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

36

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CITATIONS
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17

Scholarly Papers (36)

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 357 (81,630)

Abstract:

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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 303 (97,440)

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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 278 (106,856)
Citation 8

Abstract:

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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 257 (116,041)

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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 197 (150,447)

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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 157 (183,975)
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 134 (209,399)

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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 113 (238,241)

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Unobserved Components model, trend-cycle decomposition

9.

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 105 (250,898)

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Temperature, CO2, Stationarity, VAR

10.

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 99 (261,138)

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stock price decomposition, state-space model, weak identification

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 97 (264,622)

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

12.

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 73 (314,786)

Abstract:

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price decomposition, state-space model, Chinese equity market

13.

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 49 (382,876)

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

14.

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 26 (476,623)

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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

15.

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

Number of pages: 26 Posted: 27 Feb 2019
Eastern Mediterranean University, Gazi University, affiliation not provided to SSRN and University of Nebraska at Omaha
Downloads 24 (487,483)

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

16.

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
City University London - Sir John Cass Business School, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and University of Nebraska at Omaha
Downloads 24 (487,483)
Citation 6
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Foreign exchange, monetary fundamentals, non-linearity, regime switching

17.

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, Northumbria University, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 23 (492,893)

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

18.

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
Newcastle University (UK) and University of Nebraska at Omaha
Downloads 20 (509,761)
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19.

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 14 (544,064)

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

20.

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 11 (561,759)

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time-varying VAR, house prices, macroeconomic shocks

21.

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 8 (579,644)

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Growth Volatility, Income and Wealth Inequalities, Wavelet Analysis

22.

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 6 (591,828)

Abstract:

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Time-Varying VAR, Macroeconomic Shocks

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 5 (598,030)

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Exchange Rate, Chaos, Lyapunov Exponent

24.

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 (633,452)
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25.

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 (633,452)
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26.

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 (633,452)
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dynamic general‐to‐specific, inflation forecasting

27.

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 (633,452)
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28.

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 (633,452)
Citation 1
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29.

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, West Virginia University and University of Nebraska at Omaha
Downloads 0 (650,903)
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informational sufficiency, FAVAR, stock returns

30.

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

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

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consumption-wealth ratio, housing returns

31.

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

32.

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

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Volatility, regime change

33.

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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34.

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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35.

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

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