- UPSpace Home
- →
- Economic and Management Sciences
- →
- Browsing Economic and Management Sciences by Author
JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing Economic and Management Sciences by Author "Salisu, Afees A."
Now showing items 1-20 of 29
-
Salisu, Afees A.; Gupta, Rangan; Nel, Jacobus; Bouri, Elie (Elsevier, 2022-09)Recent studies show that El Niño episodes are generally inflationary because they tend to increase the prices of agricultural commodities and crude oil. Given this, in this paper we examine the inflation-hedging property ...
-
Tumala, Mohammed M.; Salisu, Afees A.; Nmadu, Yaaba B. (Elsevier, 2023-08)In this study, we investigate the connection between climate change and the volatility of fossil fuel prices using the GARCH-MIDAS framework which accommodates mixed data frequencies and by extension circumvents information ...
-
Salisu, Afees A.; Hammed, Yinka S.; Ouattara, Ibrahim Ngananga (MDPI, 2023-10-06)Given the renewed interest in Real Estate Investment Trusts (REITs), we are keenly focused on exploring the possible connection between climate change and return volatility of US equity REITs, as well as the role of ...
-
Salisu, Afees A.; Olaniran, Abeeb; Lasisi, Lukman (Elsevier, 2023-05)In this paper, we examine the predictive content of both transition and physical risks for the volatility of gold return as well as the utility gains of observing these risks. Our results offer the following distinct ...
-
Salisu, Afees A.; Gupta, Rangan (Routledge, 2022)We forecast real stock returns of South Africa over the monthly period of 1915:01 to 2021:03 using real oil, gold and silver prices, based on an autoregressive type distributed lag model that controls for persistence and ...
-
Salisu, Afees A.; Salisu, Sulaiman; Salisu, Subair (Elsevier, 2023-11)We focus on computing the geopolitical risk index (GPRI) for Nigeria, the largest economy in Africa. The country has faced crises, including Boko Haram insurgency, banditry, kidnapping, EndSARS, and regional secession, ...
-
Salisu, Afees A.; Gupta, Rangan (Routledge, 2021)We use constant and time-varying parameters vector autoregressive models that allow the estimation of the impact of monetary policy shocks on volatility of macroeconomic variables in the United Kingdom. Estimates suggest ...
-
Salisu, Afees A.; Gupta, Rangan; Olaniran, Abeeb (Routledge, 2023)In this paper, we investigate the effect of oil price uncertainty shock on real Gross Domestic Product (GDP) of 33 developed and emerging economies using the Global Vector Autoregressive (VAR) framework that allows us to ...
-
Salisu, Afees A.; Gupta, Rangan; Adediran, Idris (International Centre for Economic Analysis, 2023-06)We contribute to the literature on the international propagation of uncertainty shocks with a Global Vector Autoregressive (GVAR) model that quantifies the spillover effects of uncertainty shocks in the US on to real equity ...
-
Salisu, Afees A.; Demirer, Riza; Gupta, Rangan (Elsevier, 2022-05)This paper adds a novel perspective to the literature by exploring the predictive performance of two relatively unexplored indicators of financial conditions, i.e. financial turbulence and systemic risk, over stock market ...
-
Demirer, Riza; Gupta, Rangan; Salisu, Afees A.; Van Eyden, Renee (Elsevier, 2023-04)In this paper, we analyze the predictive role of firm-level business expectations and uncertainties derived from a panel survey of U.S. 1750 business executives from 50 states for the realized variance (sum of daily squared ...
-
Salisu, Afees A.; Gupta, Rangan; Ji, Qiang (Elsevier, 2022-03)In this study, we examine the predictive value of tail risks for oil returns using the longest possible data available for the modern oil industry, i.e., 1859–2020. The Conditional Autoregressive Value at Risk (CAViaR) of ...
-
Salisu, Afees A.; Gupta, Rangan; Karmakar, Sayar; Das, Sonali (Elsevier, 2022-03)In this paper, we develop a proxy for global uncertainty based on the volatility of gold market over the annual periods from 1311 to 2019, and then use this proxy metric to forecast historical growth-rates for eight advanced ...
-
Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan (Elsevier, 2021-11)Using monthly data for the period from 1916 to 2020, we report that geopolitical risk, when decomposed into threats and actual risk, has predictive value for tail risk in the oil market. When we study the full sample of ...
-
Salisu, Afees A.; Cunado, Juncal; Gupta, Rangan (Elsevier, 2022-01)The predictability of geopolitical risks (GPR) for exchange rate volatility of the BRICS is examined using both historical and recent GPR data. Relying on the GARCH-MIDAS-X model based on available data frequencies, we ...
-
Salisu, Afees A.; Ayinde, Taofeek O.; Gupta, Rangan; Wohar, Mark (Elsevier, 2022-06)In this study, we offer a global perspective on the impacts of the COVID-19 pandemic on financial markets using a multi-country Threshold-Augmented Global Vector Autoregressive Model of Chudik et al. (2020). We document a ...
-
Salisu, Afees A.; Gupta, Rangan (Routledge, 2021)In this study, we examine the response of housing returns in China, India and Russia to different oil shocks, generated from a more accurate estimation approach. Given the available data for the relevant variables, the ...
-
Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. (Wiley, 2022-01)This study forecasts the monthly realized volatility of the US stock market covering the period of February 1885 to September 2019 using a recently developed novel approach – a moving average heterogeneous autoregressive ...
-
Salisu, Afees A.; Adediran, Idris A.; Gupta, Rangan (Routledge, 2022)In this study, we estimate a multi-country Threshold-Augmented Global Vector Autoregressive (TGVAR) model to analyze the response of real GDP of emerging economies (Brazil, India, China, and South Africa) with reference ...
-
Salisu, Afees A.; Cunado, Juncal; Isah, Kazeem; Gupta, Rangan (Routledge, 2021)We attempt to predict the exchange rate returns of the BRICS (Brazil, Russia, India, China, and South Africa) countries with the global oil price using monthly datasets covering the period of 1973 to 2020. We formulate a ...
Now showing items 1-20 of 29