This study examines the nexus between precious metals (gold and silver) and oil (crude oil and heating oil) realized volatilities introducing a novel quantile extended joint connectedness framework combining quantile vector autoregression (White et al., 2015) with the extended joint...

This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net...

In this paper, we estimate the dynamic impact of unconventional monetary policy in the US on international REITs. Unlike existing studies which are limited to conventional policy tools and undertake a static approach, we use an event study approach and estimate a time-varying parameter model to...

In this paper, we estimate the dynamic impact of unconventional monetary policy in the US on international REITs. Unlike existing studies which are limited to conventional policy tools and undertake a static approach, we use an event study approach and estimate a time-varying parameter model to...

We examine the local demand channel hypothesis of the housing market that predicts a larger response of employment in the non-tradable sector to house price shocks than employment in the tradable sector using state-level monthly data from 1990:M1-2019:M12. Our results from a panel VAR model and...