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Browsing Economic and Management Sciences by UP Author "Salisu, Afees A."
Now showing items 1-14 of 14
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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 ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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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 ...
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Salisu, Afees A.; Ogbonna, Ahamuefula E.; Oloko, Tirimisiyu F. (Elsevier, 2023-06)This study examines the effect of pandemic-induced uncertainty on cryptocoins (Bitcoin, Ethereum and Ripple). It employs the Westerlund and Narayan (2012, 2015) predictive model to examine the predictability of pandemic-induced ...
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Salisu, Afees A.; Demirer, Riza; Gupta, Rangan (Wiley, 2023-12)This paper provides novel insight into the growing literature on the policy uncertainty-stock market volatility nexus by examining the out-of-sample predictive ability of the quality of political signals over stock market ...
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Gupta, Rangan; Nel, Jacobus; Salisu, Afees A.; Ji, Qiang (Elsevier, 2023-06)We analyze the predictive content of climate risks, proxied by change in global temperature anomaly and its volatility, on a dummy variable capturing periods of zero and negative growth rates of eight industrialized ...
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Bouri, Elie; Salisu, Afees A.; Gupta, Rangan (SpringerOpen, 2023-03)This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets. It is also motivated by a lack of empirical studies on whether ...
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Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. (Routledge, 2023)This study examines the out-of-sample predictability of market risks measured as tail risks for stock returns of eight advanced countries using a long-range monthly data of over a century. We follow the Conditional ...
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Salisu, Afees A.; Isah, Kazeem; Oloko, Tirimisiyu O. (Elsevier, 2024-02)We study the connection between global technology shocks (TS) and the crude oil market from 1880 to 2018. Our study utilizes newly constructed global TS datasets that cover OECD countries and 164 countries, while also ...
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Salisu, Afees A.; Gupta, Rangan; Bouri, Elie (Elsevier, 2023-04)We examine the power of global economic conditions (GECON) in forecasting the daily return volatility of various international Real Estate Investment Trusts (REITs) indices. To this end, we use the GARCH-MIDAS framework ...
Now showing items 1-14 of 14