In this paper we examine the extent of time-varying correlations between stock markets returns and policy uncertainty based on a newly introduced uncertainty index by Baker et al. (2012). We identify several empirical regularities: (1) the dynamic correlations of policy uncertainty and stock...

In this study we examine the dynamic structural relationship between oil price shocks and stock market returns and volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that, by extending the Diebold and Yilmaz (2012) dynamic...

In this study we examine the dynamic interrelationship in the output-energy-environment nexus by applying panel vector autoregression (PVAR) and impulse response function analyses to data on energy consumption (and its subcomponents), carbon dioxide emissions and real GDP in 106 countries...

In this study we examine the network topology of UK regional property prices using a dynamic measure of connectedness developed by Diebold and Yilmaz (2014) over the period 1973Q4-2014Q4. Our findings suggest that the transmission of inter-regional property returns shocks is an important source...

In this study, we propose refined measures of dynamic connectedness based on a TVP-VAR approach, that overcomes certain shortcomings of the connectedness measures introduced originally by Diebold and Yilmaz (2009, 2012, 2014). We illustrate the advantages of the TVP-VAR-based connectedness...

We consider spillovers between oil price volatility and key uncertainty indicators. Adding to existing studies, we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. Findings suggest that spillover effects do not contain...

Oil price volatility forecasts have recently attracted the attention of many studies in the energy finance field. The literature mainly concentrates its attention on the use of daily data, using GARCH-type models. It is only recently that efforts to use more informative intraday data to forecast...

This study utilizes both disaggregated data and macroeconomic indicators in order to examine the importance of the macroeconomic environment of origin countries for analysing destinations’ tourist arrivals. In particular, it is the first study to present strong empirical evidence that both of...

This paper provides the empirical framework to assess whether UK monetary policy shocks induce both the UK housing market and the UK stock market to remain at a high-volatility (risk) environment. The Markov regime switching modelling approach is employed in order to identify two distinct...

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-a-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...