Publicacións en colaboración con investigadores/as de University of Pretoria (33)

2024

  1. On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data

    Applied Economics

  2. Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach

    Financial Innovation, Vol. 10, Núm. 1

2023

  1. Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realized Volatility

    Annals of Financial Economics, Vol. 18, Núm. 2

2022

  1. Geopolitical risks and historical exchange rate volatility of the BRICS

    International Review of Economics and Finance, Vol. 77, pp. 179-190

  2. Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases

    Journal of Risk and Financial Management, Vol. 15, Núm. 1

2021

  1. Oil Price and Exchange Rate Behaviour of the BRICS

    Emerging Markets Finance and Trade, Vol. 57, Núm. 7, pp. 2042-2051

  2. Stock markets and exchange rate behavior of the BRICS

    Journal of Forecasting, Vol. 40, Núm. 8, pp. 1581-1595

  3. Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains

    Empirical Economics, Vol. 61, Núm. 6, pp. 2963-2983

2020

  1. Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data

    Journal of Applied Statistics, Vol. 47, Núm. 6, pp. 1128-1143

  2. Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data

    Physica A: Statistical Mechanics and its Applications, Vol. 540

  3. Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data

    North American Journal of Economics and Finance, Vol. 51

  4. Testing the white noise hypothesis in high-frequency housing returns of the United States

    Economics and Business Letters, Vol. 9, Núm. 3, pp. 178-188

  5. Time-Varying Impact of Geopolitical Risks on Oil Prices

    Defence and Peace Economics, Vol. 31, Núm. 6, pp. 692-706

2019

  1. Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data

    Studies in Nonlinear Dynamics and Econometrics, Vol. 23, Núm. 3

  2. Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis

    Structural Change and Economic Dynamics, Vol. 50, pp. 51-55

  3. Persistence in trends and cycles of gold and silver prices: Evidence from historical data

    Physica A: Statistical Mechanics and its Applications, Vol. 514, pp. 345-354

  4. Price convergence patterns across U.S. states

    Panoeconomicus, Vol. 66, Núm. 2, pp. 187-202

  5. Revisiting the twin deficits hypothesis: A quantile cointegration analysis over the period 1791-2013

    Journal of Applied Economics, Vol. 22, Núm. 1, pp. 116-130

2018

  1. Causal relationships between economic policy uncertainty and housing market returns in China and India: Evidence from linear and nonlinear panel and time series models

    Studies in Nonlinear Dynamics and Econometrics, Vol. 22, Núm. 2

  2. Country risk ratings and stock market returns in Brazil, Russia, India, and China (Brics) countries: A nonlinear dynamic approach

    Risks, Vol. 6, Núm. 3