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Working Papers

From University of Pretoria, Department of Economics
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2015100: Time-Varying Correlations between Trade Balance and Stock Prices in the United States over the Period 1792 to 2013
Nikolaos Antonakakis, Rangan Gupta and Aviral Twari
201781: Is Wine a Good Choice for Investment? Downloads
Elie Bouri, Rangan Gupta, Wing-Keung Wong and Zhenzhen Zhu
201780: Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains Downloads
Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar
201779: An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data Downloads
Vasilios Plakandaras, Rangan Gupta and Mark Wohar
201778: Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Evidence from Over Two Centuries of Data Downloads
Patrick Kanda, Michael Burke and Rangan Gupta
201777: Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model Downloads
Christos Bouras, Christina Christou, Rangan Gupta and Tahir Suleman
201776: Economic Policy Uncertainty and Insurance Downloads
Mehmet Balcilar, Rangan Gupta, Chien-Chiang Lee and Godwin Olasehinde-Williams
201775: Oil Returns and Volatility: The Role of Mergers and Acquisitions Downloads
Martijn Bos, Riza Demirer, Rangan Gupta and Aviral Tiwari
201774: The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized Volatility: Evidence from Quantile Predictive Regressions Downloads
Christina Christou, Rangan Gupta, Christis Hassapis and Tahir Suleman
201773: Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role of Economic, Financial and Political Risks Downloads
Sheung-Chi Chow, Rangan Gupta, Tahir Suleman and Wing-Keung Wong
201772: Inflation Dynamics in Uganda: A Quantile Regression Approach Downloads
Francis Anguyo, Rangan Gupta and Kevin Kotzé
201771: Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data Downloads
Lanouar Charfeddine, Karim Khediri, Goodness Aye and Rangan Gupta
201770: The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility Downloads
Rangan Gupta, Tahir Suleman and Mark Wohar
201769: Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Market Economies Downloads
Christian Tipoy, Marthinus Breitenbach and Mulatu Fekadu Zerihun
201768: Redistributive Innovation Policy, Inequality and Efficiency Downloads
Parantap Basu and Yoseph Getachew
201767: Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks Downloads
Rangan Gupta, Tahir Suleman and Mark Wohar
201766: Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty
Rangan Gupta, Jun Ma, Marian Risse and Mark Wohar
201765: Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data Downloads
Vasilios Plakandaras, Rangan Gupta, Constantinos Katrakilidis and Mark Wohar
201764: Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies: A Note
Wilson Donzwa, Rangan Gupta and Mark Wohar
201763: Kuznets Curve for the US: A Reconsideration Using Cosummability
Adnen Ben Nasr, Mehmet Balcilar, Seyi Akadiri and Rangan Gupta
201762: Time-Varying Rare Disaster Risks, Oil Returns and Volatility Downloads
Riza Demirer, Rangan Gupta, Tahir Suleman and Mark Wohar
201761: A Note on the Technology Herd: Evidence from Large Institutional Investors
Esin Cakan, Riza Demirer, Rangan Gupta and Josine Uwilingiye
201760: Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Aggregate Commodity and Gold Prices Downloads
Elie Bouri, Rangan Gupta, Amine Lahiani and Muhammad Shahbaz
201759: Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data Downloads
Qiang Ji, Bing-Yue Liu, Juncal Cunado and Rangan Gupta
201757: The Effect of Economic Uncertainty on the Housing Market Cycle Downloads
Goodness Aye, Matthew Clance and Rangan Gupta
201756: Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio
Tsangyao Chang, Rangan Gupta, Anandamayee Majumdar and Christian Pierdzioch
201755: The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data Downloads
Rangan Gupta, Marian Risse, David Volkman and Mark Wohar
201754: OPEC News Announcement Effect on Volatility Jumps in the Crude Oil Market Downloads
Rangan Gupta, Chi Lau and Seong-Min Yoon
201753: Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016
Goodness Aye, Hector Carcel, Luis Gil-Alana and Rangan Gupta
201752: On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators Downloads
Riza Demirer, Guilherme Demos, Rangan Gupta and Didier Sornette
201751: Decomposing the South African CO2 Emissions within a BRICS Countries Context the Energy Rebound Hypothesis Downloads
Roula Inglesi-Lotz
201750: Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles Downloads
Elie Bouri, Rangan Gupta, Chi Lau, David Roubaud and Shixuan Wang
201749: Oil Speculation and Herding Behavior in Emerging Stock Markets
Esin Cakan, Riza Demirer, Rangan Gupta and Hardik Marfatia
201748: Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE Approach Downloads
Francis Anguyo, Rangan Gupta and Kevin Kotze
201747: 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
Refk Selmi, Christos Kollias, Stephanos Papadamou and Rangan Gupta
201746: Does the Equivalence Scale Matter? Equivalence and Out-of-Pocket Payments Downloads
Steven Koch
201745: Rationalizable Information Equilibria Downloads
Alexander Zimper
201744: Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model
Rangan Gupta, Christian Pierdzioch, Refk Selmi and Mark Wohar
201743: Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note
Elie Bouri, Riza Demirer, Rangan Gupta and Hardik Marfatia
201742: U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
Rangan Gupta, Chi Lau, Stephen Miller and Mark Wohar
201741: Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach
Mehmet Balcilar, Seyi Akadiri, Rangan Gupta and Stephen Miller
201740: Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence
Giorgio Canarella, Rangan Gupta, Stephen Miller and Stephen Pollard
201739: Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data Downloads
Mawuli Segnon, Chi Lau, Bernd Wilfling and Rangan Gupta
201738: Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach
Christina Christou, Ruthira Naraidoo, Rangan Gupta and Won Kim
201737: Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach
Vasilios Plakandaras, Rangan Gupta, Periklis Gogas and Theophilos Papadimitriou
201736: A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach
Rangan Gupta and Hardik Marfatia
201735: Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data Downloads
Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar
201734: Foreign Market Selection of Emerging Multinational Corporations: Evidence from South African and Egyptian Corporations Downloads
Mustafa Sakr and Andre Jordaan
201733: The Effect of Education on a Country’s Energy Consumption: Evidence from Developed and Developing Countries Downloads
Roula Inglesi-Lotz and Luis Morales
201732: Uncertainty and Forecasts of U.S. Recessions Downloads
Christian Pierdzioch and Rangan Gupta
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