Details about Rangan Gupta
Access statistics for papers by Rangan Gupta.
Last updated 2023-05-08. Update your information in the RePEc Author Service.
Short-id: pgu80
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Working Papers
2023
- Drivers of Realized Volatility for South Africa (and the BRIC Countries): Fundamentals versus Sentiment
Working Papers, University of Pretoria, Department of Economics
- Geopolitical Risk and Inflation Spillovers across European and North American Economies
Working Papers, University of Pretoria, Department of Economics
- Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India
Working Papers, University of Pretoria, Department of Economics
- Return Volatility, Correlation, and Hedging of Green and Brown Stocks: Is there a Role for Climate Risk Factors?
Working Papers, University of Pretoria, Department of Economics
- Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach
Working Papers, University of Pretoria, Department of Economics
- The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States
Working Papers, University of Pretoria, Department of Economics
2022
- Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns
Working Papers, University of Pretoria, Department of Economics
- Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment
Working Papers, University of Pretoria, Department of Economics
- Climate Change and Inequality
Working Papers, University of Pretoria, Department of Economics
- Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States
Working Papers, University of Pretoria, Department of Economics
- Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data
Working Papers, University of Pretoria, Department of Economics
- Climate Risks and Predictability of the Trading Volume of Gold: Evidence from an INGARCH Model
Working Papers, University of Pretoria, Department of Economics
- Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Journal of Financial Markets (2023)
- Climate Risks and State-Level Stock-Market Realized Volatility
Working Papers, University of Pretoria, Department of Economics
- Climate Shocks and Wealth Inequality in the United Kingdom: Evidence from Monthly Data
Working Papers, University of Pretoria, Department of Economics
- Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Economics Letters (2022)
- Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in Finance Research Letters (2022)
- Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach
Working Papers, University of Pretoria, Department of Economics
- Do Economic Conditions of U.S. States Predict the Realized Volatility of Oil-Price Returns? A Quantile Machine-Learning Approach
Working Papers, University of Pretoria, Department of Economics
- Economic Disasters and Inequality
Working Papers, University of Pretoria, Department of Economics
- Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in JRFM (2022)
- Forecasting More than Three Centuries of Economic Growth of the United Kingdom: The Role of Climate Risks
Working Papers, University of Pretoria, Department of Economics
- Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies
Working Papers, University of Pretoria, Department of Economics
- Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models
Working Papers, University of Pretoria, Department of Economics
- Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Finance Research Letters (2022)
- Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Forecasting the Realized Variance of Oil-Price Returns Using Machine-Learning: Is there a Role for U.S. State-Level Uncertainty?
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Economics (2022)
- Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500
Working Papers, University of Pretoria, Department of Economics
- Herding in International REITs Markets around the COVID-19 Pandemic
Working Papers, University of Pretoria, Department of Economics
- Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility
Working Papers, University of Pretoria, Department of Economics
- Inflation-Inequality Puzzle: Is it Still Apparent?
Working Papers, University of Pretoria, Department of Economics
- Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries
Working Papers, University of Pretoria, Department of Economics
- Is Real Interest Rate a Monetary Phenomenon in Advanced Economies? Time-Varying Evidence from Over 700 Years of Data
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energies (2022)
- On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal
Working Papers, University of Pretoria, Department of Economics
- On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data
Working Papers, University of Pretoria, Department of Economics
- Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in Economics Letters (2022)
- Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
Working Papers, University of Pretoria, Department of Economics
- Predictability of Economic Slowdowns in Advanced Countries over Eight Centuries: The Role of Climate Risks
Working Papers, University of Pretoria, Department of Economics
- Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets
Working Papers, University of Pretoria, Department of Economics
- Rare Disaster Risks and Gold over 700 Years: Evidence from Nonparametric Quantile Regressions
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Resources Policy (2022)
- Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form
Working Papers, University of Pretoria, Department of Economics
- Revisiting International House Price Convergence Using House Price Level Data
Working Papers, University of Pretoria, Department of Economics
- Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data
Working Papers, University of Pretoria, Department of Economics
- Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)
Working Papers, University of Pretoria, Department of Economics
- Temperature and Precipitation in the US States: Long Memory, Persistence and Time Trend
Working Papers, University of Pretoria, Department of Economics
- Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Quarterly Review of Economics and Finance (2023)
- The Effects of Climate Risks on Economic Activity in a Panel of US States: The Role of Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Economics Letters (2022)
- The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
Working Papers, University of Pretoria, Department of Economics
- The Heterogeneous Impact of Temperature Growth on Real House Price Returns across the US States
Working Papers, University of Pretoria, Department of Economics
- The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests
Working Papers, University of Pretoria, Department of Economics
- The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Time-Varying Parameter Four-Equation DSGE Model
Working Papers, University of Pretoria, Department of Economics
- US Monetary Policy and BRICS Stock Market Bubbles
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Finance Research Letters (2023)
2021
- A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Energies (2021)
- A Note on State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict
Working Papers, University of Pretoria, Department of Economics
- A Note on the COVID-19 Shock and Real GDP in Emerging Economies: A Counterfactual Analysis from the Threshold-Augmented Global Vector Autoregressive Model
Working Papers, University of Pretoria, Department of Economics
- A robust approach for outlier imputation: Singular Spectrum Decomposition
Working Papers, University of Pretoria, Department of Economics
- Bitcoin Mining Activity and Volatility Dynamics in the Power Market
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Economics Letters (2021)
- Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment
Working Papers, University of Pretoria, Department of Economics
- Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Resources Policy (2022)
- Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Mathematics (2023)
- Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data
Working Papers, University of Pretoria, Department of Economics
- Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in Energies (2021)
- Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective
Working Papers, University of Pretoria, Department of Economics
- Disaggregated Oil Shocks and Stock-Market Tail Risks: Evidence from a Panel of 48 Countries
Working Papers, University of Pretoria, Department of Economics View citations (6)
- Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests
Working Papers, University of Pretoria, Department of Economics
- El Nino and Forecastability of Oil-Price Realized Volatility
Working Papers, University of Pretoria, Department of Economics View citations (7)
- El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach
Working Papers, University of Pretoria, Department of Economics
- El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Sustainability (2021)
- Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The North American Journal of Economics and Finance (2022)
- Exchange Rate Predictability with Nine Alternative Models for BRICS Countries
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Macroeconomics (2022)
- Financial Inclusion and Gender Inequality in sub-Saharan Africa
Working Papers, University of Pretoria, Department of Economics
- Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Global Finance Journal (2022)
- Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Quarterly Review of Economics and Finance (2023)
- Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty
Working Papers, University of Pretoria, Department of Economics
- Forecasting Oil Price over 150 Years: The Role of Tail Risks
Working Papers, University of Pretoria, Department of Economics View citations (9)
See also Journal Article in Resources Policy (2022)
- Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Energy Economics (2022)
- Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (2)
Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2021) View citations (2)
See also Journal Article in Resources Policy (2022)
- Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Journal of Forecasting (2022)
- Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Review of Financial Analysis (2022)
- Forecasting US Output Growth with Large Information Sets
Working Papers, University of Pretoria, Department of Economics
- Forecasting the Artificial Intelligence Index Returns: A Hybrid Approach
Working Papers, University of Pretoria, Department of Economics
- Forecasting the Realized Variance of Oil-Price Returns: A Disaggregated Analysis of the Role of Uncertainty and Geopolitical Risk
Working Papers, University of Pretoria, Department of Economics
- Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Energies (2021)
- Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data
Working Papers, University of Pretoria, Department of Economics View citations (12)
See also Journal Article in Energy (2021)
- Geopolitical Risks and the High-Frequency Movements of the US Term Structure of Interest Rates
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Annals of Financial Economics (AFE) (2021)
- Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Finance Research Letters (2022)
- Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Economics (2022)
- Gold and the Global Financial Cycle
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Government Effectiveness and Covid-19 Pandemic
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Sustainability (2021)
- High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests
Working Papers, University of Pretoria, Department of Economics
- Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets
Working Papers, University of Pretoria, Department of Economics
- Income Inequality and House Prices across US States
GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit 
Also in Working Papers, University of Pretoria, Department of Economics (2021)
- Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach
Working Papers, University of Pretoria, Department of Economics View citations (4)
- Interest Rate Uncertainty and the Predictability of Bank Revenues
Working Papers, Copenhagen Business School, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2020)
See also Journal Article in Journal of Forecasting (2022)
- Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Journal of Behavioral Finance (2023)
- OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Finance Research Letters (2022)
- Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Finance Research Letters (2022)
- On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures
Working Papers, University of Pretoria, Department of Economics View citations (4)
- Out-of-Sample Predictability of Gold Market Volatility: The Role of US Nonfarm Payroll
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Quarterly Review of Economics and Finance (2022)
- Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks
Working Papers, University of Pretoria, Department of Economics
- Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in JRFM (2022)
- Price Effects after One-Day Abnormal Returns in Developed and Emerging Markets: ESG versus Traditional Indices
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The North American Journal of Economics and Finance (2022)
- Productivity and GDP: International Evidence of Persistence and Trends Over 130 Years of Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Empirical Economics (2023)
- Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events
Working Papers, University of Pretoria, Department of Economics
- Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries
Working Papers, University of Pretoria, Department of Economics View citations (4)
- Social Capital and Protests in the United States
Working Papers, University of Pretoria, Department of Economics
- Structural and Predictive Analyses with a Mixed Copula-Based Vector Autoregression Model
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Forecasting (2023)
- Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data
Working Papers, University of Pretoria, Department of Economics View citations (9)
- The (Asymmetric) Effect of El Nino and La Nina on Gold and Silver Prices in a GVAR Model
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Resources Policy (2022)
- The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses
Working Papers, University of Pretoria, Department of Economics
- The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data
Working Papers, University of Pretoria, Department of Economics View citations (1)
Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2021) View citations (1)
See also Chapter (2022)
- The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model
Working Papers, University of Pretoria, Department of Economics View citations (1)
- The Effect of Oil Uncertainty Shock on Real GDP of 33 Countries: A Global VAR Approach
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Applied Economics Letters (2023)
- The Effect of US Uncertainty Shock on International Equity Markets: The Role of the Global Financial Cycle
Working Papers, University of Pretoria, Department of Economics View citations (1)
- The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in International Finance (2022)
- The Impact of Oil Price Shocks on Income Inequality: Evidence from State-Level Data of the United States
Working Papers, University of Pretoria, Department of Economics
- The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in International Review of Economics & Finance (2023)
- The Non-Linear Response of US State-Level Tradable and Non-Tradable Inflation to Oil Shocks: The Role of Oil-Dependence
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Research in International Business and Finance (2023)
- The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom
Working Papers, University of Pretoria, Department of Economics
- Uncertainty Related to Infectious Diseases and Forecastability of the Realised Volatility of US Treasury Securities
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Annals of Financial Economics (AFE) (2021)
- Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Uncertainty and Predictability of Real Housing Returns in the United Kingdom: A Regional Analysis
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Journal of Forecasting (2022)
- Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns
Working Papers, University of Pretoria, Department of Economics
2020
- 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets
Working papers, University of Connecticut, Department of Economics View citations (4)
Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (1)
- A Note on Investor Happiness and the Predictability of Realized Volatility of Gold
Working Papers, University of Pretoria, Department of Economics View citations (17)
See also Journal Article in Finance Research Letters (2021)
- A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in Applied Economics Letters (2021)
- A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Annals of Financial Economics (AFE) (2022)
- A Note on the Time-Varying Impact of Global, Region- and Country-Specific Uncertainties on the Volatility of International Trade
Working Papers, University of Pretoria, Department of Economics
- Analysing the Impact of Brexit on Global Uncertainty Using Functional Linear Regression with Point of Impact: The Role of Currency and Equity Markets
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in The Singapore Economic Review (SER) (2022)
- Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Finance Research Letters (2021)
- COVID-19 Pandemic and Investor Herding in International Stock Markets
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Risks (2021)
- Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Economics (2021)
- Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Applied Economics Letters (2021)
- Dynamic Impact of Unconventional Monetary Policy on International REITs
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in JRFM (2021)
- Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Endogenous Long-Term Productivity Performance in Advanced Countries: A Novel Two-Dimensional Fuzzy-Monte Carlo Approach
Working Papers, University of Pretoria, Department of Economics
- Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models
Working papers, University of Connecticut, Department of Economics View citations (5)
Also in Working Papers, University of Pretoria, Department of Economics (2020) View citations (5)
- Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The North American Journal of Economics and Finance (2021)
- Forecasting Charge-Off Rates with a Panel Tobit Model: The Role of Uncertainty
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Applied Economics Letters (2022)
- Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions
Working Papers, University of Pretoria, Department of Economics View citations (5)
- Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility
Working Papers, University of Pretoria, Department of Economics View citations (5)
- Forecasting Realized Stock-Market Volatility: Do Industry Returns have Predictive Value?
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Computational Economics (2021)
- Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks
Working Papers, University of Pretoria, Department of Economics
- Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Mathematics (2020)
- Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Review of Economics & Finance (2022)
- Geopolitical Risks and Stock Market Volatility in the G7 Countries: A Century of Evidence from a Time-Varying Nonparametric Panel Data Model
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Empirical Economics (2022)
- High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty
Working Papers, University of Pretoria, Department of Economics
- High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in Journal of Behavioral Finance (2021)
- Historical Forecasting of Interest Rate Mean and Volatility of the United States: Is there a Role of Uncertainty?
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Annals of Financial Economics (AFE) (2020)
- House Price Synchronization across the US States: The Role of Structural Oil Shocks
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in The North American Journal of Economics and Finance (2021)
- Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting
Working papers, University of Connecticut, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2020)
- Income Inequality and Oil Resources: Panel Evidence from the United States
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Policy (2021)
- Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities
Working Papers, University of Pretoria, Department of Economics View citations (3)
See also Journal Article in International Review of Economics & Finance (2021)
- Information Entropy, Continuous Improvement, and US Energy Performance: A Novel Stochastic-Entropic Analysis for Ideal Solutions (SEA-IS)
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Annals of Operations Research (2022)
- Investor Happiness and Predictability of the Realized Volatility of Oil Price
Working Papers, University of Pretoria, Department of Economics View citations (16)
See also Journal Article in Sustainability (2020)
- Investor Sentiment and (Anti-)Herding in the Currency Market: Evidence from Twitter Feed Data
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Journal of Behavioral Finance (2023)
- Investor Sentiment and Dollar-Pound Exchange Rate Returns: Evidence from Over a Century of Data Using a Cross-Quantilogram Approach
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Finance Research Letters (2021)
- Investors' Uncertainty and Forecasting Stock Market Volatility
Working Papers, University of Pretoria, Department of Economics View citations (11)
See also Journal Article in Journal of Behavioral Finance (2022)
- Is there a National Housing Market Bubble Brewing in the United States?
Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (6)
Also in Working Papers, University of Pretoria, Department of Economics (2020) View citations (6)
- Jumps in Energy and Non-Energy Commodities
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
Working Papers, University of Pretoria, Department of Economics View citations (7)
See also Journal Article in Defence and Peace Economics (2022)
- Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Review of Economics & Finance (2021)
- Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in The Journal of Real Estate Finance and Economics (2022)
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See also Journal Article in Journal of Economic Structures (2020)
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See also Journal Article in Research in International Business and Finance (2021)
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See also Journal Article in Applied Economics Letters (2021)
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Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Energy Economics (2021)
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Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Review of Economics & Finance (2022)
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See also Journal Article in Resources Policy (2022)
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See also Journal Article in Economics and Business Letters (2020)
- Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties
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See also Journal Article in Journal of Behavioral Finance (2022)
- Return Connectedness across Asset Classes around the COVID-19 Outbreak
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See also Journal Article in International Review of Financial Analysis (2021)
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See also Journal Article in The North American Journal of Economics and Finance (2021)
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See also Journal Article in The Quarterly Review of Economics and Finance (2022)
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Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Forecasting (2021)
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See also Journal Article in Energy (2021)
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See also Journal Article in Research in International Business and Finance (2021)
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Working Papers, University of Pretoria, Department of Economics View citations (3)
- The Effects of Public Expenditures on Labour Productivity in Europe
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Empirica (2021)
- The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Applied Economics Letters (2021)
- The Impact of Disaggregated Oil Shocks on State-Level Real Housing Returns of the United States: The Role of Oil Dependence
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Finance Research Letters (2021)
- The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes
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See also Journal Article in Energy Economics (2020)
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See also Journal Article in Resources Policy (2020)
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See also Journal Article in Research in International Business and Finance (2020)
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See also Journal Article in Journal of Forecasting (2022)
- The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States
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See also Journal Article in Applied Economics (2021)
- The U.S. Term Structure and Return Volatility in Global REIT Markets
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See also Journal Article in Advances in Decision Sciences (2020)
- Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data
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See also Journal Article in Structural Change and Economic Dynamics (2021)
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See also Journal Article in The North American Journal of Economics and Finance (2021)
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See also Journal Article in Finance Research Letters (2021)
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See also Journal Article in Empirical Economics (2021)
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See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2021)
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See also Journal Article in Finance Research Letters (2021)
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See also Journal Article in The Quarterly Review of Economics and Finance (2021)
- Uncertainty and Tourism in Africa
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See also Journal Article in Tourism Economics (2022)
- Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note
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Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2020) 
See also Journal Article in Journal of Multinational Financial Management (2021)
- Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness
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See also Journal Article in Journal of Behavioral and Experimental Finance (2021)
2019
- A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data
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See also Journal Article in International Journal of Finance & Economics (2022)
- A Reconsideration of Kuznets Curve across Countries: Evidence from the Co-summability Approach
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See also Journal Article in Economics Bulletin (2020)
- Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen View citations (1)
Also in Working Papers, University of Pretoria, Department of Economics (2019) View citations (1)
See also Journal Article in The North American Journal of Economics and Finance (2021)
- Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach
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See also Journal Article in Journal of International Money and Finance (2020)
- Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspective of Hedgers’ Sentiment
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See also Journal Article in The Quarterly Review of Economics and Finance (2021)
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See also Journal Article in Advances in Decision Sciences (2019)
- Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data
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See also Journal Article in Applied Economics Letters (2020)
- Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
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See also Journal Article in Journal of Behavioral Finance (2022)
- Fisher Variables and Income Inequality in the BRICS
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- Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages
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See also Journal Article in Journal of Forecasting (2020)
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See also Journal Article in Finance Research Letters (2020)
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See also Journal Article in Journal of International Money and Finance (2020)
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See also Journal Article in The European Journal of Finance (2021)
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See also Journal Article in International Journal of Forecasting (2020)
- Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis
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See also Journal Article in Emerging Markets Finance and Trade (2021)
- Giant Oil Discoveries and Conflicts
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See also Journal Article in Physica A: Statistical Mechanics and its Applications (2020)
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See also Journal Article in Finance Research Letters (2021)
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See also Journal Article in Energy Economics (2020)
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See also Journal Article in Economies (2020)
- Halloween Effect in Developed Stock Markets: A US Perspective
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See also Journal Article in The Journal of Real Estate Finance and Economics (2021)
- Historical Evolution of Monthly Anomalies in International Stock Markets
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See also Journal Article in Research in International Business and Finance (2020)
- Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises
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See also Journal Article in Finance Research Letters (2020)
- How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
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See also Journal Article in Emerging Markets Finance and Trade (2021)
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See also Journal Article in Annals of Economics and Finance (2019)
- Is the Housing Market in the United States Really Weakly-Efficient?
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See also Journal Article in Applied Economics Letters (2020)
- Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors
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See also Journal Article in Finance Research Letters (2020)
- Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model
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See also Journal Article in Energy Economics (2020)
- Monetary Policy Reaction to Uncertainty in Japan: Evidence from a Quantile-on-Quantile Interest Rate Rule
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See also Journal Article in International Journal of Finance & Economics (2022)
- Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets
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See also Journal Article in International Review of Economics & Finance (2020)
- Multi-Horizon Financial and Housing Wealth Effects across the U.S. States
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See also Journal Article in Sustainability (2021)
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See also Journal Article in Advances in Decision Sciences (2021)
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See also Journal Article in The North American Journal of Economics and Finance (2020)
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See also Journal Article in Global Finance Journal (2021)
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See also Journal Article in Finance Research Letters (2021)
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See also Journal Article in The North American Journal of Economics and Finance (2020)
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See also Journal Article in Energy Economics (2020)
- Rise and Fall of Calendar Anomalies over a Century
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See also Journal Article in The North American Journal of Economics and Finance (2019)
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See also Journal Article in Journal of the Operational Research Society (2022)
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See also Journal Article in International Review of Economics & Finance (2020)
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See also Journal Article in Structural Change and Economic Dynamics (2020)
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See also Journal Article in Journal of Property Investment & Finance (2020)
- Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States
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See also Journal Article in Economics and Business Letters (2020)
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See also Journal Article in Structural Change and Economic Dynamics (2019)
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Also in Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2019)  Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2019) View citations (27)
See also Journal Article in Energies (2019)
- The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach
DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics 
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See also Journal Article in Journal of Forecasting (2017)
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See also Journal Article in Journal of Forecasting (2020)
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See also Journal Article in The Quarterly Review of Economics and Finance (2020)
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See also Journal Article in Emerging Markets Finance and Trade (2022)
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See also Journal Article in Applied Economics (2020)
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See also Journal Article in Applied Economics Letters (2020)
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See also Journal Article in Finance Research Letters (2020)
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See also Journal Article in Empirical Economics (2021)
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See also Journal Article in Finance Research Letters (2020)
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See also Journal Article in Economies (2020)
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See also Journal Article in Economic Notes (2020)
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2018
- A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices
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See also Journal Article in Resources Policy (2019)
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See also Journal Article in Applied Economics Letters (2019)
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See also Journal Article in Sankhya B: The Indian Journal of Statistics (2021)
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See also Journal Article in Economic Modelling (2022)
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Also in Working Papers, University of Pretoria, Department of Economics (2017)
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See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2020)
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See also Journal Article in International Economics (2019)
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See also Journal Article in Journal of Economics and Behavioral Studies (2018)
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See also Journal Article in Economics Letters (2018)
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See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2020)
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See also Journal Article in Eurasian Economic Review (2019)
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See also Journal Article in Journal of Economics and Behavioral Studies (2019)
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See also Journal Article in Sustainability (2019)
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See also Journal Article in The Journal of Economic Asymmetries (2018)
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See also Journal Article in Journal of Applied Statistics (2020)
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Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2018) View citations (1)
See also Journal Article in Computational Economics (2020)
- Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data
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See also Journal Article in Applied Economics Letters (2020)
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See also Journal Article in Applied Economics Letters (2019)
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Also in Working Papers, University of Pretoria, Department of Economics (2018)
See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
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See also Journal Article in The North American Journal of Economics and Finance (2018)
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See also Journal Article in International Finance (2019)
- Insurance-Growth Nexus in Africa
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See also Journal Article in The Geneva Papers on Risk and Insurance - Issues and Practice (2020)
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See also Journal Article in Journal of Economics and Behavioral Studies (2019)
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See also Journal Article in Applied Economics (2019)
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See also Journal Article in Journal of Macroeconomics (2020)
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See also Journal Article in Journal of Applied Statistics (2020)
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See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2021)
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See also Journal Article in Sustainability (2019)
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See also Journal Article in Review of Quantitative Finance and Accounting (2020)
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See also Journal Article in International Journal of Finance & Economics (2022)
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See also Journal Article in Urban Studies (2021)
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See also Journal Article in Physica A: Statistical Mechanics and its Applications (2019)
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See also Journal Article in Applied Economics (2019)
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See also Journal Article in Resources Policy (2019)
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See also Journal Article in International Review of Financial Analysis (2020)
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See also Journal Article in International Review of Finance (2021)
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See also Journal Article in The Journal of Economic Asymmetries (2019)
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See also Journal Article in Applied Economics (2018)
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See also Journal Article in Quality & Quantity: International Journal of Methodology (2019)
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See also Journal Article in Finance Research Letters (2019)
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See also Journal Article in Economic Research-Ekonomska Istraživanja (2019)
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See also Journal Article in Economics and Business Letters (2019)
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See also Journal Article in Economic Systems (2018)
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See also Journal Article in Journal of Multinational Financial Management (2019)
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See also Journal Article in Economics Letters (2019)
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See also Journal Article in The North American Journal of Economics and Finance (2019)
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See also Journal Article in The North American Journal of Economics and Finance (2019)
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See also Journal Article in Finance Research Letters (2018)
- Why must it always be so Real with Tax Evasion?
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See also Journal Article in The Quarterly Review of Economics and Finance (2020)
2017
- A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US
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- A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach
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See also Journal Article in Review of Behavioral Finance (2019)
- An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data
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Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2017) 
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2022)
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See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2019)
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Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Quarterly Review of Economics and Finance (2018)
- Can volume predict Bitcoin returns and volatility? A quantiles-based approach
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See also Journal Article in Economic Modelling (2017)
- Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty
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See also Journal Article in Journal of Macroeconomics (2018)
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See also Journal Article in The Journal of International Trade & Economic Development (2018)
- Date-stamping US housing market explosivity
Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) 
See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2018)
- Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets
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See also Journal Article in Finance Research Letters (2017)
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See also Journal Article in Resources Policy (2017)
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See also Journal Article in The North American Journal of Economics and Finance (2021)
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See also Journal Article in The European Journal of Finance (2019)
- Forecasting the U.S. Real House Price Index
Papers, arXiv.org 
Also in Working Papers, University of Pretoria, Department of Economics (2014) View citations (1) Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (15) DUTH Research Papers in Economics, Democritus University of Thrace, Department of Economics (2014) View citations (11)
See also Journal Article in Economic Modelling (2015)
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See also Journal Article in Defence and Peace Economics (2019)
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See also Journal Article in Finance Research Letters (2017)
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See also Journal Article in Emerging Markets Finance and Trade (2020)
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School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town 
Also in Working Papers, University of Pretoria, Department of Economics (2017)
See also Journal Article in Macroeconomics and Finance in Emerging Market Economies (2020)
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See also Journal Article in Pacific-Basin Finance Journal (2018)
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See also Journal Article in Advances in Decision Sciences (2018)
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See also Journal Article in Journal of Reviews on Global Economics (2019)
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See also Journal Article in Applied Economics Letters (2018)
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Working papers, University of Connecticut, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2016)
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See also Journal Article in Emerging Markets Finance and Trade (2018)
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Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017) 
See also Journal Article in Empirical Economics (2020)
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Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2017)
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EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels 
Also in Working Papers, University of Pretoria, Department of Economics (2016)
See also Journal Article in Journal of Economics and Econometrics (2017)
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See also Journal Article in The Quarterly Review of Economics and Finance (2018)
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See also Journal Article in Journal of Multinational Financial Management (2018)
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See also Journal Article in Advances in Decision Sciences (2019)
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See also Journal Article in The North American Journal of Economics and Finance (2018)
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See also Journal Article in Journal of Economics and Finance (2019)
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See also Journal Article in Quantitative Finance (2019)
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See also Journal Article in Manchester School (2019)
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See also Journal Article in International Review of Economics & Finance (2019)
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See also Journal Article in Journal of Economics and Finance (2019)
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See also Journal Article in International Economics (2018)
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See also Journal Article in The North American Journal of Economics and Finance (2017)
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Also in Working Papers, University of Pretoria, Department of Economics (2016)
See also Journal Article in Quality & Quantity: International Journal of Methodology (2018)
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See also Journal Article in Journal of Multinational Financial Management (2018)
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See also Journal Article in Review of Financial Economics (2019)
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See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
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See also Journal Article in Physica A: Statistical Mechanics and its Applications (2018)
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See also Journal Article in Energy Economics (2018)
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See also Journal Article in Empirical Economics (2020)
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See also Journal Article in Empirical Economics (2019)
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See also Journal Article in The Quarterly Review of Economics and Finance (2018)
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See also Journal Article in International Review of Finance (2018)
2016
- A Time Series Analysis of Long Island Sound Lobster Fishery
Working Papers, University of Pretoria, Department of Economics
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See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2016)
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See also Journal Article in Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement (2018)
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See also Journal Article in Research in International Business and Finance (2019)
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See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)
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Working papers, University of Connecticut, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2015)
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See also Journal Article in Physica A: Statistical Mechanics and its Applications (2017)
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See also Journal Article in Research in International Business and Finance (2017)
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See also Journal Article in Journal of Multinational Financial Management (2017)
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See also Journal Article in Journal of Forecasting (2018)
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See also Journal Article in Journal of International Development (2019)
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See also Journal Article in Journal of Central Banking Theory and Practice (2018)
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2013
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2012
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2011
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2010
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2009
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- Has the SARB Become More Effective Post Inflation Targeting?
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Economic Change and Restructuring (2010)
- Is the Permanent Income Hypothesis Really Well-Suited for Forecasting?
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Modelling monetary policy in South Africa: Focus on inflation targeting era using a simple learning rule
Working Papers, University of Pretoria, Department of Economics View citations (22)
- Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode
Working Papers, University of Nevada, Las Vegas , Department of Economics View citations (1)
Also in Working Papers, University of Pretoria, Department of Economics (2009) View citations (4) Working papers, University of Connecticut, Department of Economics (2009) View citations (21)
- Some Benefits of Reducing Inflation in South Africa
Working Papers, University of Pretoria, Department of Economics View citations (1)
- THE BLESSING OF DIMENSIONALITY IN FORECASTING REAL HOUSE PRICE GROWTH IN THE NINE CENSUS DIVISIONS OF THE US
Working Papers, University of Pretoria, Department of Economics View citations (18)
- THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Defence and Peace Economics (2010)
- THE EFFECT OF MONETARY POLICY ON HOUSE PRICE INFLATION: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
Working Papers, University of Pretoria, Department of Economics View citations (8)
Also in EcoMod2009, EcoMod (2009) View citations (3)
- THE EFFECT OF MONETARY POLICY ON REAL HOUSE PRICE GROWTH IN SOUTH AFRICA: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Economic Modelling (2010)
- The Time-Series Properties of House Prices: A Case Study of the Southern California Market
Working Papers, University of Nevada, Las Vegas , Department of Economics View citations (8)
See also Journal Article in The Journal of Real Estate Finance and Economics (2012)
- The Time-Series Properties of Housing Prices: A Case Study of the Southern California Market
Working Papers, University of Pretoria, Department of Economics View citations (4)
Also in Working papers, University of Connecticut, Department of Economics (2009) View citations (12)
- Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States
Working Papers, University of Pretoria, Department of Economics View citations (6)
Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2009) View citations (6) Working papers, University of Connecticut, Department of Economics (2009) View citations (9)
2008
- A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa
Working Papers, University of Pretoria, Department of Economics View citations (9)
- A New-Keynesian DSGE Model for Forecasting the South African Economy
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Journal of Forecasting (2009)
- COULD WE HAVE PREDICTED THE RECENT DOWNTURN IN THE SOUTH AFRICAN HOUSING MARKET?
Working Papers, University of Pretoria, Department of Economics View citations (9)
See also Journal Article in Journal of Housing Economics (2009)
- Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Costly Tax Enforcement and Financial Repression
Working Papers, University of Pretoria, Department of Economics View citations (6)
See also Journal Article in Economic Notes (2008)
- Costly Tax Enforcement and Financial Repression: A Reconsideration Using an Endogenous Growth Model
Working Papers, University of Pretoria, Department of Economics
- Currency Substitution and Financial Repression
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in International Economic Journal (2011)
- Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The IUP Journal of Monetary Economics (2010)
- Financial Liberalisation and the Effectiveness of Monetary Policy on House Prices in South Africa
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in The IUP Journal of Monetary Economics (2010)
- Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Indian Economic Review (2011)
- Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models
Working Papers, University of Pretoria, Department of Economics View citations (16)
See also Journal Article in Journal of Forecasting (2010)
- Forecasting the South African Economy: A DSGE-VAR Approach
Discussion Paper, Tilburg University, Center for Economic Research 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2008)  Working Papers, University of Pretoria, Department of Economics (2007) View citations (6)
- Half-Life Deviations from PPP in the SADC
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Is a DFM Well-Suited in Forecasting Regional House Price Inflation?
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Market Microstructure Approach to the Exchange Rate Determination Puzzle
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The IUP Journal of Monetary Economics (2009)
- Measuring the Welfare Cost of Inflation in South Africa
Working Papers, University of Pretoria, Department of Economics View citations (5)
See also Journal Article in South African Journal of Economics (2008)
- Measuring the Welfare Cost of Inflation in South Africa: A Reconsideration
Working Papers, University of Pretoria, Department of Economics View citations (2)
- Misalignment in the Growth-Maximizing Policies under Alternative Assumptions of Tax Evasion
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Openness, Bureaucratic Corruption and Public Policy in an Endogenous Growth Model
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Optimal Public Policy with Endogenous Mortality
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Journal of Economic Policy Reform (2010)
- Predicting Downturns in the US Housing Market: A Bayesian Approach
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in The Journal of Real Estate Finance and Economics (2010)
- Should the SARB Have Stayed Time Inconsistent?
Working Papers, University of Pretoria, Department of Economics
- Spatial Bayesian Methods of Forecasting House Prices in Six Metropolitan Areas of South Africa
Working Papers, University of Pretoria, Department of Economics View citations (25)
See also Journal Article in South African Journal of Economics (2008)
- Tax Evasion and Financial Repression: A Reconsideration Using Endogenous Growth Models
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Journal of Economic Studies (2009)
- Testing for Fractional Integration in SADC Real Exchange Rates
Working Papers, University of Pretoria, Department of Economics View citations (4)
- Testing for PPP Using SADC Real Exchange Rates
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in South African Journal of Economics (2009)
- Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
Working Papers, University of Pretoria, Department of Economics View citations (4)
See also Journal Article in Studies in Economics and Econometrics (2009)
- Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in Studies in Economics and Econometrics (2009)
2007
- A Panel Bargaining Model within the Regional Boundaries of the South African Grain Industry
Working Papers, University of Pretoria, Department of Economics
- Bayesian Methods of Forecasting Inventory Investment in South Africa
Working Papers, University of Pretoria, Department of Economics
- Forecasting the South African Economy with Gibbs Sampled BVECMs
Working Papers, University of Pretoria, Department of Economics View citations (8)
See also Journal Article in South African Journal of Economics (2007)
- Linking Global Economic Dynamics to a South African-Specific Credit Risk Correlation Model
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Economic Modelling (2009)
- Modelling Preferences of South African Grain Farmers for Adopting Derivative Contracts Using Discrete Choice Models
Working Papers, University of Pretoria, Department of Economics
- Modelling and Forecasting the Metical-Rand Exchange Rate
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in The IUP Journal of Monetary Economics (2008)
- Tax Evasion and Financial Repression
Working papers, University of Connecticut, Department of Economics View citations (1)
See also Journal Article in Journal of Economics and Business (2008)
- Temporal Causality between Budget Deficit and Interest Rate: The Case of South Africa
Working Papers, University of Pretoria, Department of Economics View citations (1)
- Temporal Causality between Taxes and Public Expenditures: The Case of South Africa
Working Papers, University of Pretoria, Department of Economics View citations (1)
2006
- A BVAR Model for the South African Economy
Working Papers, University of Pretoria, Department of Economics View citations (17)
See also Journal Article in South African Journal of Economics (2006)
- A Small-Scale DSGE Model for Forecasting the South African Economy
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in South African Journal of Economics (2007)
- Active versus Passive Policies of Unemployment: Growth and Public Finance Perspectives
Working Papers, University of Pretoria, Department of Economics View citations (1)
- An Endogenous Growth Model of a Financially Repressed Small Open Economy
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in International Economic Journal (2009)
- An Investigation of Openness and Economic Growth Using Panel Estimation
Working Papers, University of Pretoria, Department of Economics View citations (10)
- Financial Liberalization and a Possible Growth-Inflation Trade-Off
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Indian Economic Review (2009)
- Financial Liberalization with Productive Public Expenditure and A Curb Market
Working Papers, University of Pretoria, Department of Economics
- Forecasting the South African Economy with VARs and VECMs
Working Papers, University of Pretoria, Department of Economics View citations (26)
See also Journal Article in South African Journal of Economics (2006)
- Growth-Effects of Inflation Targeting: The Role of Financial Sector Development
Working Papers, University of Pretoria, Department of Economics View citations (2)
See also Journal Article in Annals of Economics and Finance (2011)
- R&D, Openness, and Growth
Working Papers, University of Pretoria, Department of Economics
2005
- A Generic Model of Financial Repression
Working papers, University of Connecticut, Department of Economics View citations (1)
- Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
Working papers, University of Connecticut, Department of Economics 
See also Journal Article in The IUP Journal of Monetary Economics (2006)
- Costly State Monitoring and Reserve Requirements
Working papers, University of Connecticut, Department of Economics View citations (10)
See also Journal Article in Annals of Economics and Finance (2005)
- Effect of High Yielding Variety of Seeds in the State of West Bengal: An Empirical Quest
Working Papers, University of Pretoria, Department of Economics
- Endogenous Tax Evasion and Reserve Requirements: A Comparative Study in the Context of European Economies
Computing in Economics and Finance 2005, Society for Computational Economics View citations (3)
- Financial Liberalization and Inflationary Dynamics
Working papers, University of Connecticut, Department of Economics View citations (4)
- Financial Liberalization and Inflationary Dynamics in the Context of a Small Open Economy
Working papers, University of Connecticut, Department of Economics 
Also in Working Papers, University of Pretoria, Department of Economics (2005)
- Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
Working papers, University of Connecticut, Department of Economics View citations (1)
See also Journal Article in International Economic Journal (2007)
- Financial Liberalization and the Dynamics of Inflation, the Nominal Exchange Rate and the Terms of Trade
Working Papers, University of Pretoria, Department of Economics
See also Journal Article in Indian Economic Review (2007)
- Financial Liberalization: A Myth or a Miracle Cure?
Working Papers, University of Pretoria, Department of Economics View citations (1)
See also Journal Article in The IUP Journal of Monetary Economics (2008)
- Rational Expectations and the Effects of Financial Liberalization on Price Level and Output
Working Papers, University of Pretoria, Department of Economics
- Revisiting the Inflation-Repression Relationship
Working Papers, University of Pretoria, Department of Economics
- Revisiting the Temporal Causality between Money and Income
Working Papers, University of Pretoria, Department of Economics
- The Macroeconomic Reform and the Demand for Money in India
Working Papers, University of Pretoria, Department of Economics View citations (2)
Journal Articles
2023
- A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting
Financial Innovation, 2023, 9, (1), 1-23
- A note on financial vulnerability and volatility in emerging stock markets: evidence from GARCH-MIDAS models
Applied Economics Letters, 2023, 30, (1), 37-42
- Climate Change and Inequality: Evidence from the United States
Sustainability, 2023, 15, (6), 1-11
- Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century
Mathematics, 2023, 11, (9), 1-21 
See also Working Paper (2021)
- Climate risks and realized volatility of major commodity currency exchange rates
Journal of Financial Markets, 2023, 62, (C) 
See also Working Paper (2022)
- Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach
Financial Innovation, 2023, 9, (1), 1-22
- Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment
Mathematics, 2023, 11, (6), 1-26
- Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic
The Quarterly Review of Economics and Finance, 2023, 88, (C), 295-302 
See also Working Paper (2021)
- Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period
The North American Journal of Economics and Finance, 2023, 64, (C)
- Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning
Journal of Behavioral Finance, 2023, 24, (1), 111-122 
See also Working Paper (2021)
- Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data
Journal of Behavioral Finance, 2023, 24, (1), 56-72 
See also Working Paper (2020)
- Productivity and GDP: international evidence of persistence and trends over 130 years of data
Empirical Economics, 2023, 64, (3), 1219-1246 
See also Working Paper (2021)
- Structural and predictive analyses with a mixed copula‐based vector autoregression model
Journal of Forecasting, 2023, 42, (2), 223-239 
See also Working Paper (2021)
- Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
The Quarterly Review of Economics and Finance, 2023, 88, (C), 303-314 
See also Working Paper (2022)
- The effect of oil uncertainty shock on real GDP of 33 countries: a global VAR approach
Applied Economics Letters, 2023, 30, (3), 269-274 View citations (1)
See also Working Paper (2021)
- The impacts of oil price volatility on financial stress: Is the COVID-19 period different?
International Review of Economics & Finance, 2023, 85, (C), 520-532 
See also Working Paper (2021)
- The non-linear response of US state-level tradable and non-tradable inflation to oil shocks: The role of oil-dependence
Research in International Business and Finance, 2023, 64, (C) 
See also Working Paper (2021)
- The predictive power of Bitcoin prices for the realized volatility of US stock sector returns
Financial Innovation, 2023, 9, (1), 1-22
- The role of oil and risk shocks in the high‐frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market
International Journal of Finance & Economics, 2023, 28, (2), 1845-1857
- US monetary policy and BRICS stock market bubbles
Finance Research Letters, 2023, 51, (C) View citations (1)
See also Working Paper (2022)
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (1), 25-47
2022
- A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT
Annals of Financial Economics (AFE), 2022, 17, (02), 1-9 
See also Working Paper (2020)
- A Note on the COVID-19 Shock and Real GDP in Emerging Economies
Emerging Markets Finance and Trade, 2022, 58, (1), 93-101 View citations (1)
- A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data
International Journal of Finance & Economics, 2022, 27, (1), 384-400 View citations (1)
See also Working Paper (2019)
- ANALYZING THE IMPACT OF BREXIT ON GLOBAL UNCERTAINTY USING FUNCTIONAL LINEAR REGRESSION WITH POINT OF IMPACT: THE ROLE OF CURRENCY AND EQUITY MARKETS
The Singapore Economic Review (SER), 2022, 67, (04), 1377-1388 
See also Working Paper (2020)
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 73-98 
See also Working Paper (2017)
- Can monetary policy lean against housing bubbles?
Economic Modelling, 2022, 110, (C) View citations (4)
See also Working Paper (2018)
- Climate risks and forecastability of the realized volatility of gold and other metal prices
Resources Policy, 2022, 77, (C) View citations (1)
See also Working Paper (2021)
- Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks
Economics Letters, 2022, 217, (C) View citations (1)
See also Working Paper (2022)
- Commodity Prices and Forecastability of International Stock Returns over a Century: Sentiments versus Fundamentals with Focus on South Africa
Emerging Markets Finance and Trade, 2022, 58, (9), 2620-2636 View citations (2)
- Contagious diseases and gold: Over 700 years of evidence from quantile regressions
Finance Research Letters, 2022, 50, (C) View citations (1)
See also Working Paper (2022)
- Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
Journal of Behavioral Finance, 2022, 23, (3), 241-261 
See also Working Paper (2019)
- Evolving United States stock market volatility: The role of conventional and unconventional monetary policies
The North American Journal of Economics and Finance, 2022, 60, (C) View citations (1)
See also Working Paper (2021)
- Exchange rate predictability with nine alternative models for BRICS countries
Journal of Macroeconomics, 2022, 71, (C) 
See also Working Paper (2021)
- Financial market connectedness: The role of investors’ happiness
Finance Research Letters, 2022, 44, (C) View citations (4)
- Financial turbulence, systemic risk and the predictability of stock market volatility
Global Finance Journal, 2022, 52, (C) View citations (2)
See also Working Paper (2021)
- Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
JRFM, 2022, 15, (11), 1-15 
See also Working Paper (2022)
- Forecasting charge-off rates with a panel Tobit model: the role of uncertainty
Applied Economics Letters, 2022, 29, (10), 927-931 
See also Working Paper (2020)
- Forecasting oil and gold volatilities with sentiment indicators under structural breaks
Energy Economics, 2022, 105, (C) View citations (11)
See also Working Paper (2021)
- Forecasting oil prices over 150 years: The role of tail risks
Resources Policy, 2022, 75, (C) View citations (3)
See also Working Paper (2021)
- Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty
Resources Policy, 2022, 75, (C) View citations (2)
See also Working Paper (2021)
- Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis
Journal of Forecasting, 2022, 41, (2), 303-315 View citations (3)
See also Working Paper (2021)
- Forecasting returns of major cryptocurrencies: Evidence from regime-switching factor models
Finance Research Letters, 2022, 49, (C) View citations (1)
See also Working Paper (2022)
- Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?
International Journal of Finance & Economics, 2022, 27, (2), 2146-2152
- Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios
International Review of Financial Analysis, 2022, 83, (C) 
See also Working Paper (2021)
- Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?
Energy Economics, 2022, 114, (C) 
See also Working Paper (2022)
- Geopolitical risks and historical exchange rate volatility of the BRICS
International Review of Economics & Finance, 2022, 77, (C), 179-190 View citations (5)
See also Working Paper (2020)
- Global evidence of the COVID-19 shock on real equity prices and real exchange rates: A counterfactual analysis with a threshold-augmented GVAR model
Finance Research Letters, 2022, 47, (PA) View citations (1)
See also Working Paper (2021)
- Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model
Energy Economics, 2022, 108, (C) View citations (5)
See also Working Paper (2021)
- Globalization, long memory, and real interest rate convergence: a historical perspective
Empirical Economics, 2022, 63, (5), 2331-2355 
See also Working Paper (2020)
- Information entropy, continuous improvement, and US energy performance: a novel stochastic-entropic analysis for ideal solutions (SEA-IS)
Annals of Operations Research, 2022, 313, (1), 289-318 
See also Working Paper (2020)
- Interest rate uncertainty and the predictability of bank revenues
Journal of Forecasting, 2022, 41, (8), 1559-1569 
See also Working Paper (2021)
- Investors’ Uncertainty and Forecasting Stock Market Volatility
Journal of Behavioral Finance, 2022, 23, (3), 327-337 View citations (3)
See also Working Paper (2020)
- Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
Defence and Peace Economics, 2022, 33, (2), 150-161 View citations (2)
See also Working Paper (2020)
- Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty
The Journal of Real Estate Finance and Economics, 2022, 64, (4), 523-545 
See also Working Paper (2020)
- Mixed‐frequency forecasting of crude oil volatility based on the information content of global economic conditions
Journal of Forecasting, 2022, 41, (1), 134-157 View citations (3)
- Monetary policy reaction to uncertainty in Japan: Evidence from a quantile‐on‐quantile interest rate rule
International Journal of Finance & Economics, 2022, 27, (2), 2041-2053 
See also Working Paper (2019)
- Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach
International Journal of Finance & Economics, 2022, 27, (2), 2089-2109
- OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning
Finance Research Letters, 2022, 45, (C) 
See also Working Paper (2021)
- Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
JRFM, 2022, 15, (8), 1-26 View citations (3)
- Oil price shocks and yield curve dynamics in emerging markets
International Review of Economics & Finance, 2022, 80, (C), 613-623 View citations (1)
See also Working Paper (2020)
- Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high‐frequency data†
Scottish Journal of Political Economy, 2022, 69, (2), 169-185 View citations (1)
- Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data
Finance Research Letters, 2022, 46, (PB) View citations (1)
See also Working Paper (2021)
- Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
Energies, 2022, 15, (22), 1-26 
See also Working Paper (2022)
- Oil-price uncertainty and the U.K. unemployment rate: A forecasting experiment with random forests using 150 years of data
Resources Policy, 2022, 77, (C) View citations (3)
See also Working Paper (2020)
- On the transmission mechanism of Asia‐Pacific yield curve characteristics
International Journal of Finance & Economics, 2022, 27, (1), 473-488 
See also Working Paper (2018)
- Out-of-sample predictability of gold market volatility: The role of US Nonfarm Payroll
The Quarterly Review of Economics and Finance, 2022, 86, (C), 482-488 
See also Working Paper (2021)
- Persistence of state-level uncertainty of the United States: The role of climate risks
Economics Letters, 2022, 215, (C) View citations (3)
See also Working Paper (2022)
- Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks☆
The North American Journal of Economics and Finance, 2022, 59, (C) View citations (3)
- Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases
JRFM, 2022, 15, (1), 1-0 
See also Working Paper (2021)
- Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties
Journal of Behavioral Finance, 2022, 23, (2), 189-209 
See also Working Paper (2020)
- Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices
The North American Journal of Economics and Finance, 2022, 59, (C) 
See also Working Paper (2021)
- Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions
Resources Policy, 2022, 79, (C) 
See also Working Paper (2022)
- Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests
Journal of the Operational Research Society, 2022, 73, (8), 1755-1767 
See also Working Paper (2019)
- Socio-political instability and growth dynamics
Economic Systems, 2022, 46, (4) 
See also Working Paper (2018)
- Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin
The Quarterly Review of Economics and Finance, 2022, 84, (C), 398-406 View citations (1)
See also Working Paper (2020)
- The (Asymmetric) effect of El Niño and La Niña on gold and silver prices in a GVAR model
Resources Policy, 2022, 78, (C) View citations (2)
See also Working Paper (2021)
- The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach
Emerging Markets Finance and Trade, 2022, 58, (4), 1008-1026 View citations (1)
See also Working Paper (2019)
- The State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict
Sustainability, 2022, 14, (18), 1-9
- The behaviour of real interest rates: New evidence from a 'suprasecular' perspective
International Finance, 2022, 25, (1), 46-64
- The effects of climate risks on economic activity in a panel of US states: The role of uncertainty
Economics Letters, 2022, 213, (C) View citations (6)
See also Working Paper (2022)
- The financial US uncertainty spillover multiplier: Evidence from a GVAR model
International Finance, 2022, 25, (3), 313-340 
See also Working Paper (2021)
- The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis
International Journal of Finance & Economics, 2022, 27, (2), 1979-1988 
See also Working Paper (2019)
- The role of investor sentiment in forecasting housing returns in China: A machine learning approach
Journal of Forecasting, 2022, 41, (8), 1725-1740 
See also Working Paper (2020)
- Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning
Journal of Forecasting, 2022, 41, (6), 1049-1064
- Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis
Journal of Forecasting, 2022, 41, (7), 1525-1556 
See also Working Paper (2021)
- Uncertainty and tourism in Africa
Tourism Economics, 2022, 28, (4), 964-978 View citations (1)
See also Working Paper (2020)
- Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note
International Review of Finance, 2022, 22, (3), 540-550
2021
- A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios
Energies, 2021, 14, (20), 1-0 View citations (4)
See also Working Paper (2021)
- A note on investor happiness and the predictability of realized volatility of gold
Finance Research Letters, 2021, 39, (C) View citations (6)
See also Working Paper (2020)
- A note on oil price shocks and the forecastability of gold realized volatility
Applied Economics Letters, 2021, 28, (21), 1889-1897 View citations (1)
See also Working Paper (2020)
- Bayesian Spatial Modeling for Housing Data in South Africa
Sankhya B: The Indian Journal of Statistics, 2021, 83, (2), 395-414 
See also Working Paper (2018)
- Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
Finance Research Letters, 2021, 43, (C) 
See also Working Paper (2020)
- Bitcoin mining activity and volatility dynamics in the power market
Economics Letters, 2021, 209, (C) View citations (1)
See also Working Paper (2021)
- COVID-19 Pandemic and Investor Herding in International Stock Markets
Risks, 2021, 9, (9), 1-11 View citations (17)
See also Working Paper (2020)
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Energies, 2021, 14, (23), 1-0 View citations (3)
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Defence and Peace Economics, 2017, 28, (5), 609-620 View citations (2)
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2016
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Economia Internazionale / International Economics, 2016, 69, (1), 33-44
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Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2016, 84, (3), 1849-1858
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2015
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Economia Internazionale / International Economics, 2015, 68, (4), 451-467
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2014
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Journal of Financial Economic Policy, 2014, 6, (1), 46-63 
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Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 367-378 View citations (52)
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- Housing and the Great Depression
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- Housing and the business cycle in South Africa
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- Intertemporal portfolio allocation and hedging demand: an application to South Africa
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- Military expenditure, economic growth and structural instability: a case study of South Africa
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- Oil price uncertainty and manufacturing production
Energy Economics, 2014, 43, (C), 41-47 View citations (39)
- Persistence and cycles in historical oil price data
Energy Economics, 2014, 45, (C), 511-516 View citations (18)
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- Real interest rate persistence in South Africa: evidence and implications
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- Reconsidering the welfare cost of inflation in the US: a nonparametric estimation of the nonlinear long-run money-demand equation using projection pursuit regressions
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- Tax evasion, financial development and inflation: Theory and empirical evidence
Journal of Banking & Finance, 2014, 41, (C), 194-208 View citations (35)
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- Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries
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- The causal relationship between house prices and growth in the nine provinces of South Africa: evidence from panel - Granger causality tests
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- The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries
Energy Policy, 2014, 66, (C), 359-368 View citations (156)
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- Time-varying causality between research output and economic growth in US
Scientometrics, 2014, 100, (1), 203-216 View citations (23)
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- Time-varying linkages between tourism receipts and economic growth in South Africa
Applied Economics, 2014, 46, (36), 4381-4398 View citations (18)
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- Using large data sets to forecast sectoral employment
Statistical Methods & Applications, 2014, 23, (2), 229-264 View citations (2)
See also Working Paper (2012)
2013
- A DSGE-VAR model for forecasting key South African macroeconomic variables
Economic Modelling, 2013, 33, (C), 19-33 View citations (26)
- Does the source of oil price shocks matter for South African stock returns? A structural VAR approach
Energy Economics, 2013, 40, (C), 825-831 View citations (70)
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- Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes
Empirical Economics, 2013, 44, (2), 387-417 View citations (1)
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- Forecasting house prices for the four census regions and the aggregate US economy in a data-rich environment
Applied Economics, 2013, 45, (33), 4677-4697 View citations (11)
- Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model
Economic Modelling, 2013, 32, (C), 161-171 View citations (19)
- Macroeconomic Variables and South African Stock Return Predictability
Economic Modelling, 2013, 30, (C), 612-622 View citations (25)
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- Macroeconomic surprises and stock returns in South Africa
Studies in Economics and Finance, 2013, 30, (3), 266-282 
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- Metropolitan House Prices In Regions of India: Do They Converge?
Regional and Sectoral Economic Studies, 2013, 13, (1), 135-144 View citations (2)
- Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
Contemporary Economics, 2013, 7, (1) View citations (14)
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- The Impact of House Prices on Consumption in South Africa: Evidence from Provincial-Level Panel VARs
Housing Studies, 2013, 28, (8), 1133-1154 View citations (16)
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- The Role of Asset Prices in Forecasting Inflation and Output in South Africa
Journal of Emerging Market Finance, 2013, 12, (3), 239-291 View citations (30)
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- The causal relationship between exports and economic growth in the nine provinces of South Africa: evidence from panel-Granger causality test
International Journal of Economic Policy in Emerging Economies, 2013, 6, (3), 296-310 View citations (5)
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- The long-run impact of inflation in South Africa
Journal of Policy Modeling, 2013, 35, (5), 798-812 View citations (10)
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- The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
European Journal of Comparative Economics, 2013, 10, (1), 121-148 View citations (1)
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- ‘Ripple’ Effects in South African House Prices
Urban Studies, 2013, 50, (5), 876-894 View citations (14)
2012
- Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application of Saphe Cracking
Journal of Developing Areas, 2012, 46, (1), 45-54 View citations (9)
See also Working Paper (2009)
- Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure
Applied Economics Quarterly (formerly: Konjunkturpolitik), 2012, 58, (1), 19-70 View citations (25)
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- Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”
Applied Econometrics and International Development, 2012, 12, (2) View citations (6)
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- South African stock return predictability in the context data mining: The role of financial variables and international stock returns
Economic Modelling, 2012, 29, (3), 908-916 View citations (22)
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- Structural breaks and GARCH models of stock return volatility: The case of South Africa
Economic Modelling, 2012, 29, (6), 2435-2443 View citations (23)
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- THE EFFECTS OF MONETARY POLICY ON REAL FARM PRICES IN SOUTH AFRICA
Regional and Sectoral Economic Studies, 2012, 12, (1), 147-158 
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- The Time-Series Properties of House Prices: A Case Study of the Southern California Market
The Journal of Real Estate Finance and Economics, 2012, 44, (3), 339-361 View citations (30)
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- Valuation Ratios and Stock Return Predictability in South Africa: Is It There?
Emerging Markets Finance and Trade, 2012, 48, (1), 70-82 View citations (3)
- “Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix
The Annals of Regional Science, 2012, 48, (3), 763-782 View citations (27)
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2011
- A large factor model for forecasting macroeconomic variables in South Africa
International Journal of Forecasting, 2011, 27, (4), 1076-1088 View citations (26)
- An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa
Economic Modelling, 2011, 28, (3), 891-899 View citations (20)
See also Working Paper (2010)
- Currency Substitution and Financial Repression
International Economic Journal, 2011, 25, (1), 47-61 
See also Working Paper (2008)
- Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs
Indian Economic Review, 2011, 46, (1), 23-40 View citations (2)
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- Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
Journal of Forecasting, 2011, 30, (2), 288-302 View citations (14)
- Forecasting the US real house price index: Structural and non-structural models with and without fundamentals
Economic Modelling, 2011, 28, (4), 2013-2021 View citations (39)
See also Working Paper (2010)
- Growth-Effects of Inflation Targeting: The Role of Financial Sector Development
Annals of Economics and Finance, 2011, 12, (1), 65-87 View citations (3)
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- The long-run relationship between inflation and real stock prices: empirical evidence from South Africa
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2010
- CONVERGENCE OF METROPOLITAN HOUSE PRICES IN SOUTH AFRICA: A RE-EXAMINATION USING EFFICIENT UNIT ROOT TESTS
Applied Econometrics and International Development, 2010, 10, (1) View citations (11)
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- DYNAMIC TIME INCONSISTENCY AND THE SOUTH AFRICAN RESERVE BANK
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- Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments
The IUP Journal of Monetary Economics, 2010, VIII, (1 & 2), 77-112
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- Financial Liberalization and the Effectiveness of Monetary Policy on House Prices in South Africa
The IUP Journal of Monetary Economics, 2010, VIII, (4), 59-74 View citations (21)
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- Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models
Journal of Forecasting, 2010, 29, (1-2), 168-185 View citations (43)
See also Working Paper (2008)
- Forecasting the South African economy: a hybrid‐DSGE approach
Journal of Economic Studies, 2010, 37, (2), 181-195
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See also Working Paper (2009)
- Loan Portfolio Conditional Loss Estimation Using an Error-Correcting Macroeconometric Model
The African Finance Journal, 2010, 12, (2), 28-49 View citations (1)
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Journal of Economic Policy Reform, 2010, 13, (3), 241-249 
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- Predicting Downturns in the US Housing Market: A Bayesian Approach
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Annals of Economics and Finance, 2010, 11, (1), 139-153 View citations (12)
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- THE EFFECT OF DEFENSE SPENDING ON US OUTPUT: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH
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- The effect of monetary policy on house price inflation
Journal of Economic Studies, 2010, 37, (6), 616-626
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Economic Modelling, 2010, 27, (1), 315-323 View citations (68)
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2009
- A New-Keynesian DSGE model for forecasting the South African economy
Journal of Forecasting, 2009, 28, (5), 387-404 View citations (25)
See also Working Paper (2008)
- An Endogenous Growth Model of a Financially Repressed Small Open Economy
International Economic Journal, 2009, 23, (1), 143-161 View citations (1)
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- BAYESIAN METHODS OF FORECASTING INVENTORY INVESTMENT
South African Journal of Economics, 2009, 77, (1), 113-126 View citations (4)
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Journal of Housing Economics, 2009, 18, (4), 325-335 View citations (29)
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- Financial Liberalization and a Possible Growth-Inflation Trade-Off
Indian Economic Review, 2009, 44, (1), 1-19 View citations (2)
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- Half-Life Deviations from PPP in the South African Development Community (SADC)
Applied Econometrics and International Development, 2009, 9, (1) View citations (3)
- Linking global economic dynamics to a South African-specific credit risk correlation model
Economic Modelling, 2009, 26, (5), 1000-1011 View citations (11)
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- Market Microstructure Approach to the Exchange Rate Determination Puzzle
The IUP Journal of Monetary Economics, 2009, VII, (3-4), 101-115 View citations (2)
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- TESTING FOR FRACTIONAL INTEGRATION IN SOUTHERN AFRICAN DEVELOPMENT COMMUNITY REAL EXCHANGE RATES
South African Journal of Economics, 2009, 77, (4), 531-537 View citations (1)
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South African Journal of Economics, 2009, 77, (3), 351-362 View citations (7)
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- Tax evasion and financial repression: a reconsideration using endogenous growth models
Journal of Economic Studies, 2009, 36, (6), 660-674 
See also Working Paper (2008)
- Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?
Studies in Economics and Econometrics, 2009, 33, (1), 16-27 
See also Working Paper (2008)
- Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation
Studies in Economics and Econometrics, 2009, 33, (3), 95-109 
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2008
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Economic Notes, 2008, 37, (2), 141-154 View citations (6)
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- Financial Liberalization: A Myth or a Miracle Cure?
The IUP Journal of Monetary Economics, 2008, VI, (1), 6-33 View citations (3)
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- MEASURING THE WELFARE COST OF INFLATION IN SOUTH AFRICA
South African Journal of Economics, 2008, 76, (1), 16-25 View citations (6)
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- Modeling and Forecasting the Metical-Rand Exchange Rate
The IUP Journal of Monetary Economics, 2008, VI, (4), 63-90 View citations (3)
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Agrekon, 2008, 47, (2), 18 View citations (3)
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South African Journal of Economics, 2008, 76, (2), 298-313 View citations (23)
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- Tax evasion and financial repression
Journal of Economics and Business, 2008, 60, (6), 517-535 View citations (17)
See also Working Paper (2007)
2007
- A SMALL‐SCALE DSGE MODEL FOR FORECASTING THE SOUTH AFRICAN ECONOMY
South African Journal of Economics, 2007, 75, (2), 179-193 View citations (39)
See also Working Paper (2006)
- FORECASTING THE SOUTH AFRICAN ECONOMY WITH GIBBS SAMPLED BVECMs
South African Journal of Economics, 2007, 75, (4), 631-643 View citations (9)
See also Working Paper (2007)
- Financial Liberalization and Inflationary Dynamics: An Open Economy Analysis
International Economic Journal, 2007, 21, (3), 335-360 
See also Working Paper (2005)
- Financial Liberalization and the Dynamics of Inflation, Nominal Exchange Rate, and Terms of Trade
Indian Economic Review, 2007, 42, (2), 165-176
See also Working Paper (2005)
2006
- A BVAR MODEL FOR THE SOUTH AFRICAN ECONOMY
South African Journal of Economics, 2006, 74, (3), 391-409 View citations (19)
See also Working Paper (2006)
- Asymmetric Information, Tax Evasion and Alternative Instruments of Government Revenue
The IUP Journal of Monetary Economics, 2006, IV, (1), 75 - 89 View citations (4)
See also Working Paper (2005)
- FORECASTING THE SOUTH AFRICAN ECONOMY WITH VARs AND VECMs
South African Journal of Economics, 2006, 74, (4), 611-628 View citations (26)
See also Working Paper (2006)
2005
- Costly State Monitoring and Reserve Requirements
Annals of Economics and Finance, 2005, 6, (2), 263-288 View citations (8)
See also Working Paper (2005)
Chapters
2022
- The effect of macroeconomic uncertainty on housing returns and volatility: evidence from US state-level data
Chapter 8 in Handbook of Real Estate and Macroeconomics, 2022, pp 206-238 
See also Working Paper (2021)
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