Dirk G. Baur

University of Western Australia - Business School

School of Business

35 Stirling Highway

Crawley, Western Australia 6009

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

74

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CITATIONS
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106

Scholarly Papers (74)

Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold

Number of pages: 29 Posted: 19 Dec 2006 Last Revised: 01 Sep 2015
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 4,260 (1,806)
Citation 27

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safe haven, hedge, hedging, gold, portfolio, stock market, bond market, stock-bond relationship

Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

Financial Review, Vol. 45, Issue 2, pp. 217-229, May 2010
Number of pages: 13 Posted: 12 Apr 2010
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 3 (622,062)
Citation 27
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2.

Bitcoin: Medium of Exchange or Speculative Assets?

Number of pages: 31 Posted: 07 Feb 2015 Last Revised: 26 Sep 2017
Dirk G. Baur, Kihoon Hong and Adrian D. Lee
University of Western Australia - Business School, University of Technology Sydney (UTS) and University of Technology, Sydney - Finance Discipline Group
Downloads 2,182 (5,807)

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Bitcoin; digital currency; alternative currency; medium of exchange; asset class; safe haven

3.

Is Gold a Safe Haven? International Evidence

Number of pages: 35 Posted: 08 Dec 2009
Dirk G. Baur and Thomas K. J. McDermott
University of Western Australia - Business School and SEMRU, Whitaker Institute, NUI Galway
Downloads 1,580 (9,981)
Citation 16

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gold, safe haven, financial markets, uncertainty

4.

Case Study: Porsche versus Volkswagen

Number of pages: 12 Posted: 23 Aug 2015
Dirk G. Baur
University of Western Australia - Business School
Downloads 1,556 (10,242)

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Porsche; Volkswagen; takeover; short squeeze; hedge funds

5.

The Seasonality of Gold - The Autumn Effect

Number of pages: 22 Posted: 23 Jan 2012 Last Revised: 09 Oct 2012
Dirk G. Baur
University of Western Australia - Business School
Downloads 1,247 (14,535)

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seasonality, anomaly, gold, silver, hedge, safe haven

6.

Asymmetric Volatility in the Gold Market

Number of pages: 29 Posted: 22 Dec 2009 Last Revised: 04 Apr 2011
Dirk G. Baur
University of Western Australia - Business School
Downloads 1,168 (16,157)
Citation 4

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gold, commodities, volatility asymmetry, leverage effect, volatility feedback effect, uncertainty

7.

Central Banks and Gold

FIRN Research Paper
Number of pages: 33 Posted: 17 Sep 2013 Last Revised: 10 Nov 2016
Dirk G. Baur
University of Western Australia - Business School
Downloads 1,148 (16,554)

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gold, manipulation, central banks, gold lending, gold carry trade

8.

The Effect of Credit Risk Transfer on Financial Stability

EUR Working Paper No. 21521 EN
Number of pages: 24 Posted: 08 Feb 2006
Dirk G. Baur and Elisabeth Joossens
University of Western Australia - Business School and Joint Research Centre
Downloads 896 (23,882)
Citation 4

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CDOs, CDS, Systemic risk, financial stability, securitization, economic capital

9.

Excess Volatility as an Impediment for a Digital Currency

Number of pages: 40 Posted: 11 Apr 2017 Last Revised: 04 May 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 888 (24,255)

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Bitcoin, digital currency, medium of exchange, realized volatility

10.

Does the Mobility of Football Players Influence the Success of the National Team?

IIIS Discussion Paper No. 217
Number of pages: 26 Posted: 18 Apr 2007 Last Revised: 20 Aug 2008
Dirk G. Baur and Sibylle Lehmann
University of Western Australia - Business School and Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Research on Collective Goods
Downloads 885 (24,331)
Citation 3

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Football, International Trade, Transfer market

11.

The Benefits of Financial Markets: A Case Study of European Football Clubs

Number of pages: 20 Posted: 27 Jan 2009 Last Revised: 02 Feb 2009
Dirk G. Baur and Conor McKeating
University of Western Australia - Business School and Dublin City University
Downloads 848 (25,867)
Citation 1

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football, public markets, IPO

12.

The Financial Economics of Gold – A Survey

FIRN Research Paper No. 2628018
Number of pages: 60 Posted: 09 Jul 2015
University College Cork, Trinity Business School, Trinity College Dublin, Universiti Utara Malaysia and University of Western Australia - Business School
Downloads 823 (27,039)

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Gold, survey, review

13.

What is Co-Movement?

EUR Working Paper No. 20759 EN
Number of pages: 28 Posted: 01 Aug 2004
Dirk G. Baur
University of Western Australia - Business School
Downloads 821 (27,134)
Citation 2

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Co-movement, copula, tail dependence, Multinomial Logit Model, Multivariate GARCH

14.

Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

Number of pages: 21 Posted: 19 Dec 2017 Last Revised: 21 Dec 2017
University of Western Australia - Business School, University of Western Australia, The University of Western Australia - Department of Accounting and Finance and The University of Western Australia Business School
Downloads 759 (30,195)

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Bitcoin; blockchain; day-of-week effects; January effect; Halloween effect; arbitrage; market efficiency

15.

Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations

IIIS Discussion Paper No. 122
Number of pages: 27 Posted: 02 Mar 2006 Last Revised: 14 Jul 2009
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 612 (40,380)
Citation 8

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flight-to-quality, flight-from-quality, cross-asset contagion, cross-country contagion, multivariate GARCH, panel regression

16.

Exchange-Traded Funds on Gold - A Free Lunch?

FIRN Research Paper
Number of pages: 23 Posted: 25 Jul 2013 Last Revised: 05 Aug 2013
Dirk G. Baur
University of Western Australia - Business School
Downloads 538 (47,673)

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exchange-traded funds (ETFs), physical ETFs, synthetic ETFs, gold, financialization

17.

Gold - Fundamental Drivers and Asset Allocation

Number of pages: 50 Posted: 01 Apr 2013
Dirk G. Baur
University of Western Australia - Business School
Downloads 532 (48,366)

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gold, fundamental drivers, risk factors, gold in asset allocation, gold standard

18.

Speculative Trading in the Gold Market

International Review of Financial Analysis, Vol. 39, May 2015
Number of pages: 27 Posted: 25 Oct 2012 Last Revised: 23 Sep 2015
Dirk G. Baur and Kristoffer J. Glover
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 520 (49,853)

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speculation, gold, bubble, heterogeneous agents, chartists, explosive process

19.

Stock Return Autocorrelations Revisited: A Quantile Regression Approach

Journal of Empirical Finance, Vol. 19, Issue 2, pp. 251-265, March 2012
Number of pages: 25 Posted: 20 Dec 2011 Last Revised: 09 Oct 2012
Dirk G. Baur, Thomas Dimpfl and Robert Jung
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute of Economics
Downloads 467 (57,059)
Citation 1

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stock return distribution, quantile autoregression, overreaction and underreaction

20.

Integration and Competition in Securities Trading, Clearing and Settlement

Number of pages: 23 Posted: 23 Mar 2006
Dirk G. Baur
University of Western Australia - Business School
Downloads 463 (57,647)
Citation 1

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clearing and settlement, vertical integration, horizontal integration, consolidation, competition

21.

The Risk of Beta – Investor Learning and Prospect Theory

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 40 Posted: 15 Jan 2010 Last Revised: 14 Mar 2010
Dirk G. Baur and Niels Schulze
University of Western Australia - Business School and Deutsche Bundesbank - Financial Stability Department
Downloads 448 (60,067)

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Systematic risk, quantile regression, investor learning, herding, prospect theory, correlation asymmetry, asset pricing

22.

A Flexible Dynamic Correlation Model

Number of pages: 36 Posted: 25 Feb 2003
Dirk G. Baur
University of Western Australia - Business School
Downloads 428 (63,487)
Citation 2

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Multivariate GARCH, BEKK, Covariance Models,

23.

Corporate Integrity

Number of pages: 19 Posted: 29 Aug 2008
Dirk G. Baur
University of Western Australia - Business School
Downloads 412 (66,672)

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integrity, corporate integrity, corporate governance, executive compensation, shareholder activism

24.

Coexceedances in Financial Markets - a Quantile Regression Analysis of Contagion

University of Tuebingen Economics Discussion Paper No. 253
Number of pages: 23 Posted: 17 Nov 2003
Dirk G. Baur and Niels Schulze
University of Western Australia - Business School and Deutsche Bundesbank - Financial Stability Department
Downloads 378 (73,575)
Citation 9

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Financial Crises, Contagion, Coexceedances, Quantile Regression

25.

Financial Turmoil and Safe Haven Assets

Number of pages: 34 Posted: 14 Feb 2012 Last Revised: 12 May 2013
Dirk G. Baur and Thomas K. J. McDermott
University of Western Australia - Business School and SEMRU, Whitaker Institute, NUI Galway
Downloads 375 (74,254)
Citation 1

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safe haven, safe assets, uncertainty, gold, US government bonds, Ellsberg decision rule, ambiguity-aversion, black swan event, contagion

26.

The Destruction of a Safe Haven Asset?

Number of pages: 19 Posted: 07 Sep 2012
Dirk G. Baur and Kristoffer J. Glover
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 373 (74,686)
Citation 1

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safe haven, gold, investor behavior, funding constraints, contagion

27.
Downloads 347 ( 81,208)
Citation 4

Financial Contagion and the Real Economy

CAMA Working Paper No.16/2010
Number of pages: 35 Posted: 01 Sep 2010 Last Revised: 03 Dec 2010
Dirk G. Baur
University of Western Australia - Business School
Downloads 261 (110,428)
Citation 4

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contagion, stock market contagion, sector contagion, financial crisis, financial crisis definition

Financial Contagion and the Real Economy

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 34 Posted: 18 Aug 2010
Dirk G. Baur
University of Western Australia - Business School
Downloads 86 (280,451)
Citation 4

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contagion, stock market contagion, sector contagion, financial crisis, financial crisis definition, crisis period identification

28.

Global Sensitivity Analysis for Latent Factor Credit Risk Models

Number of pages: 29 Posted: 03 Jan 2005
University of Western Australia - Business School, European Commission Joint Research Center and Europoean Commission - Joint Reserach Centre
Downloads 314 (90,984)

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Credit risk model, latent factor model, copula, global sensitivity analysis

29.

Stock-Bond Co-Movements and Cross-Country Linkages

IIIS Discussion Paper No. 216
Number of pages: 27 Posted: 05 Apr 2007 Last Revised: 08 Apr 2009
Dirk G. Baur
University of Western Australia - Business School
Downloads 312 (91,643)
Citation 3

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stock market co-movements, bond market co-movements, stock-bond co-movements, flight-to-quality, contagion

30.

Investing in Gold - Market Timing or Buy-and-Hold?

Number of pages: 33 Posted: 17 Jul 2018 Last Revised: 15 Nov 2018
University of Western Australia - Business School, dichtl research & consulting GmbH, Hamburg University and University of Hamburg
Downloads 308 (92,955)

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gold; market efficiency; investment strategies; monthly seasonalities; fundamental factors; technical indicators; superior predictive ability test

31.

Heterogeneous Expectations in the Gold Market: Specification and Estimation

Journal of Economic Dynamics and Control, Vol. 40, 2014
Number of pages: 40 Posted: 24 Dec 2011 Last Revised: 23 Sep 2015
Dirk G. Baur and Kristoffer J. Glover
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 307 (93,307)

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gold price, heterogeneous agents, switching, bubbles, STR models

32.

Financial Stability and Extreme Market Conditions

European Communities Working Paper No. 22174
Number of pages: 15 Posted: 01 Jun 2006
Niels Schulze and Dirk G. Baur
Deutsche Bundesbank - Financial Stability Department and University of Western Australia - Business School
Downloads 303 (94,650)

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Financial stability, Systemic risk, Contagion, Quantile regression

33.

International Investors, Exchange Rates and Equity Prices

FIRN Research Paper
Number of pages: 60 Posted: 03 Feb 2014 Last Revised: 20 Feb 2014
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 297 (96,717)

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exchange rates, equity-currency correlation, international investors, Uncovered Equity Parity

34.

Bitcoin, Gold and the Dollar - A Replication and Extension

Number of pages: 21 Posted: 24 Aug 2017 Last Revised: 26 Aug 2017
Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and University of Hohenheim - Institute for Economics (520K) - Department of Econometrics and Statistics
Downloads 261 (110,951)

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replication study, Bitcoin, cryptocurrencies

35.

The Long-Run Relationship of Gold and Silver and the Influence of Bubbles and Financial Crises

Number of pages: 28 Posted: 06 Mar 2012 Last Revised: 14 Mar 2015
Dirk G. Baur and Duy Tien Tran
University of Western Australia - Business School and The University of Western Australia - UWA Business School
Downloads 252 (115,145)

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co-integration, nonlinear error-correction, Granger causality, gold, silver, bubbles, financial crisis

36.

Bayesian Model Averaging, Ordinary Least Squares and the Price of Gold

Number of pages: 28 Posted: 09 Feb 2017
Dirk G. Baur and Brian M. Lucey
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 237 (122,446)

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Gold, bayesian model averaging, model uncertainty

37.

Virtual Currencies: Media of Exchange or Speculative Asset?

SWIFT Institute Working Paper No. 2014-007
Number of pages: 33 Posted: 06 Jul 2016
Dirk G. Baur, Kihoon Hong and Adrian D. Lee
University of Western Australia - Business School, University of Technology Sydney (UTS) and University of Technology, Sydney - Finance Discipline Group
Downloads 228 (127,324)

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Bitcoin; Virtual Currency; Digital Currency; Alternative Currency; Medium of Exchange; Asset Class; Safe Haven

38.

Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?

Ruhr Economic Paper No. 506
Number of pages: 29 Posted: 08 Feb 2015
Dirk G. Baur, Joscha Beckmann and Robert Czudaj
University of Western Australia - Business School, University of Duisburg-Essen - Department of Economics and Business Administration and University of Duisburg-Essen
Downloads 223 (130,074)

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Bayesian econometrics; dynamic model averaging; forecasting; gold

39.

Do Gold Prices Cause Production Costs? Evidence from Country and Company Data

FIRN Research Paper No. 2507733
Number of pages: 27 Posted: 09 Oct 2014 Last Revised: 04 Feb 2015
University College Cork, University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 213 (135,895)

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gold price, gold production costs, mining, causality, real optionality, Ricardo

40.

Explanatory Mining for Gold: Contrasting Evidence from Simple and Multiple Regressions

Number of pages: 24 Posted: 20 Sep 2010
Dirk G. Baur
University of Western Australia - Business School
Downloads 211 (137,125)
Citation 2

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gold, store of value, inflation hedge, exchange rate, safe haven, uncertainty, cost of carry

41.

Multivariate Contagion and Interdependence

Number of pages: 33 Posted: 23 Jan 2006 Last Revised: 25 Jan 2009
Dirk G. Baur and Renee Fry
University of Western Australia - Business School and Australian National University (ANU) - Department of Economics
Downloads 185 (154,981)
Citation 2

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contagion, interdependence, common movements, panel data, fixed time effects, Asian crisis, equity markets, endogenous crisis period, asymmetries

42.

Purchasing Power Parity: Granger Causality Tests for the Yen-Dollar Exchange Rate

Tuebingen University Working Paper No. 213
Number of pages: 22 Posted: 17 Jun 2005
Gunther Schnabl and Dirk G. Baur
University of Leipzig - Institute for Economic Policy and University of Western Australia - Business School
Downloads 184 (155,747)
Citation 7

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Yen, yen-dollar exchange rate, purchasing power parity, Granger causality test

43.

Predicting the Equity Premium with the Demand for Gold Coins and Bars

FIRN Research Paper
Number of pages: 15 Posted: 05 Jun 2013 Last Revised: 06 Feb 2015
Dirk G. Baur and Gunter Löffler
University of Western Australia - Business School and University of Ulm - Department of Mathematics and Economics
Downloads 183 (156,547)

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equity premium, stock returns, gold, gold coins, dividend yield, predictive regressions

44.

The Contradiction of the Time Value of Money and Sustainability

Number of pages: 14 Posted: 13 May 2015
Dirk G. Baur and Thomas Lagoarde-Segot
University of Western Australia - Business School and Euromed Management Marseille
Downloads 180 (158,876)

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time value of money; capital budgeting; inter-generational equity; separation of ownership and management; lack of commitment

45.

Gold Mining Companies and the Price of Gold

Number of pages: 23 Posted: 27 Feb 2012 Last Revised: 07 May 2014
Dirk G. Baur
University of Western Australia - Business School
Downloads 178 (160,481)

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gold, gold-mining stocks, asymmetric payoff, real options, exchange-traded funds

46.

Think Again: Volatility Asymmetry and Volatility Persistence

Number of pages: 37 Posted: 08 Jul 2016 Last Revised: 09 Feb 2017
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 172 (165,372)

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volatility asymmetry; volatility persistence; volatility feedback; GARCH; realized volatility; jumps; quantile regression

47.

Price Discovery in Bitcoin Spot or Futures?

Number of pages: 35 Posted: 13 May 2018 Last Revised: 01 Dec 2018
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 163 (173,312)

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Bitcoin, Futures, Price Discovery, Co-Integration, Information Shares

48.

I Am a Blockchain Too...

Number of pages: 28 Posted: 06 Jun 2018 Last Revised: 23 Oct 2018
University of Western Australia, University of Western Australia - Business School, The University of Western Australia Business School and The University of Western Australia
Downloads 148 (187,909)

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Blockchain; Bitcoin; announcement; event study; investor attention.

49.

State-Dependent Momentum in International Stock Markets

Number of pages: 37 Posted: 10 Jul 2012
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 148 (187,909)

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quantile autoregression (QAR), return autocorrelation, investor behavior, momentum, underreaction, financial crisis

50.

Why Do Central Banks Hold Gold? An Analysis of Trust

Number of pages: 50 Posted: 14 Jun 2013 Last Revised: 07 Aug 2013
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 144 (192,175)

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central bank reserves, central bank gold reserves, gold, sovereign debt, trust

51.

Gold and Geopolitical Risk

Number of pages: 25 Posted: 13 Feb 2018
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 141 (195,495)

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Gold; safe haven; geopolitical risks; VIX; precious metals; Bitcoin

52.

Momentum in the Irish Stock Market

Number of pages: 19 Posted: 21 Aug 2008
Dan J. O'Donnell and Dirk G. Baur
affiliation not provided to SSRN and University of Western Australia - Business School
Downloads 140 (196,588)

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momentum, anomaly, market efficiency

53.

Monopoly in Real Life - The Housing Market, Finance and Inequality

Number of pages: 28 Posted: 15 Mar 2017 Last Revised: 15 Aug 2017
Dirk G. Baur
University of Western Australia - Business School
Downloads 138 (198,888)

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house prices; borrowing constraints; debt; inequality; monetary policy; board game Monopoly

54.

Bubbles and Crashes in the Australian Residential Property Market

Number of pages: 40 Posted: 09 Oct 2016 Last Revised: 03 May 2017
Dirk G. Baur and Richard A. Heaney
University of Western Australia - Business School and University of Western Australia
Downloads 130 (208,649)

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Australian housing market, bubbles, crashes; contagion, diversification

55.

The Structure and Degree of Dependence - A Quantile Regression Approach

Number of pages: 40 Posted: 04 Apr 2011
Dirk G. Baur
University of Western Australia - Business School
Downloads 129 (209,885)
Citation 1

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quantile regression, copula, dependence modelling, tail dependence, contagion, financial crises

56.

The Role of Gold and the VIX in Investment Portfolios – A Financial and Sustainability Perspective

Number of pages: 33 Posted: 14 Nov 2017
Dirk G. Baur and Josua Oll
University of Western Australia - Business School and University of Hamburg
Downloads 108 (239,353)

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gold; sustainability; VIX; carbon emissions

57.

Googling Gold and Mining Bad News

Number of pages: 17 Posted: 08 Jan 2016 Last Revised: 28 Jul 2016
Dirk G. Baur and Thomas Dimpfl
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 97 (257,676)

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gold, volatility, investor attention, google, search queries

58.

Multivariate Market Association and its Extremes

Technical EUR Report No. 20701 EN
Number of pages: 25 Posted: 27 Aug 2003
Dirk G. Baur
University of Western Australia - Business School
Downloads 93 (264,785)
Citation 3

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cross-sectional dispersion, correlation asymmetry, quantile regression

59.

The Gold Fixing Game

Number of pages: 63 Posted: 07 Jul 2014
Dirk G. Baur
University of Western Australia - Business School
Downloads 91 (268,489)

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manipulation; misbehaviour, gold; gold price fixing; role-play; simulation

60.

Market Integration and Contagion – The Curious Case of the Eurozone Debt Crisis

FIRN Research Paper No. 2759648
Number of pages: 34 Posted: 09 Apr 2016 Last Revised: 17 May 2016
Dirk G. Baur
University of Western Australia - Business School
Downloads 89 (272,252)

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contagion; correlations; co-exceedances; decoupling; flight to quality; market integration; Eurozone debt crisis

61.

Why is Gold a Safe Haven? (Presentation Slides)

Journal of Behavioral and Experimental Finance, Forthcoming
Number of pages: 8 Posted: 03 May 2016
Dirk G. Baur and Thomas K. J. McDermott
University of Western Australia - Business School and SEMRU, Whitaker Institute, NUI Galway
Downloads 85 (280,062)

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safe haven; safe assets; gold; US government bonds; flight to quality; flight to gold; decision-making under stress; local thinking

62.

No Puzzle: The Foreign Exchange Exposure of Australian Firms

Number of pages: 32 Posted: 16 Mar 2013
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 85 (280,062)

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exchange rate risk, FX exposure, asymmetric exposure, commodity currency

63.

Gold and Currencies

Number of pages: 26 Posted: 31 Jan 2017 Last Revised: 01 Feb 2017
Dirk G. Baur
University of Western Australia - Business School
Downloads 78 (294,868)

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gold, exchange rates, law of one price, numeraire, commodities, VAR

64.

The Stock Market, the Real Economy and Contagion

Number of pages: 61 Posted: 03 Jul 2014
Dirk G. Baur and Isaac Miyakawa
University of Western Australia - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 73 (306,449)
Citation 4

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global stock markets; real economic activity; predictive regressions; contagion; financial crises; co-integration

65.

House Prices and Economic Risks - Are Irish Households Rational?

Number of pages: 33 Posted: 21 Aug 2008
Dirk G. Baur and Conor McKeating
University of Western Australia - Business School and Dublin City University
Downloads 67 (321,048)

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house prices, economic risk, household investment decisions

66.

Global Valuation of Firms in a Natural Experiment

Number of pages: 17 Posted: 08 Aug 2017
Dirk G. Baur and Sreevijay Rajakumar
University of Western Australia - Business School and The University of Western Australia - UWA Business School
Downloads 54 (357,403)

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67.

Inter-Quantile Ranges and Volatility of Financial Data

Number of pages: 34 Posted: 08 Sep 2016 Last Revised: 05 Oct 2016
Thomas Dimpfl and Dirk G. Baur
University of Tuebingen - Department of Statistics and Econometrics and University of Western Australia - Business School
Downloads 53 (360,526)

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quantile autoregression (QAR), asymmetric volatility, inter-quantile range

68.

A Storm But No Damage? A Two-Country Equity and Currency Market Perspective of Brexit

Number of pages: 31 Posted: 20 Mar 2018
University of Western Australia - Business School, University of Tuebingen - Department of Statistics and Econometrics and The University of Western Australia
Downloads 37 (415,958)

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Brexit, Cross-Listing, Price Discovery, Volatility, High-Frequency Data, Contagion

69.

The Timing of the Flight to Gold: An Intra-Day Analysis of Gold and the S&P500

Number of pages: 17 Posted: 23 Sep 2018
Dirk G. Baur and Konstantin Kuck
University of Western Australia - Business School and University of Hohenheim - Institute for Economics (520K) - Department of Econometrics and Statistics
Downloads 27 (459,452)

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Gold, safehaven, intra-day data, high-frequency

70.

Electric Vehicle Production and the Price of Lithium

Number of pages: 37 Posted: 30 Nov 2018
Dirk G. Baur and Darren Gan
University of Western Australia - Business School and The University of Western Australia - UWA Business School
Downloads 17 (513,611)

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car manufacturers; electric vehicles; lithium; oil; government regulation

71.

Is Contagion Infecting Your Portfolio? A Study of the Euro Sovereign Debt Crisis

Journal of Fixed Income, Vol. 25, No. 3, 2016
Posted: 15 Nov 2017
Dirk G. Baur and Gunter Löffler
University of Western Australia - Business School and University of Ulm - Department of Mathematics and Economics

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contagion; Eurozone crisis; co-exceedanes; persistence

72.

Return and Volatility Linkages between the Us and the German Stock Market

Journal of International Money and Finance, Vol. 25, No. 4 , pp. 598-613 , June 2006
Posted: 15 Jun 2006
Dirk G. Baur and Robert Jung
University of Western Australia - Business School and University of Hohenheim - Institute of Economics

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Spillovers, Contemporaneous correlation, Information transmission, Intra-day data, GARCH models

73.

Testing for Contagion - Mean and Volatility Contagion

Journal of Multinational Financial Management, Vol. 13, Nos. 4-5 , pp. 405-422, December 2003
Posted: 14 Jun 2006
Dirk G. Baur
University of Western Australia - Business School

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Comovement, Contagion, Correlation, Spillover

74.

Modelling the Effects of Meteorological Variables on Ozone Concentration - a Quantile Regression Approach

Atmospheric Environment, Vol. 38, No. 28, pp. 4689-4699, 2004
Posted: 27 Jan 2005
Dirk G. Baur, Michaela Saisana and Niels Schulze
University of Western Australia - Business School, Joint Research Centre, Italy and Deutsche Bundesbank - Financial Stability Department

Abstract:

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Air pollution, Photochemical modeling, Quantile regression, Conditional density estimation

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

Automobile Manufacturers, Electric Vehicles and the Price of Oil

Energy Economics, Vol. 74, 2018, 252 - 262.
Posted: 06 Jun 2017 Last Revised: 21 Oct 2018
Dirk G. Baur and Neda Todorova
University of Western Australia - Business School and Griffith University

Abstract:

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Automobile companies, Oil prices, Electric vehicles, Financialization