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

42

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4,913

SSRN CITATIONS
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Top 18,143

in Total Papers Citations

62

CROSSREF CITATIONS

10

Scholarly Papers (42)

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 740 (62,524)

Abstract:

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Brexit, Economic Uncertainty, Machine Learning

2.

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 356 (151,714)

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

3.

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 343 (157,924)
Citation 6

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

4.

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 324 (167,964)
Citation 8

Abstract:

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Taylor rules, stationarity, cointegration

5.

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 298 (183,437)
Citation 1

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

6.

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 228 (239,780)
Citation 2

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7.

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 195 (277,068)
Citation 2

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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

8.

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 191 (282,250)
Citation 19

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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
University of New Haven, Economic Research Forum (ERF), Gazi University and University of Nebraska at Omaha
Downloads 157 (334,926)
Citation 5

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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
University of New Haven, Economic Research Forum (ERF), Gazi University and University of Nebraska at Omaha
Downloads 33 (830,017)

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

10.

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 178 (300,508)
Citation 2

Abstract:

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11.

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 148 (353,465)

Abstract:

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

12.

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 146 (355,410)
Citation 2

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Unobserved Components model, trend-cycle decomposition

13.

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 144 (359,391)

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Temperature, CO2, Stationarity, VAR

14.

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 130 (389,212)
Citation 1

Abstract:

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stock price decomposition, state-space model, weak identification

15.

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 122 (408,433)

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

16.

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 97 (481,821)

Abstract:

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price decomposition, state-space model, Chinese equity market

17.

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

Number of pages: 26 Posted: 27 Feb 2019
University of New Haven, Economic Research Forum (ERF), affiliation not provided to SSRN and University of Nebraska at Omaha
Downloads 89 (509,154)
Citation 5

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

18.

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 88 (512,756)

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

19.

Housing and Economic Policy Uncertainty in the OECD Countries

Number of pages: 25 Posted: 26 Oct 2020
University of New Haven, Montpellier Business School, Eastern Mediterranean University and University of Nebraska at Omaha
Downloads 83 (531,511)
Citation 1

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housing price, economic policy uncertainty, panel vector auto-regression

Effectives of monetary policy under the high and low economic uncertainty states: Evidence from the major Asian economies

Number of pages: 30 Posted: 01 Jun 2021
University of New Haven, Economic Research Forum (ERF), Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 51 (698,530)

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Economic policy uncertainty, monetary policy efficiency, quantile spillover, QVAR

Effectives of Monetary Policy Under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies

IZA Discussion Paper No. 14420
Number of pages: 32 Posted: 12 Jun 2021
University of New Haven, Economic Research Forum (ERF), Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 27 (882,532)

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21.

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 73 (572,507)
Citation 3

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

22.

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 73 (572,507)

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

23.

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 70 (585,618)

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Exchange Rate, Chaos, Lyapunov Exponent

24.

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 67 (599,463)

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time-varying VAR, house prices, macroeconomic shocks

25.

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

Physica A: Statistical Mechanics and its Applications, May 2019
Number of pages: 43 Posted: 02 Jun 2018 Last Revised: 27 Jul 2020
Univeristy of Pretoria, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 67 (599,463)

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Growth Volatility, Income and Wealth Inequalities, Wavelet Analysis

26.

Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach

Number of pages: 59 Posted: 04 Aug 2022 Last Revised: 18 Jul 2023
Ilias Chondrogiannis, Andrew Vivian and Mark E. Wohar
University College London - School of Slavonic and East European Studies, Loughborough University and University of Nebraska at Omaha
Downloads 63 (623,721)

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Return forecasting, Sum of the Parts, Global asset allocation, EMD, International portfolio optimisation

27.

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

Number of pages: 30 Posted: 13 Aug 2019
Hellenic Mediterranean University, University of Lincoln, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and University of Nebraska at Omaha
Downloads 63 (618,575)
Citation 1

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

28.

How Does the Economic Uncertainty Affect Asset Prices Under Normal and Financial Distress Times?

IZA Discussion Paper No. 15296
Number of pages: 28 Posted: 19 May 2022
University of New Haven, Economic Research Forum (ERF), Gazi University, Gazi University and University of Nebraska at Omaha
Downloads 57 (649,916)

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asset prices, economic uncertainty, financial conditions, regime switching, US

29.

Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

University of Nebraska and Loughborough University Working Paper: 2020-16
Number of pages: 32 Posted: 19 Feb 2021
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 51 (683,735)

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Overreaction, Momentum Effect, Contrarian Effect, Abnormal Returns, Stock Market; Dow Jones Index

30.

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
Hellenic Mediterranean University, Sheffield University Management School, University of Lincoln and University of Nebraska at Omaha
Downloads 49 (695,891)

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contagion, Greek debt crisis, realized correlation, correlation jumps

31.

Yield Curve Shocks: Identification and Information Sufficiency

Number of pages: 29 Posted: 11 Jul 2022
Eric Olson, Eric Olson, Victor Valcarcel and Mark E. Wohar
IndependentUniversity of Tulsa, University of Texas at Dallas and University of Nebraska at Omaha
Downloads 37 (776,479)

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Monetary Policy, Expected Inflation, Informational Sufficiency

32.

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 35 (791,459)

Abstract:

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Time-Varying VAR, Macroeconomic Shocks

33.

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

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 (883,344)
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

34.

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 16 (961,086)

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

35.

Estimation of Value at Risk for Copper

Journal of Commodity Markets (2023), doi: https://doi.org/10.1016/ j.jcomm.2023.100351.
Posted: 18 Sep 2023
University of Patras, University of Patras - Business Administration, National and Kapodistrian University of Athens and University of Nebraska at Omaha

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Commodities market; Copper; VaR forecasts; GARCH-Type models; CAViaR; DQR; JEL

36.

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

37.

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

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

38.

Identifying Regime Changes in Market Volatility

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

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Volatility, regime change

39.

Technological Convergence Among Us Regions and States

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

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40.

Nonlinear Dynamics and Covered Interest Rate Parity

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

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41.

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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