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Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach
Prior studies on the price formation in the Bitcoin market consider the role of Bitcoin transactions at the conditional mean of the returns distribution. This study employs in contrast aExpand
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Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns intoExpand
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The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries
This study reexamines the causal link between electricity consumption, economic growth and CO2 emissions in the BRICS countries (i.e., Brazil, Russia, India, China, and South Africa) for the periodExpand
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Has oil price predicted stock returns for over a century
This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150 yearsExpand
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Uncertainty and Crude Oil Returns
We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct multivariate distributions of time-series data permit the calculation of theExpand
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Are there environmental Kuznets curves for US state-level CO2 emissions?
The Environmental Kuznets Curve (EKC) hypothesis argues that the relationship between the pollutant and output is inverted U-shaped, implying that environmental degradation increases with outputExpand
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Herding behaviour in cryptocurrencies
This study examines the presence of herding behaviour in the cryptocurrency market. The latter is the outcome of mass collaboration and imitation. Results from the static model suggest no significantExpand
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The Time-Series Properties of House Prices: A Case Study of the Southern California Market
We examine the time-series relationship between house prices in eight Southern California metropolitan statistical areas (MSAs). First, we perform cointegration tests of the house price indexes forExpand
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Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test
Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high uncertainty. We contribute to this researchExpand
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Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics
This paper considers how monetary policy, a Federal funds rate shock, affects the dynamics of the US housing sector and whether the financial market liberalization of the early 1980’s influencedExpand
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