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 1 4 31
Are BRICS Exchange Rates Chaotic? 0 0 0 39 2 4 29 127
Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis 0 0 0 0 1 2 16 29
Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data 0 0 0 69 3 9 13 114
Are Tax Effects Important in the Long-Run Fisher Relation?: Evidence from the Municipal Bond Market 0 0 2 232 1 1 5 1,472
Are U.S. industries resilient in dealing with trade uncertainty ? The case of U.S.-China trade war 0 1 22 22 4 6 27 27
Bitcoin: competitor or complement to gold? 1 1 6 42 1 1 32 62
Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation 0 0 0 94 1 3 8 274
Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach 0 0 0 14 4 7 20 88
Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014 0 0 1 48 0 2 8 112
Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty 0 0 0 14 1 4 22 119
Common Cycles and Common Trends in the Stock and Oil markets: Evidence from More than 150 Years of Data 0 0 0 10 1 4 11 84
Convergence in Interest Rates and Inflation Rates Across Countries and Across Time 0 0 0 0 1 3 4 1,182
Differences of Opinion and Stock Market Volatility: Evidence from a Nonparametric Causality-in-Quantiles Approach 0 0 0 20 1 3 12 73
Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets 0 0 0 55 0 1 15 91
Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach 0 0 0 58 1 3 11 93
Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data 0 0 0 57 2 4 7 76
Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis 0 0 0 17 1 2 8 127
Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach 0 0 0 49 1 4 12 85
Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test 0 0 0 57 1 6 35 218
Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model 0 0 0 50 2 2 11 81
Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data 0 0 0 19 3 7 30 65
Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market 0 0 3 3 1 6 18 18
Examining real interest parity: which component reverts quickest and in which regime? 0 0 0 69 1 1 5 77
Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks 0 0 0 19 0 2 16 67
Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets 0 0 11 46 4 26 86 145
Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR 0 0 0 60 1 6 17 155
Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data 0 0 0 55 0 1 13 138
Forecasting US GNP Growth: The Role of Uncertainty 0 0 0 53 1 2 13 160
Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data 0 0 1 44 0 1 8 68
Giant Oil Discoveries and Conflicts 0 0 4 21 0 8 27 31
Gold, Platinum and the Predictability of Bond Risk Premia 0 0 0 35 2 3 31 51
Growth Volatility and Inequality in the U.S.: A Wavelet Analysis 0 0 0 8 0 4 9 65
Growth Volatility and Inequality in the U.S.: A Wavelet Analysis 0 0 3 39 0 2 19 80
Halloween Effect in Developed Stock Markets: A US Perspective 0 0 0 27 1 8 32 58
High-Frequency Volatility Forecasting of US Housing Markets 0 0 30 30 2 8 55 55
Historical Evolution of Monthly Anomalies in International Stock Markets 0 0 0 26 1 4 25 38
Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises 0 0 0 0 0 0 6 13
Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence 0 0 0 9 1 2 5 7
Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach 0 0 0 33 0 2 24 160
International Monetary Policy Spillovers: Evidence from a TVP-VAR 0 0 7 93 2 11 59 174
Is the Housing Market in the United States Really Weakly-Efficient? 0 0 0 13 0 1 19 42
Is there a National Housing Market Bubble Brewing in the United States? 1 5 22 22 5 24 63 63
Is there a National Housing Market Bubble Brewing in the United States? 0 2 22 22 8 21 63 63
Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump 0 0 0 0 0 0 7 7
Low frequency movements in stock prices: a state space decomposition 0 1 4 249 1 4 24 1,855
Measuring the response of gold prices to uncertainty: An analysis beyond the mean 0 0 1 6 0 1 9 39
Measuring the response of gold prices to uncertainty: An analysis beyond the mean 0 1 1 3 1 4 19 43
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 0 0 2 386
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 1 1 2 210 1 2 5 590
Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration 0 0 0 22 1 7 16 42
Multi-Horizon Financial and Housing Wealth Effects across the U.S. States 0 2 3 11 1 4 18 23
News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets 0 0 0 29 1 4 13 87
Nonlinear dynamics and covered interest rate parity 0 0 3 85 0 0 8 1,007
Oil Price Uncertainty and Movements in the US Government Bond Risk Premia 0 0 0 15 2 3 33 71
Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data 0 0 0 22 2 6 20 124
Oil Shocks and Volatility Jumps 0 0 0 18 0 4 16 83
Periodically Collapsing Bubbles in the South African Stock Market 0 0 1 26 3 6 18 111
Persistence of Economic Uncertainty: A Comprehensive Analysis 0 0 1 18 1 7 23 87
Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings 0 0 0 76 2 6 16 72
Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data 0 0 0 45 2 5 18 40
Price Gap Anomaly in the US Stock Market: The Whole Story 0 0 3 15 8 12 41 57
Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence 0 0 0 200 0 0 7 747
Rise and Fall of Calendar Anomalies over a Century 0 0 0 16 5 10 42 102
Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals 0 0 0 0 1 1 8 8
Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries 0 0 0 9 2 3 11 107
Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter? 0 0 11 47 1 17 63 100
Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks 0 0 0 40 0 3 14 138
The Depreciation of the Pound Post-Brexit: Could it have been Predicted? 0 0 0 87 5 7 27 264
The Dynamics of Inflation: A Study of a Large Number of Countries 0 0 2 20 5 5 28 101
The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach 1 4 35 35 3 22 53 53
The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches 0 0 0 20 0 3 12 111
The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States 0 0 6 6 0 4 11 11
The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for South Africa 0 0 0 116 4 9 57 264
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 37 3 7 28 114
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 2 4 18 140
The Long and the Short of It: Long Memory Regressors and Predictive Regressions 0 0 2 98 0 1 14 347
The Long-Run Linkage Between Yields on Treasury and Municipal Bonds and the 1986 Tax Act 0 0 0 206 1 1 8 2,013
The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test 0 0 0 23 0 1 10 89
The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests 0 0 0 41 2 5 16 60
The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach 0 0 0 8 1 2 20 34
The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach 0 0 0 13 1 2 7 64
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 4 23 85
The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach 0 0 0 13 1 1 6 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 2 4 15 28
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 2 8 22 71
The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility 0 0 0 24 0 2 11 72
The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States 0 0 0 16 2 12 38 49
The Strategic Implications of Setting Border Tax Adjustments 0 0 0 10 1 1 2 46
Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017 0 0 0 52 2 2 14 55
Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress 0 0 0 17 0 3 8 43
Time-Varying Rare Disaster Risks, Oil Returns and Volatility 0 0 0 33 0 1 6 78
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 0 0 20 130
Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times 1 2 16 16 6 14 34 34
Trends and Cycles in Real Commodity Prices: 1650-2010 0 1 5 132 0 4 16 390
Trends and Persistence in Primary Commodity Prices 0 0 0 237 0 0 7 543
Two Puzzles in the Analysis of Foreign Exchange Market Efficiency 0 0 0 0 1 1 4 586
U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict 0 0 4 34 0 1 17 58
U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict 0 0 0 16 1 1 9 51
U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks 0 1 2 206 3 11 39 1,268
Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold 0 0 0 0 1 2 14 38
Volatility Jumps: The Role of Geopolitical Risks 0 0 0 21 3 6 20 84
Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains 0 0 0 53 1 5 26 107
Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note 0 0 0 21 0 1 3 44
Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test 0 0 0 0 1 1 5 58
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats? 0 0 1 1 3 5 21 21
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 2 4 20 30
Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests 0 0 0 329 0 0 7 1,431
Total Working Papers 5 22 237 5,047 157 498 2,120 21,391


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 1 1 17 0 1 2 45
A Cautionary Note on the Order of Integration of Post‐war Aggregate Wage, Price and Productivity Measures 0 0 0 16 0 0 2 115
A PANEL ANALYSIS OF THE STOCK RETURN–DIVIDEND YIELD RELATION: PREDICTING RETURNS AND DIVIDEND GROWTH 0 0 1 27 0 1 3 63
A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set 0 0 0 0 1 1 4 10
A cointegrated structural VAR model of the Canadian economy 0 0 0 146 0 0 3 349
Abnormal profits and relative strength in mutual fund returns 0 0 1 92 0 1 3 429
Alternative Modes of Deficit Financing and Endogeneous Monetary and Fiscal Policy in the U.S.A. 1923-1982 0 0 0 67 0 0 0 502
An Unobserved Components Model that Yields Business and Medium-Run Cycles 0 0 0 14 1 1 3 54
An analysis of the time series properties of the UK ex-post real interest rate: fractional integration, breaks or nonlinear 0 0 0 19 0 0 0 75
An empirical investigation of the Taylor curve 0 1 4 66 0 2 13 188
An evaluation of ECB policy in the Euro's big four 0 1 1 9 0 1 6 48
Are BRICS exchange rates chaotic? 0 0 1 2 0 0 10 14
Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis 0 0 4 9 2 4 17 35
Are Tax Effects Important in the Long‐Run Fisher Relationship? Evidence from the Municipal Bond Market 0 1 1 62 0 1 5 186
Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data 0 0 5 8 0 0 14 22
Asymmetric tax multipliers 0 0 6 32 0 0 13 103
BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER 0 1 1 1 0 1 3 3
Bitcoin: competitor or complement to gold? 0 0 13 28 1 8 61 117
Breaks, trends and unit roots in commodity prices: a robust investigation 0 0 3 80 0 1 12 214
Can commodity returns forecast Canadian sector stock returns? 0 0 3 18 0 2 8 61
Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries 0 0 2 2 0 0 10 11
Can the term spread predict output growth and recessions? a survey of the literature 1 3 13 251 7 11 45 765
Capital Inflows and Economic Growth: Does the Role of Institutions Matter? 0 1 1 25 2 3 11 67
Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach 0 0 0 5 1 5 10 34
Causality between trading volume and returns: Evidence from quantile regressions 0 2 15 85 1 8 46 340
Changes in the oil price-inflation pass-through 1 5 10 51 1 10 22 165
Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014 0 0 3 3 1 3 11 11
Cointegration and the term structure: A multicountry comparison 0 0 0 15 1 2 6 92
Cointegration, forecasting and international stock prices 0 0 2 75 1 2 11 188
Commodity volatility breaks 0 2 12 138 1 6 29 323
Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty 0 1 4 15 2 9 28 70
Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data 0 1 2 17 2 4 14 78
Consumption growth, preference for smoothing, changes in expectations and risk premium 0 0 1 7 1 1 4 46
Convergence in Interest Rates and Inflation Rates across Countries and over Time 0 0 0 0 2 4 9 1,420
Corporate Ownership and the Thrift Crisis 0 0 1 4 0 0 4 260
DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS 0 1 7 11 1 2 10 28
Derivative activities and managerial incentives in the banking industry 2 2 2 119 2 2 5 340
Determinants of State Labor Productivity: The Changing Role of Density 0 0 1 43 1 1 10 180
Determinants of state diesel fuel excise tax rates: the political economy of fuel taxation in the United States 0 0 1 46 0 0 5 267
Determining what drives stock returns: Proper inference is crucial: Evidence from the UK 0 0 0 11 0 1 4 50
Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach 0 0 2 4 1 2 9 32
Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test 0 0 0 4 0 2 4 39
Do commodities make effective hedges for equity investors? 0 0 4 17 1 1 7 39
Do house prices hedge inflation in the US? A quantile cointegration approach 0 0 3 12 5 8 22 59
Do increases in petroleum product prices put the incumbent party at risk in US presidential elections? 0 0 2 15 0 0 3 71
Do leading indicators forecast U.S. recessions? A nonlinear re†evaluation using historical data 0 0 0 3 0 1 2 12
Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach 0 1 2 4 1 2 9 31
Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test 3 3 14 52 8 15 54 207
Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆ 0 0 1 3 3 4 12 29
Domestic–foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models 0 0 0 0 0 0 2 102
Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies 0 0 0 0 2 4 10 10
Examining real interest parity: Which component reverts quickest and in which regime? 0 0 0 3 0 0 10 45
Exchange rate pass-through in the Asian countries: does inflation volatility matter? 1 2 5 5 1 2 9 12
Exchange rate returns and volatility: the role of time-varying rare disaster risks 0 0 4 5 0 0 9 21
Expected returns and expected dividend growth: time to rethink an established empirical literature 0 0 0 10 0 0 3 54
Explaining stock price movements: is there a case for fundamentals? 1 1 5 550 6 7 13 1,532
FORECASTING US INFLATION USING DYNAMIC GENERAL-TO-SPECIFIC MODEL SELECTION 0 0 0 1 0 0 3 22
Fiscal stance, foreign capital inflows and the behavior of current account in the Asian countries 0 1 1 7 1 5 19 34
Forecasting US GNP growth: The role of uncertainty 1 1 2 2 1 4 10 13
Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR 0 1 1 2 0 2 7 22
Forecasting market returns: bagging or combining? 0 2 4 16 0 4 12 54
Forecasting oil and stock returns with a Qual VAR using over 150years off data 1 1 7 10 3 5 22 63
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 2 2 121 0 2 6 561
Geopolitical risks and recessions in a panel of advanced economies: evidence from over a century of data 0 0 3 3 0 1 10 18
Global factors and equity market valuations: Do country characteristics matter? 0 0 0 3 1 1 4 14
Growth volatility and inequality in the U.S.: A wavelet analysis 0 0 1 3 1 2 13 30
Halloween Effect in developed stock markets: A historical perspective 0 5 6 6 4 14 17 17
Historical evolution of monthly anomalies in international stock markets 1 1 3 3 2 4 8 8
IDENTIFYING REGIME CHANGES IN MARKET VOLATILITY 0 1 3 32 0 2 7 117
Identifying regime changes in closed-end fund discounts 0 0 0 0 0 0 2 11
Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach 0 0 8 30 3 8 37 95
Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets 0 0 0 0 0 0 0 116
In-sample vs. out-of-sample tests of stock return predictability in the context of data mining 5 11 32 493 10 25 71 1,301
Inflation, inflation uncertainty, and economic growth in emerging and developing countries: Panel data evidence 2 2 12 42 8 14 55 136
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 2 74
International herding: Does it differ across sectors? 0 2 17 71 1 6 30 199
Keynes on Investment and the Business Cycle 0 1 2 7 0 1 4 15
Location, location, location: currency effects and return predictability? 0 0 0 0 1 1 5 26
Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach 0 0 0 17 0 0 2 85
Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day 0 2 7 25 0 2 21 99
Long-run growth empirics and new challenges for unified theory 0 0 0 23 2 3 4 90
Low-Frequency Movements in Stock Prices: A State-Space Decomposition 0 3 4 131 0 7 15 511
Macro variables and international stock return predictability 3 12 46 679 12 34 113 1,379
Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective 0 1 3 252 0 1 9 668
Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries 0 0 6 20 1 3 16 73
Measuring the response of gold prices to uncertainty: An analysis beyond the mean 0 0 1 5 1 2 13 40
Models with Unexpected Components: The Case for Efficient Estimation 0 0 0 20 0 0 4 106
Monetarism and the Aggregate Economy: Some Longer-Run Evidence 0 0 0 18 0 0 2 152
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 157 0 1 5 531
Monetary institutions, budget deficits and inflation: Empirical results for eight countries 0 0 0 49 0 0 2 129
Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence 0 0 4 163 0 1 10 520
NEW EVIDENCE CONCERNING THE EXPECTATIONS THEORY FOR THE SHORT END OF THE MATURITY SPECTRUM 0 0 0 1 0 1 1 164
News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets 0 0 2 7 1 2 11 29
Nonlinear Taylor rules: evidence from a large dataset 0 1 4 24 0 1 19 70
Nonlinear dynamics and covered interest rate parity 0 0 0 922 0 2 9 3,890
Oil price uncertainty and movements in the US government bond risk premia 0 0 1 1 3 16 57 57
Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data 2 7 33 46 7 23 97 126
Oil shocks and volatility jumps 0 0 2 2 0 2 8 8
On the prevalence of trends in primary commodity prices 0 2 6 133 1 3 15 310
Output and stock prices: an examination of the relationship over 200 years 0 0 0 22 1 1 2 105
PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES 0 1 3 4 0 4 18 25
PROFIT PERSISTENCE REVISITED: THE CASE OF THE UK 0 0 0 8 0 0 0 41
Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model 0 0 0 4 0 1 6 27
PcGive Professional (Version 8) and Eviews (MicroTSP for Windows Version 1.1A): A Comparative Review 1 1 2 392 2 3 7 2,031
Periodically collapsing bubbles in the South African stock market 0 0 2 11 1 2 11 65
Persistence and time-varying coefficients 1 1 2 51 1 1 6 119
Persistence of economic uncertainty: a comprehensive analysis 0 0 7 7 1 2 13 17
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 0 3 148
Predictability and underreaction in industry-level returns: Evidence from commodity markets 0 0 1 2 0 3 14 22
Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors 0 2 3 16 0 3 11 60
Price gap anomaly in the US stock market: The whole story 0 2 2 2 2 6 9 9
Public and private investment: Are there causal linkages? 3 4 9 230 4 5 13 450
Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? 0 0 0 1 2 2 16 436
Regulation, Scale Economies, and Productivity in Steam-Electric Generation 1 1 1 54 1 1 2 169
Regulation, Scale and Productivity: Reply 0 0 0 3 0 0 2 59
Rise and fall of calendar anomalies over a century 1 2 5 5 1 3 22 24
Safe havens in the face of Presidential election uncertainty: A comparison between Bitcoin, oil and precious metals 0 0 3 3 1 2 13 13
Sources of the stock price fluctuations in Chinese equity market 0 0 0 7 0 0 2 42
Spurious long memory, uncommon breaks and the implied–realized volatility puzzle 0 0 2 9 1 1 6 50
Sticky prices or economically-linked economies: The case of forecasting the Chinese stock market 1 1 1 19 1 4 8 114
Stock Price Effects of Permanent and Transitory Shocks 0 0 0 0 0 0 3 198
Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index 0 0 2 8 0 1 15 38
Stock return predictability and dividend-price ratio: a nonlinear approach 0 0 4 125 0 0 8 403
Stock returns forecasting with metals: sentiment vs. fundamentals 0 0 0 2 0 0 1 9
Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns 0 2 9 220 1 5 23 476
Structural Breaks in Volatility: The Case of Chinese Stock Returns 0 0 0 0 1 3 6 7
Structural breaks in volatility: the case of UK sector returns 0 0 3 27 1 2 6 89
Sum of the parts stock return forecasting: international evidence 1 1 1 21 2 3 4 81
Technological convergence among US regions and states 0 0 0 52 1 2 4 240
Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries 0 0 0 3 2 2 6 26
Testing the Efficiency of the Art Market Using Quantile†Based Unit Root Tests with Sharp and Smooth Breaks 0 0 0 0 0 0 3 10
Testing the monetary model of exchange rate determination: a closer look at panels 0 0 5 248 0 5 21 593
Testing the monetary model of exchange rate determination: new evidence from a century of data 0 0 19 536 1 3 50 1,171
Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure 0 0 0 0 0 0 1 66
The Adjustment of Expectations to a Change in Regime: Comment 0 0 0 18 0 0 1 109
The Composition of Industry and the Duration of State Recessions 0 0 0 0 0 1 3 8
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 3 7 0 2 11 18
The Impact of Petroleum Product Prices on State Economic Conditions: An Analysis of the Economic Base 0 0 1 8 0 0 4 60
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 0 1 32
The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries 0 0 0 0 0 0 12 313
The Prebisch-Singer Hypothesis: Four Centuries of Evidence 1 1 12 158 9 15 65 495
The Road Less Travelled: Institutional Aspects of Data and Their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness 0 0 0 44 0 1 3 182
The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach 0 0 1 7 0 0 7 33
The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity 0 0 1 105 0 0 4 613
The changing long-run linkage between yields on Treasury and municipal bonds and the 1986 Tax Act 0 0 0 11 0 2 3 75
The conditional influence of term spread and pattern changes on future equity returns 0 0 0 5 1 1 5 37
The contribution of economic fundamentals to movements in exchange rates 0 1 4 74 0 2 11 257
The cyclicality of fiscal policy: New evidence from unobserved components approach 0 0 3 16 0 0 10 62
The depreciation of the pound post-Brexit: Could it have been predicted? 1 3 5 18 3 6 19 77
The determinants of international reserves in the small open economy: The case of Honduras 0 0 1 76 0 1 2 194
The determinants of quantile autocorrelations: Evidence from the UK 0 1 1 5 1 2 5 38
The dynamics of inflation: a study of a large number of countries 0 0 0 18 3 3 19 105
The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches 0 0 2 8 1 3 15 56
The expectations theory of interest rates: Cointegration and factor decomposition 0 0 0 76 0 0 2 337
The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model 0 0 4 7 2 5 22 42
The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior 0 0 4 191 0 0 8 354
The output gap and stock returns: Do cyclical fluctuations predict portfolio returns? 0 0 1 58 0 1 5 183
The persistence in international real interest rates 0 1 2 138 1 4 10 369
The predictive power of the yield spread for future economic expansions: Evidence from a new approach 0 0 1 3 0 0 5 30
The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests 0 0 1 1 1 1 11 15
The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration 0 0 0 252 0 1 5 661
The relationship between energy and equity markets: Evidence from volatility impulse response functions 1 1 5 28 1 2 17 130
The relationship between temperature and CO 2 emissions: evidence from a short and very long dataset 1 1 1 7 1 1 6 79
The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data 1 2 5 5 2 4 9 9
The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach 0 0 2 4 0 0 6 16
The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach 0 2 3 3 2 5 10 10
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 1 2 2 2 2 3 8 21
Time varying stock return predictability: Evidence from US sectors 0 1 1 93 0 1 2 201
Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017 0 0 7 12 2 6 28 55
Time-varying predictability of oil market movements over a century of data: The role of US financial stress 0 1 2 2 1 3 10 10
Time-varying rare disaster risks, oil returns and volatility 0 1 5 8 0 3 19 46
Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data 0 0 4 4 4 7 17 17
Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993 0 0 1 67 0 0 3 205
Two puzzles in the analysis of foreign exchange market efficiency 0 0 0 89 1 1 5 261
UK macroeconomic volatility: Historical evidence over seven centuries 0 0 0 2 0 0 4 12
UK stock market predictability: evidence of time variation 0 0 1 12 2 4 8 72
UK stock price effects of permanent and transitory shocks 0 0 0 20 0 0 3 84
US Fiscal Policy and Asset Prices: The Role of Partisan Conflict 0 1 1 1 2 3 10 10
Valuation ratios and long-horizon stock price predictability 7 7 9 323 9 10 20 951
Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies 0 0 3 3 2 3 24 34
Volatility forecasting with bivariate multifractal models 1 1 3 3 2 4 9 9
Volatility jumps: The role of geopolitical risks 0 1 3 5 3 4 11 23
Volatility spillovers across global asset classes: Evidence from time and frequency domains 0 1 3 10 1 7 33 66
Wealth‐to‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test 0 1 2 5 1 2 4 19
What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors? 0 1 3 3 0 2 5 5
What Drives Stock Prices? Identifying the Determinants of Stock Price Movements 0 0 0 0 0 1 12 693
What Trump’s China Tariffs Have Cost U.S. Companies? 3 8 10 10 9 23 34 34
What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats? 0 1 9 9 6 11 28 28
What is a better cross-hedge for energy: Equities or other commodities? 0 0 0 0 1 4 14 14
“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads 1 2 5 74 2 3 14 397
Total Journal Articles 51 149 610 10,104 230 590 2,407 37,345


Statistics updated 2020-11-03