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Details about Anandamayee Majumdar

Workplace:Center of Advanced Statistics and Econometrics, Soochow University, (more information at EDIRC)

Access statistics for papers by Anandamayee Majumdar.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pma2208


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Working Papers

2024

  1. Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments
    Working Papers, University of Pretoria, Department of Economics

2021

  1. Bayesian Testing Of Granger Causality In Functional Time Series
    Papers, arXiv.org Downloads
    See also Journal Article Bayesian Testing of Granger Causality in Functional Time Series, Journal of Quantitative Economics, Springer (2022) Downloads (2022)
  2. 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 (2)
    See also Journal Article GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES, Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd. (2021) Downloads (2021)

2020

  1. Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Time-varying risk aversion and forecastability of the US term structure of interest rates, Finance Research Letters, Elsevier (2021) Downloads View citations (1) (2021)

2017

  1. Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Predicting stock market movements with a time-varying consumption-aggregate wealth ratio, International Review of Economics & Finance, Elsevier (2019) Downloads View citations (5) (2019)

2016

  1. Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach, The Quarterly Review of Economics and Finance, Elsevier (2017) Downloads View citations (21) (2017)
  2. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach, Open Economies Review, Springer (2017) Downloads View citations (10) (2017)

2015

  1. Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article Comparing the forecasting ability of financial conditions indices: The case of South Africa, The Quarterly Review of Economics and Finance, Elsevier (2018) Downloads View citations (7) (2018)
  2. Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis
    Working Papers, University of Pretoria, Department of Economics View citations (27)
    See also Journal Article Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis, Finance Research Letters, Elsevier (2016) Downloads View citations (70) (2016)

2014

  1. Forecasting Aggregate Retail Sales: The Case of South Africa
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (3)

    See also Journal Article Forecasting aggregate retail sales: The case of South Africa, International Journal of Production Economics, Elsevier (2015) Downloads View citations (12) (2015)
  2. Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article Forecasting US real house price returns over 1831-2013: evidence from copula models, Applied Economics, Taylor & Francis Journals (2015) Downloads View citations (8) (2015)

2013

  1. Was the Recent Downturn in US GDP Predictable?
    Working papers, University of Connecticut, Department of Economics Downloads
    Also in Working Papers, University of Nevada, Las Vegas , Department of Economics (2012) Downloads
    Working Papers, University of Pretoria, Department of Economics (2012)

2011

  1. Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes
    Working Papers, University of Nevada, Las Vegas , Department of Economics Downloads View citations (2)
    Also in Working papers, University of Connecticut, Department of Economics (2010) Downloads View citations (2)
    Working Papers, Eastern Mediterranean University, Department of Economics (2010) Downloads View citations (1)
    Working Papers, University of Pretoria, Department of Economics (2010)

    See also Journal Article Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes, Empirical Economics, Springer (2013) Downloads View citations (1) (2013)
  2. Reconsidering the Welfare Cost of Inflation in the US: A Nonparametric Estimation of the Nonlinear Long-Run Money Demand Equation using Projection Pursuit Regressions
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article Reconsidering the welfare cost of inflation in the US: a nonparametric estimation of the nonlinear long-run money-demand equation using projection pursuit regressions, Empirical Economics, Springer (2014) Downloads View citations (6) (2014)

Journal Articles

2022

  1. Bayesian Testing of Granger Causality in Functional Time Series
    Journal of Quantitative Economics, 2022, 20, (1), 191-210 Downloads
    See also Working Paper Bayesian Testing Of Granger Causality In Functional Time Series, Papers (2021) Downloads (2021)

2021

  1. GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES
    Annals of Financial Economics (AFE), 2021, 16, (03), 1-16 Downloads
    See also Working Paper Geopolitical Risks and the High-Frequency Movements of the US Term Structure of Interest Rates, Working Papers (2021) View citations (2) (2021)
  2. Time-varying risk aversion and forecastability of the US term structure of interest rates
    Finance Research Letters, 2021, 42, (C) Downloads View citations (1)
    See also Working Paper Time-Varying Risk Aversion and Forecastability of the US Term Structure of Interest Rates, Working Papers (2020) (2020)

2020

  1. Tagore’s Song-Counts by Thematic and Non-Thematic Classification: A Statistical Case Study
    Sankhya B: The Indian Journal of Statistics, 2020, 82, (1), 165-200 Downloads

2019

  1. Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
    International Review of Economics & Finance, 2019, 59, (C), 458-467 Downloads View citations (5)
    See also Working Paper Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio, Working Papers (2017) View citations (1) (2017)

2018

  1. Comparative study and sensitivity analysis of skewed spatial processes
    Computational Statistics, 2018, 33, (1), 75-98 Downloads
  2. Comparing the forecasting ability of financial conditions indices: The case of South Africa
    The Quarterly Review of Economics and Finance, 2018, 69, (C), 245-259 Downloads View citations (7)
    See also Working Paper Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa, Working Papers (2015) View citations (6) (2015)

2017

  1. Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach
    The Quarterly Review of Economics and Finance, 2017, 65, (C), 276-284 Downloads View citations (21)
    See also Working Paper Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach, Working Papers (2016) View citations (4) (2016)
  2. The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach
    Open Economies Review, 2017, 28, (1), 47-59 Downloads View citations (10)
    See also Working Paper The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach, Working Papers (2016) (2016)

2016

  1. Analysis of bivariate zero inflated count data with missing responses
    Journal of Multivariate Analysis, 2016, 148, (C), 73-82 Downloads
  2. Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis
    Finance Research Letters, 2016, 18, (C), 291-296 Downloads View citations (70)
    See also Working Paper Incorporating Economic Policy Uncertainty in US Equity Premium Models: A Nonlinear Predictability Analysis, Working Papers (2015) View citations (27) (2015)

2015

  1. Forecasting US real house price returns over 1831-2013: evidence from copula models
    Applied Economics, 2015, 47, (48), 5204-5213 Downloads View citations (8)
    See also Working Paper Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models, Working Papers (2014) View citations (1) (2014)
  2. Forecasting aggregate retail sales: The case of South Africa
    International Journal of Production Economics, 2015, 160, (C), 66-79 Downloads View citations (12)
    See also Working Paper Forecasting Aggregate Retail Sales: The Case of South Africa, Working Papers (2014) Downloads View citations (2) (2014)
  3. Was the recent downturn in US real GDP predictable?
    Applied Economics, 2015, 47, (28), 2985-3007 Downloads View citations (6)

2014

  1. Reconsidering the welfare cost of inflation in the US: a nonparametric estimation of the nonlinear long-run money-demand equation using projection pursuit regressions
    Empirical Economics, 2014, 46, (4), 1221-1240 Downloads View citations (6)
    See also Working Paper Reconsidering the Welfare Cost of Inflation in the US: A Nonparametric Estimation of the Nonlinear Long-Run Money Demand Equation using Projection Pursuit Regressions, Working Papers (2011) View citations (5) (2011)

2013

  1. Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes
    Empirical Economics, 2013, 44, (2), 387-417 Downloads View citations (1)
    See also Working Paper Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes, Working Papers (2011) Downloads View citations (2) (2011)

2011

  1. A non-stationary spatial generalized linear mixed model approach for studying plant diversity
    Journal of Applied Statistics, 2011, 38, (9), 1935-1950 Downloads

2010

  1. Bivariate Zero-Inflated Regression for Count Data: A Bayesian Approach with Application to Plant Counts
    The International Journal of Biostatistics, 2010, 6, (1), 26 Downloads View citations (1)

2006

  1. Gradients in Spatial Response Surfaces With Application to Urban Land Values
    Journal of Business & Economic Statistics, 2006, 24, 77-90 Downloads View citations (10)
 
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