David Gabauer

Software Competence Center Hagenberg

Softwarepark 21

Hagenberg im Mühlkreis, Upper Austria 4232

Austria

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

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 33,479

in Total Papers Downloads

2,136

SSRN CITATIONS

9

CROSSREF CITATIONS

0

Scholarly Papers (19)

1.

Quantile Time-Frequency Price Connectedness Between Green Bond, Green Equity, Sustainable Investments and Clean Energy Markets

Number of pages: 22 Posted: 24 Nov 2021 Last Revised: 03 Dec 2021
Hellenic Mediterranean University, University of Cape Coast, Software Competence Center Hagenberg and Rajagiri Business School
Downloads 267 (163,511)

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Green bond, green equity, sustainability, clean energy, price connectedness, quantile time-frequency.

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 253 (172,515)

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

3.

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 216 (200,582)
Citation 5

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

4.

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 Curtin University
Downloads 214 (202,280)

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

5.

Crude Oil and Islamic Sectoral Stocks: Asymmetric Connectedness and Investment Strategies

Number of pages: 1 Posted: 02 Feb 2022
Federal University of Agriculture, Abeokuta, Nigeria, Tai-Solarin University of Education, Webster University - Webster Vienna Private University, Hellenic Mediterranean University, Software Competence Center Hagenberg and Abeokuta Federal University of Agriculture (UNAAB) - Department of Economics
Downloads 196 (219,246)

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COVID-19, TVP-VAR, dynamic connectedness, asymmetric connectedness, portfolio management, hedging effectiveness, Islamic stocks, crude oil

6.

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 148 (277,745)

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

7.

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 122 (323,764)

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

8.

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 120 (325,718)

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

9.

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

Number of pages: 20 Posted: 05 Mar 2021 Last Revised: 26 Sep 2021
University of Piraeus, Hellenic Mediterranean University and Software Competence Center Hagenberg
Downloads 98 (373,677)

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

10.

Oil Price Shocks and Exchange Rate Dynamics: New Evidence From Decomposed and Partial Connectedness Measures for Oil Importing and Exporting Economies

Number of pages: 38 Posted: 02 Apr 2022
Hellenic Mediterranean University, Durham University Business School, Software Competence Center Hagenberg and Istanbul Medeniyet University
Downloads 90 (394,137)

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TVP-VAR, oil price shocks, exchange rates, dynamic connectedness, connectedness decomposition, partial connectedness.

11.

Good and bad volatility spillovers in the cryptocurrency market: New Evidence from a TVP-VAR asymmetric connectedness approach

Number of pages: 28 Posted: 18 Nov 2021
Kharazmi University, Faculty of Economics, Tehran, Iran., Lebanese American University, Kharazmi University and Software Competence Center Hagenberg
Downloads 77 (432,172)

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Cryptocurrencies; TVP-VAR; dynamic connectedness; asymmetric connectedness; volatility spillovers.

12.

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 56 (507,961)

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

13.

Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures

Number of pages: 22 Posted: 13 May 2022
University of Navarra, Software Competence Center Hagenberg, Hellenic Mediterranean University, University of Navarra and Northeastern Illinois University - Economics
Downloads 52 (525,191)

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Gold, silver, crude oil, heating oil, realized volatility, dynamic quantile connectedness, joint connectedness.

14.

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 52 (525,191)
Citation 6

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Economic Policy Uncertainty, Time-Varying Model, Connectedness Index

15.

Dynamic Connectedness among the Implied Volatilities of Oil Prices and Financial Assets: New Evidence of the COVID-19 Pandemic

Number of pages: 22 Posted: 12 Apr 2022 Last Revised: 28 Aug 2022
Webster University - Webster Vienna Private University, University of Navarra, University of Patras - Department of Economics, Software Competence Center Hagenberg and University of Navarra
Downloads 48 (543,168)

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Dynamic connectedness, implied volatilities, oil prices, financial assets, TVP-VAR, COVID-19

16.

Dynamic Spillovers Across Precious Metals and Oil Realized Volatilities: Evidence from Quantile Extended Joint Connectedness Measures

Number of pages: 23 Posted: 02 Jun 2022
University of Navarra - Faculty of Economics, Hellenic Mediterranean University, Software Competence Center Hagenberg, affiliation not provided to SSRN and Northeastern Illinois University - Economics
Downloads 44 (562,444)

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Gold, silver, crude oil, heating oil, realized volatility, dynamic quantile connectedness, joint connectedness

17.

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 42 (572,666)

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

18.

Investigating Dynamic Connectedness of Global Equity Markets: The Role of Investor Attention

Number of pages: 17 Posted: 02 Apr 2022
Indian Institute of Management Indore, Software Competence Center Hagenberg, Indian Institute of Management (IIM), Indore and Indian Institute of Management Lucknow
Downloads 41 (577,852)

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COVID-19, investor attention, equity markets, TVP-VAR, dynamic connectedness.

19.

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