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Browsing Postprints (Articles) by UP Author "Salisu, Afees A."
Now showing items 1-20 of 24
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Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan; Van Eyden, Renee (Wiley, 2023-06)We examine the predictive value of the uncertainty associated with growth in temperature for stock-market tail risk in the United States using monthly data that cover the sample period from 1895:02 to 2021:08. To this end, ...
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Salisu, Afees A.; Sikiru, Abdulsalam Abidemi; Omoke, Philip C. (Springer, 2023-08)This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations ...
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Tumala, Mohammed M.; Salisu, Afees A.; Gambo, Ali I. (Elsevier, 2023-06)In this study, we investigate the effects of disentangled oil shocks on the volatility of the stock markets of Nigeria and South Africa using the Mixed Data Sampling variant of the Generalized Autoregressive Conditional ...
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Aor, Raymond L.; Salisu, Afees A.; Okpe, Isah J. (World Scientific Publishing, 2022-01)In this study, we quantify the propagation effects of the U.S. monetary policy uncertainty (MPU) shock on real equity prices of 33 advanced and emerging countries over the period 1980Q1 to 2019Q4. We employ a large-scale ...
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Salisu, Afees A.; Gupta, Rangan; Kim, Won Joong (Elsevier, 2022-03)This paper seeks to add to the literature on short-run exchange rate predictability by focusing on BRICS exchange rates. We utilize both time-varying and constant parameter models, and account for a variety of macro ...
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Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (Wiley, 2022-12)This study examines the role of the global financial cycle (GFCy) in the propagation of uncertainty shocks from the United States to other national economies using a large-scale global vector autoregressive model of 33 ...
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Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan; Gabauer, David (Elsevier, 2022-10)We examine the predictive value of risk perceptions as measured in terms of the gold-to-silver and gold-to-platinum price ratios for stock-market tail risks and their connectedness in eight major industrialized economies ...
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Salisu, Afees A.; Omoke, Philip C.; Sikiru, Abdulsalam Abidemi (Wiley, 2023-01)In this study, we investigate the connection between geopolitical risk (GPR) and global financial cycle (GFCy) as well as whether the former has predictive value for the out-of-sample predictability of the latter. We utilize ...
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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; Demirer, Riza (Elsevier, 2022-04)This study examines the predictive power of the global financial cycle (GFCy) over oil market volatility using the GARCH-MIDAS framework. The GARCH-MIDAS model provides an appropriate setting to forecast high frequency oil ...
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Salisu, Afees A.; Adediran, Idris; Omoke, Philip C.; Tchankam, Jean Paul (Elsevier, 2023-01)In this study, we consider as a predictor of gold return predictability, an alternative measure of systematic risk using the tail risk obtained from the four variants (Adaptive, Symmetric absolute value, Asymmetric slope ...
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Salisu, Afees A.; Lasisi, Lukman; Tchankam, Jean Paul (Routledge, 2022)In this study, we investigate the impact of global geopolitical risk (GPR) of different forms on the economies of advanced countries (G7 and Switzerland). We construct a predictive model, following the approach of Lewellen ...
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Tumala, Mohammed M.; Salisu, Afees A.; Atoi, Ngozi, V.; Yaaba, Baba N. (Elsevier, 2021-11)In this paper, we trace the transmission of monetary policy shocks from three prominent sources of global financial and trade shocks (US, Europe, and China) to the two largest emerging economies in Sub-Saharan Africa (SSA) ...
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Salisu, Afees A.; Shaik, Muneer (Elsevier, 2022-07)Motivated by the COVID-19 pandemic, we construct a single factor predictive model for stock returns that incorporates uncertainty index for pandemics and epidemics (UPE). Specifically, we examine whether Islamic stocks are ...
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Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (World Scientific Publishing, 2022-04)Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements ...
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Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul (Elsevier, 2022-05)This study tests both the in-sample and out-of-sample predictive value of oil tail risk for the tail risk of US Dollar exchange rates (USD/CAD, USD/GBP and USD/JPY), where the conditional autoregressive value at risk ...
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Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan (Elsevier, 2022-05)We examine the predictive value of tail risks of oil returns for the realized variance of oil returns using monthly data for the modern oil industry (1859:10–2020:10). The Conditional Autoregressive Value at Risk (CAViaR) ...
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Tumala, Mohammed M.; Salisu, Afees A.; Atoi, Ngozi V. (Elsevier, 2022-08)In this study, we investigate the effect of oil price on the real GDP growth of Nigeria. We contribute to the extant literature on oil price-growth nexus in three ways. First, we employ one of the recently developed Mixed ...
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Gupta, Rangan; Pierdzioch, Christian; Salisu, Afees A. (Elsevier, 2022-08)We analyze the predictive role of oil-price uncertainty for changes in the UK unemployment rate using more than a century of monthly data covering the period from 1859 (when the drilling of the first oil well started at ...
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Salisu, Afees A.; Tchankam, Jean Paul; Adediran, Idris A. (Routledge, 2022)We explore the predictive value of the various indices developed to capture COVID-19 pandemic for daily stock return predictability of 24 Emerging Market economies (based on data availability). We identify eight measures ...
Now showing items 1-20 of 24