David Gabauer
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View article: The impact of oil shocks on green, clean, and socially responsible markets
The impact of oil shocks on green, clean, and socially responsible markets Open
The study employs novel empirical approaches, namely wavelet quantile correlation (WQC) and cross-quantilogram analysis, to examine the interrelationship between green bonds (GB), clean energy (GCE), socially responsible stocks (ESG), and …
View article: Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers
Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers Open
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency market capitalization and covering both conventional (Bitcoin and Ethereum) and Islamic (St…
View article: Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach
Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach Open
This study investigates the sectoral expected uncertainty connectedness in emerging markets across different frequencies and quantiles using the novel quantile time–frequency connectedness approach of Chatziantoniou et al. (2022a). The emp…
View article: Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach Open
This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk…
View article: Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century Open
In this study, we contribute to the rapidly growing climate-finance literature by shedding light on the question of whether climate risks have predictive value for stock market returns. We measure climate risks in terms of both the change …
View article: Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures Open
This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, …
View article: Towards federated multivariate statistical process control (FedMSPC)
Towards federated multivariate statistical process control (FedMSPC) Open
The ongoing transition from a linear (produce-use-dispose) to a circular economy poses significant challenges to current state-of-the-art information and communication technologies. In particular, the derivation of integrated, high-level v…
View article: Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves
Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves Open
This study investigates the dynamic transmission mechanism between 2Y, 5Y and 10Y interest rate swaps (IRS) for six European currencies (CHF, DKK, EUR, GBP, NOK and SEK) from August 6, 1999 to March 4, 2021 applying the time-varying parame…
View article: Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic
Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic Open
This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, …
View article: Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic
Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic Open
This study provides a novel framework for analysing systematic tail risk transmission mechanisms by combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with the recently developed Time-Varying Parameter Vector Autoregress…
View article: The Evolution of Monetary Policy Focal Points
The Evolution of Monetary Policy Focal Points Open
With near-zero policy rates becoming the norm in many advanced economies, the focus on long-term bond yields has strengthened considerably. The unconventional monetary policy decision by the Bank of Japan (BOJ) in September 2016 to explici…
View article: Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning
Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning Open
Utilizing a machine learning technique known as random forests, we study whether regional output growth uncertainty helps to improve the accuracy of forecasts of regional output growth for 12 regions of the UK using monthly data for the pe…