David Gabauer

Software Competence Center Hagenberg

Softwarepark 21

Hagenberg im Mühlkreis, Upper Austria 4232

Austria

http://https://www.scch.at/

SCHOLARLY PAPERS

11

DOWNLOADS

452

SSRN CITATIONS

9

CROSSREF CITATIONS

0

Scholarly Papers (11)

1.

Oil And Asset Classes Implied Volatilities: Dynamic Connectedness And Investment Strategies

Number of pages: 40 Posted: 17 Jun 2019
Webster University - Webster Vienna Private University, University of Navarra, Bournemouth University, Software Competence Center Hagenberg and University of Navarra
Downloads 132 (268,325)
Citation 5

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Dynamic connectedness; hedging strategies; volatility portfolios; oil prices; stock market indices

2.

Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity

Number of pages: 24 Posted: 22 Mar 2021
Hong Kong Polytechnic University - Faculty of Business, University of Portsmouth and Software Competence Center Hagenberg
Downloads 56 (452,093)

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Green bonds, Connectedness, United States, Europe, China, Dynamic portfolio analysis.

3.

Green Bond, Renewable Energy Stocks and Carbon Price: Dynamic Connectedness, Hedging and Investment Strategies during COVID-19 pandemic

Number of pages: 42 Posted: 05 Aug 2021
Rajagiri Business School, University of Cape Coast, Software Competence Center Hagenberg and University of Ghana Business School, Accra-Ghana.
Downloads 47 (487,604)

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COVID-19, TVP-VAR, dynamic connectedness, portfolio management, hedging effectiveness, green bonds, renewable energy stocks, carbon price

4.

Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models

Number of pages: 27 Posted: 04 Sep 2020
Software Competence Center Hagenberg, University of Pretoria - Department of Economics, Northeastern Illinois University - Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 44 (500,894)

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Dynamic Connectedness, Elastic Net VAR, Lasso VAR, Ridge VAR, U.S. Housing

5.

Monetary Policy and Speculative Spillovers in Financial Markets

Number of pages: 21 Posted: 12 May 2020
Riza Demirer, David Gabauer and Rangan Gupta
Southern Illinois University Edwardsville - Department of Economics & Finance, Software Competence Center Hagenberg and University of Pretoria - Department of Economics
Downloads 41 (514,548)

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Monetary Policy, Speculation, TVP-VAR, Dynamic Connectedness, Quantiles

6.

Measures of Dynamic Connectednesss Based on DCC-GARCH: The Role of Volatility Transmission Mechanisms

Number of pages: 13 Posted: 15 Dec 2018 Last Revised: 13 Feb 2019
David Gabauer
Software Competence Center Hagenberg
Downloads 38 (528,940)

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DCC-GARCH, Volatility Impulse Response Functions, Dynamic Connectedness, Exchange Rate Volatility

7.

Dynamic Connectedness of Uncertainty Across Developed Economies: A Time-Varying Approach

Economics Letters, Forthcoming
Number of pages: 34 Posted: 26 Nov 2018
Software Competence Center Hagenberg, Democritus University of Thrace, University of Pretoria - Department of Economics and Vienna University of Economics and Business
Downloads 37 (533,852)
Citation 6

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Economic Policy Uncertainty, Time-Varying Model, Connectedness Index

8.

Tail Risk Connectedness in the Refined Petroleum Market: A First Look at the Impact of the COVID Pandemic

Number of pages: 20 Posted: 24 Sep 2021
Hellenic Mediterranean University, Software Competence Center Hagenberg and University of Navarra
Downloads 5 (751,314)

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Crude oil, refined petroleum products, tail risk spillovers, dynamic connectedness, TVPVAR, CAViaR, COVID-19

9.

Volatility Contagion between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19: An Application Based on the TVP-VAR Extended Joint Connectedness Approach

Number of pages: 25 Posted: 24 Sep 2021
Hellenic Mediterranean University, Hellenic Mediterranean University and Software Competence Center Hagenberg
Downloads 3 (766,987)

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Crude oil; stock market indices; G7; COVID-19; TVP-VAR; dynamic connectedness; volatility spillovers.

10.

Dynamic Connectedness between COVID-19 News Sentiment, Capital and Commodity Markets

Posted: 05 Mar 2021
University of Piraeus, Hellenic Mediterranean University and Software Competence Center Hagenberg
Downloads 49

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COVID-19 sentiment news; volatility indices; TVP-VAR; dynamic connectedness; joint connectedness.

11.

European Currency Co-Movements and Contagion: Evidence from a Bayesian TVP-(Pseudo)FAVAR Model

Posted: 08 May 2018
Vienna University of Economics and Business, University of Portsmouth and Software Competence Center Hagenberg

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Bayesian TVP-(Pseudo)FAVAR, Exchange Rate Regimes, Connectedness