Dr. Mawuli Segnon

Institute of Econometrics and Economic Statistics
Chair of Empirical Economics
Am Stadtgraben 9
48143 Münster

Room 317
Phone: +49 (0)251-83 25045
Fax: +49 (0)251-83 22012



  • Publications

    • Segnon, M., Gupta, R., Wilfling, B., 2022. Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. International Journal of Forecasting, forthcoming.
    • Segnon, M., 2022. Strict stationarity of Poisson integer-valued ARCH processes of order infinity. CQE Working Paper 102/2022, Center for Quantitative Economics (CQE), University of Muenster.
    • Segnon, M., Lau, C.K., Wilfling, B., Gupta, R., 2022. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. Studies in Nonlinear Dynamics and Econometrics 26, 73-98.
    • Schulte-Tillmann, B., Segnon, M., Wilfling, B., 2022. Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. CQE Working Paper 99/2022, Center for Quantitative Economics (CQE), University of Muenster.
    • Segnon, M., Gupta, R., Lesame K., Wohar, M.E., 2020. High-frequency volatility forecasting of US housing markets. Journal of Real Estate Finance and Economics, DOI.
    • Segnon, M., Bekiros, S., 2020. Forecasting volatility in bitcoin market. Annals of Finance 16, 435-462.
    • Segnon, M., Stapper, M., 2019. Long Memory Conditional Heteroscedasticity in Count Data. CQE Working Paper 82/2019, Center for Quantitative Economics (CQE), University of Muenster.
    • Segnon, M., Antonakakis, N., Cunado, J. , Gupta, R., 2019. Revisiting the twin deficits hypothesis: A quantile cointegration analysis over the period 1791 - 2013.  Journal of Applied Economics 20, 116-130.
    • Segnon, M., Bekiros, S., 2019. Forecasting Volatility in Cryptocurrency Markets. CQE Working Paper 79/2019, Center for Quantitative Economics (CQE), University of Muenster.
    • Segnon, M., Bekiros, S., Wilfling, B., 2018. Forecasting inflation uncertainty in the G7 countries. Econometrics 6 (2), 1-25.
    • Lux, T., Segnon, M., 2018. Multifractal models in finance: Their origin properties and applications. The Oxford Handbook of Computational Economic and Finance, ed. by S.H. Chen, M. Kaboudan and Y.R. Du.
    • Bekiros, S., Gupta, R., Segnon, M., Wohar, M.E., 2018. Forecasting US GNP Growth: The Role of Uncertainty. Journal of Forecasting 37, 541-559 .
    • Segnon, M., Trede, M., 2017. Forecasting market risk of portfolios: Copula-Markov switching multifractal approach. The European Journal of Finance.  https://doi.org/10.1080/1351847X.2017.1400453          
    • Segnon, M., T. Lux, Gupta, R., 2017. Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. Renewable and Sustainable Energy Reviews 69, 692-704.
    • Balcilar, M., Gupta, R., Segnon, M., 2016. The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency markov-switching vector autoregressive approach. Journal of Economics 10, 1-20.
    • Lux, T., Segnon, M., Gupta, R., 2016. Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. Energy Economics 56, 117-133.
    • Hassani, H., Silva, E. S., Gupta, R., Segnon, M., 2015. Forecasting the price of gold. Applied Economics 47, 4141-4152.
    • Hassani, H., Ghodsi Z., Gupta, R., Segnon, M., 2015 Forecasting Home Sale in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis. Computational Economics 49, 83-97