David Gabauer

Johannes Kepler University

Altenbergerstraße 69

Linz, 4040

Austria

Webster University - Webster Vienna Private University

Lecturer in Economics and Statistics

Praterstraße 23

Vienna, Vienna 1020

Austria

SCHOLARLY PAPERS

4

DOWNLOADS

73

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (4)

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, Johannes Kepler University and University of Navarra
Downloads 48 (409,213)
Citation 2

Abstract:

Loading...

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

2.

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

Economics Letters, Forthcoming
Number of pages: 34 Posted: 26 Nov 2018
Johannes Kepler University, Democritus University of Thrace, University of Pretoria - Department of Economics and Vienna University of Economics and Business
Downloads 14 (577,889)
Citation 3

Abstract:

Loading...

Economic Policy Uncertainty, Time-Varying Model, Connectedness Index

3.

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
Johannes Kepler University
Downloads 11 (597,516)

Abstract:

Loading...

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

4.

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 Johannes Kepler University

Abstract:

Loading...

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