volatility forecasting with bivariate multifractal models 1 1 4 10 1 1 10 26
Volatility jumps: The role of geopolitical risks 0 0 5 10 1 2 10 37
Volatility spillovers across global asset classes: Evidence from time and frequency domains 2 3 5 21 3 5 17 103
Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test 0 0 0 5 0 0 1 23
What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data 0 0 2 4 0 0 6 15
What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors? 0 0 3 7 1 1 10 18
What Drives Stock Prices? Identifying the Determinants of Stock Price Movements 0 1 2 2 0 1 3 3
What Trump’s China Tariffs Have Cost U.S. Companies? 0 0 3 25 1 1 13 74
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats? 0 3 7 20 3 10 30 89
What is a better cross-hedge for energy: Equities or other commodities? 0 1 1 3 2 4 18 44
“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads 1 2 2 77 2 3 3 407
“Digital Gold” and geopolitics 0 0 3 3 2 3 18 18
Total Journal Articles 39 117 562 11,200 132 366 2,007 40,504


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