Mark E. Wohar

University of Nebraska at Omaha

UNO/CBA Distinguished Professor

Department of Economics

6708 Pine Street MH 332S

Omaha, NE 68182

United States

http://cba.unomaha.edu/faculty/mwohar/WEB/homepage.html

SCHOLARLY PAPERS

45

DOWNLOADS
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Top 17,324

in Total Papers Downloads

3,030

SSRN CITATIONS
Rank 19,130

SSRN RANKINGS

Top 19,130

in Total Papers Citations

23

CROSSREF CITATIONS

25

Scholarly Papers (45)

1.

The Effects of Brexit on the Pound: Towards a Currency Crisis?

Number of pages: 14 Posted: 24 Jul 2017
Vasilios Plakandaras, Rangan Gupta and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 563 (52,241)

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Brexit, Economic Uncertainty, Machine Learning

2.

Forecasting Returns: New European Evidence

Number of pages: 42 Posted: 07 Nov 2012
Steven J. Jordan, Andrew Vivian and Mark E. Wohar
Econometric Solutions, Loughborough University and University of Nebraska at Omaha
Downloads 309 (106,486)
Citation 3

Abstract:

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Return forecasting, Fundamental ratios, Macro variables, Technical indicators, Europe, Emerging markets

3.

Estimating Taylor-Type Rules: An Unbalanced Regression?

Number of pages: 56 Posted: 19 Nov 2004
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha
Downloads 284 (116,633)
Citation 6

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Taylor rules, stationarity, cointegration

4.

Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets

Number of pages: 47 Posted: 16 Feb 2012 Last Revised: 12 Sep 2013
Board of Governors of the Federal Reserve System, Loughborough University and University of Nebraska at Omaha
Downloads 273 (121,572)
Citation 1

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Asset pricing, Commodity markets, Equity markets, Industry-level returns, Information and market efficiency, Predictability, Underreaction

5.

The Long-Run Linkage between Yields on Treasury and Municipal Bonds and the 1986 Tax Act

Number of pages: 26 Posted: 29 Oct 1997
William J. Crowder and Mark E. Wohar
University of Texas at Arlington - College of Business Administration - Department of Economics and University of Nebraska at Omaha
Downloads 199 (165,782)
Citation 1

Abstract:

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6.

Are Tax Effects Important in the Long-Run Fisher Relation? Evidence from the Municipal Bond Market

Number of pages: 11 Posted: 07 May 1997
William J. Crowder and Mark E. Wohar
University of Texas at Arlington - College of Business Administration - Department of Economics and University of Nebraska at Omaha
Downloads 161 (199,888)
Citation 2

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7.

Erratum to 'The Prebisch-Singer Hypothesis: Four Centuries of Evidence' (Review of Economics and Statistics, 2010, 92, 367-377)

Number of pages: 5 Posted: 31 Jan 2013
University of Nottingham - School of Economics, University of Essex - Essex Business School, Monash University and University of Nebraska at Omaha
Downloads 147 (215,660)
Citation 8

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8.

An Unobserved Components Model That Yields Business and Medium-Run Cycles

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 28 Posted: 24 Apr 2011 Last Revised: 25 Feb 2014
Jun Ma and Mark E. Wohar
Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 120 (252,513)
Citation 2

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Unobserved Components model, trend-cycle decomposition

9.

Price Gap Anomaly in the US Stock Market: The Whole Story

Number of pages: 39 Posted: 10 Oct 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 111 (268,830)

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Price Gap Anomaly, Trading Strategy, Stock Market, Momentum Effect, Efficient Market Hypothesis

10.

The Relationship between Temperature and CO2 Emissions: Evidence from a Short and Very Long Dataset

Number of pages: 27 Posted: 31 Jan 2012
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 109 (270,626)

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Temperature, CO2, Stationarity, VAR

11.

Expected Returns and Expected Dividend Growth: Time to Rethink an Established Empirical Literature

Number of pages: 48 Posted: 08 Mar 2011 Last Revised: 18 Mar 2014
Jun Ma and Mark E. Wohar
Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 104 (279,584)
Citation 1

Abstract:

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stock price decomposition, state-space model, weak identification

12.

Economically-Linked Economies and Forecasting Chinese Stock Returns

Number of pages: 21 Posted: 07 Nov 2012
Steven J. Jordan, Mark E. Wohar and Andrew Vivian
Econometric Solutions, University of Nebraska at Omaha and Loughborough University
Downloads 100 (287,023)

Abstract:

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China, forecast, import, export, macroeconomics, forecast combinations

13.

Rise and Fall of Calendar Anomalies over a Century

University of Pretoria Department of Economics Working Paper Series (2019)
Number of pages: 45 Posted: 25 Apr 2019 Last Revised: 08 May 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 85 (318,263)
Citation 1

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Calendar Anomalies, Day of the Week Effect, Turn of the Month Effect, Turn of the Year Effect, Holiday Effect, Stock Market, Dow Jones Industrial Average Index

14.

Sources of the Stock Price Fluctuations in Chinese Equity Market

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 21 Aug 2012
Zhenhua Su, Jun Ma and Mark E. Wohar
Zhejiang University, Northeastern University - Department of Economics and University of Nebraska at Omaha
Downloads 75 (342,662)

Abstract:

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price decomposition, state-space model, Chinese equity market

15.

Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data

Number of pages: 28 Posted: 24 Jul 2017
Democritus University of Thrace, University of Navarra - Faculty of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 57 (395,199)

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Dynamic Probit Models, Support Vector Machines, U.S. Recessions

16.

Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets

Number of pages: 26 Posted: 27 Feb 2019
Eastern Mediterranean University, IZA Institute of Labor Economics, affiliation not provided to SSRN and University of Nebraska at Omaha
Downloads 54 (405,320)

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Unconventional Monetary Policy, US Financial Markets, Volatility Spillover, STVAR Model

17.

Halloween Effect in Developed Stock Markets: A US Perspective

University of Pretoria, Department of Economics Working Paper Series, No. 2019-14
Number of pages: 49 Posted: 30 Apr 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 39 (462,694)

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Calendar Anomalies, Halloween Effect, Stock Market, Efficient Market Hypothesis

18.

Day-of-the-Week Effect and Spread Determinants: Some International Evidence From Equity Markets

Number of pages: 30 Posted: 13 Aug 2019
University of Patras - Business Administration, University of Lincoln, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and University of Nebraska at Omaha
Downloads 31 (499,562)

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Day-of-the-week, Bid ask spread, Panel error correction, Equity markets

19.

Are BRICS Exchange Rates Chaotic?

Applied Economics Letters, Forthcoming
Number of pages: 9 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics, University of Navarra - Department of Economics and University of Nebraska at Omaha
Downloads 31 (499,562)

Abstract:

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Exchange Rate, Chaos, Lyapunov Exponent

20.

Historical Evolution of Monthly Anomalies in International Stock Markets

Number of pages: 43 Posted: 31 Jul 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 28 (515,389)

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Calendar Anomalies, Month of the Year Effect, Stock Market, Efficient Market Hypothesis, January Effect, December Effect, Mark Twain Effect

21.

U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict

International Review of Finance, Forthcoming
Number of pages: 19 Posted: 19 Jun 2017 Last Revised: 26 May 2018
University of Pretoria - Department of Economics, University of Huddersfield, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 25 (532,549)

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Quantile structural VAR, fiscal policy, stock prices, house prices, partisan conflict

22.

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

CEPR Discussion Paper No. 3983
Number of pages: 39 Posted: 10 Sep 2003
Lucio Sarno, Giorgio Valente and Mark E. Wohar
University of Cambridge - Judge Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR) and University of Nebraska at Omaha
Downloads 24 (538,625)
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

23.

A Cautionary Note on the Order of Integration of Post-War Aggregate Wage, Price and Productivity Measures

Manchester School, Vol. 72, No. 2, pp. 261-282, March 2004
Number of pages: 22 Posted: 17 Mar 2004
Robert Sollis and Mark E. Wohar
University of Newcastle and University of Nebraska at Omaha
Downloads 20 (563,340)
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Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

Number of pages: 43 Posted: 11 Jun 2020
Eastern Mediterranean University, IZA Institute of Labor Economics, Gazi University and University of Nebraska at Omaha
Downloads 11 (648,061)

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Economic Policy Uncertainty, Oil Price Change, Quantile VAR, Relative-Tail-Dependence

Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times

IZA Discussion Paper No. 13274
Number of pages: 44 Posted: 23 May 2020
Eastern Mediterranean University, IZA Institute of Labor Economics, Gazi University and University of Nebraska at Omaha
Downloads 8 (670,817)

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quantile VAR, oil price change, economic policy uncertainty, relative-tail-dependence

25.

Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from over 150 Years of Data

Empirical Economics, Forthcoming
Number of pages: 50 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics, Aristotle University of Thessaloniki - Department of Economics and University of Nebraska at Omaha
Downloads 18 (576,201)

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time-varying VAR, house prices, macroeconomic shocks

26.

Growth Volatility and Inequality in the U.S.: A Wavelet Analysis

Number of pages: 43 Posted: 02 Jun 2018
Univeristy of Pretoria, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 15 (595,461)

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Growth Volatility, Income and Wealth Inequalities, Wavelet Analysis

27.

An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data

Number of pages: 29 Posted: 26 Nov 2018
Vasilios Plakandaras, Rangan Gupta and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 13 (608,913)

Abstract:

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Time-Varying VAR, Macroeconomic Shocks

28.

Greek Government-Debt Crisis Events and European Financial Markets: Surprises of Greek Bond Yields and Inter-Relations of European Financial Markets

Number of pages: 21 Posted: 13 Aug 2019
University of Patras - Business Administration, Sheffield University Management School, University of Lincoln and University of Nebraska at Omaha
Downloads 9 (636,514)

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contagion, Greek debt crisis, realized correlation, correlation jumps

29.

Changes in the Relationship between Short‐Term Interest Rate, Inflation and Growth: Evidence from the UK, 1820–2014

Bulletin of Economic Research, Vol. 71, Issue 4, pp. 616-640, 2019
Number of pages: 25 Posted: 05 May 2020
Erdenebat Bataa, Andrew Vivian and Mark E. Wohar
National University of Mongolia - Department of Economics, Loughborough University and University of Nebraska at Omaha
Downloads 1 (702,586)
Citation 1
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inflation, growth, short term interest rate, structural breaks, VAR

30.

Multi-Horizon Financial and Housing Wealth Effects across the U.S. States

University of Pretoria Department of Economics Working Paper No. 2019-58
Number of pages: 27 Posted: 24 Aug 2019
Capital Markets Board of Turkey, University of Piraeus - Department of Banking and Financial Management, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 1 (702,586)

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consumption, housing wealth effect, financial wealth effect, multi-step causality

31.

Wealth‐To‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

International Review of Finance, Vol. 18, Issue 3, pp. 495-506, 2018
Number of pages: 12 Posted: 17 Sep 2018
Eastern Mediterranean University, University of Pretoria - Department of Economics, University of Minho and University of Nebraska at Omaha
Downloads 1 (702,586)
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32.

Testing the Efficiency of the Art Market Using Quantile‐Based Unit Root Tests with Sharp and Smooth Breaks

The Manchester School, Vol. 86, Issue 4, pp. 488-511, 2018
Number of pages: 24 Posted: 13 Jun 2018
University of Pretoria - Department of Economics, Feng Chia University, National Taichung University of Science and Technology, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 1 (702,586)
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33.

Forecasting US Inflation Using Dynamic General‐To‐Specific Model Selection

Bulletin of Economic Research, Vol. 68, Issue 2, pp. 151-167, 2016
Number of pages: 17 Posted: 11 Apr 2016
Timberlake Consultants, University of Glasgow - Department of Economics and University of Nebraska at Omaha
Downloads 1 (702,586)
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dynamic general‐to‐specific, inflation forecasting

34.

A Panel Analysis of the Stock Return–Dividend Yield Relation: Predicting Returns and Dividend Growth

The Manchester School, Vol. 81, Issue 3, pp. 386-400, 2013
Number of pages: 15 Posted: 17 Apr 2013
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 1 (702,586)
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35.

Profit Persistence Revisited: The Case of the UK

The Manchester School, Vol. 79, Issue 3, pp. 510-527, 2011
Number of pages: 18 Posted: 21 Apr 2011
David G. McMillan and Mark E. Wohar
University of Stirling and University of Nebraska at Omaha
Downloads 1 (702,586)
Citation 1
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36.

What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 2, pp. 311-330, 2020
Number of pages: 20 Posted: 02 Jun 2020
Jun Ma, Andrew Vivian and Mark E. Wohar
Northeastern University - Department of Economics, Loughborough University and University of Nebraska at Omaha
Downloads 0 (720,946)
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37.

Us Fiscal Policy and Asset Prices: The Role of Partisan Conflict

International Review of Finance, Vol. 19, Issue 4, pp. 851-862, 2019
Number of pages: 12 Posted: 26 May 2020
University of Pretoria - Department of Economics, University of Huddersfield - Business School, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
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38.

A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from a Large Data Set

Financial Review, Vol. 52, Issue 3, pp. 405-433, 2017
Number of pages: 29 Posted: 18 Jul 2017
Paul Jones, Eric Olson and Mark E. Wohar
Pepperdine University - Economics, University of Tulsa and University of Nebraska at Omaha
Downloads 0 (720,946)
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informational sufficiency, FAVAR, stock returns

Can the Consumption–Wealth Ratio Predict Housing Returns? Evidence from OECD Countries

Real Estate Economics, Vol. 47, Issue 4, pp. 935-976, 2019
Number of pages: 42 Posted: 04 Jun 2020
Brunel University London - Department of Economics and Finance, affiliation not provided to SSRN and University of Nebraska at Omaha
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Can the Consumption-Wealth Ratio Predict Housing Returns? Evidence from OECD Countries

Real Estate Economics, Forthcoming
Posted: 20 Mar 2015
Brunel University London - Department of Economics and Finance, University of Minho and University of Nebraska at Omaha

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consumption-wealth ratio, housing returns

40.

Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 238-274, 2006
Posted: 29 Feb 2008
David E. Rapach and Mark E. Wohar
Seattle University, Albers School of Business and Economics and University of Nebraska at Omaha

Abstract:

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financial variables, predictive regression model, real stock returns, structural breaks

41.

Identifying Regime Changes in Market Volatility

Journal of Financial Research, Forthcoming
Posted: 15 Feb 2005
Weiyu Guo and Mark E. Wohar
University of Nebraska at Omaha - Department of Finance, Banking & Law and University of Nebraska at Omaha

Abstract:

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Volatility, regime change

42.

Technological Convergence Among Us Regions and States

Economics of Innovation and New Technology, Vol. 13, No. 2, pp. 101-126, March 2004
Posted: 02 Dec 2003
Catherine Y. Co and Mark E. Wohar
University of Nebraska at Omaha - Department of Economics and University of Nebraska at Omaha

Abstract:

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43.

Nonlinear Dynamics and Covered Interest Rate Parity

Empirical Economics, Vol. 23, Issue 4, 1998
Posted: 30 Dec 1998
Nathan S. Balke and Mark E. Wohar
Southern Methodist University (SMU) - Department of Economics and University of Nebraska at Omaha

Abstract:

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44.

Real Interest Rate Parity: A New Test with International Data

Posted: 20 Jul 1998
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha

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Convergence in Interest Rates and Inflation Rates Across Countries and Over Time

REVIEW OF INTERNATIONAL ECONOMICS
Posted: 10 Oct 1996
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha

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Convergence in Interest Rates and Inflation Rates: Across Countries and Over Time

Posted: 07 Dec 1995
Pierre L. Siklos and Mark E. Wohar
Wilfrid Laurier University - School of Business & Economics and University of Nebraska at Omaha

Abstract:

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