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Browsing Research Articles (Economics) by Author "Ogbonna, Ahamuefula E."
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Salisu, Afees A.; Ogbonna, Ahamuefula E.; Gupta, Rangan; Ji, Qiang
(Elsevier, 2024-09)
In this paper, we employ the generalized autoregressive conditional heteroscedasticity-mixed data sampling (GARCH-MIDAS) framework to forecast the daily volatility of 19 dollar-based exchange rate returns based on monthly ...
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Salisu, Afees A.; Ogbonna, Ahamuefula E.; Gupta, Rangan; Bouri, Elie
(Elsevier, 2024-06)
This paper predicts the daily return volatility of 28 advanced and developing stock markets using monthly metrics of the corresponding country and global energy-related uncertainty indexes (EUIs) recently proposed in the ...
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Salisu, Afees A.; Ogbonna, Ahamuefula E.; Lasisi, Lukman; Olaniran, Abeeb
(Elsevier, 2022-11)
In this study, we examine the connection between geopolitical risk (GPR) and stock market volatility in emerging economies. Our motivation for this study is premised on the need to assess both the predictability and the ...
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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 ...
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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.; 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.; Gupta, Rangan; Ogbonna, Ahamuefula E.; Wohar, Mark
(Wiley, 2022-11)
The predictability of uncertainty for real housing returns in the United Kingdom is examined using regional data covering 12 regions, namely, East Midlands, East of England, London, North East, North West, Northern Ireland, ...