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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
201862: Forecasting with Second-Order Approximations and Markov Switching DSGE Models Downloads
Sergey Ivashchenko, Semih Çekin, Kevin Kotzé and Rangan Gupta
201861: Firm-Level Political Risk and Asymmetric Volatility
Goodness Aye, Mehmet Balcilar, Riza Demirer and Rangan Gupta
201860: Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility Downloads
Riza Demirer, Rangan Gupta, Qiang Ji and Aviral Tiwari
201859: Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom? Downloads
Hossein Hassani, Mohammad Yeganegi and Rangan Gupta
201858: Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin? Downloads
Libing Fang, Elie Bouri, Rangan Gupta and David Roubaud
201857: The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels Downloads
Rangan Gupta, Godwin Olasehinde-Williams and Mark Wohar
201856: Trade Openness and Fertility Rates in Africa: Panel-Data Evidence Downloads
Manoel Bittencourt, Matthew Clance and Yoseph Getachew
201855: Socio-Political Instability and Growth Dynamics Downloads
Manoel Bittencourt, Rangan Gupta, Philton Makena and Lardo Stander
201854: Random Expected Utility Theory with a Continuum of Prizes Downloads
Wei Ma
201853: Manager Sentiment and Stock Market Volatility Downloads
Rangan Gupta
201852: Conflict Heterogeneity in Africa Downloads
Carolyn Chisadza and Matthew Clance
201851: The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data Downloads
Rangan Gupta and Mark Wohar
201850: Spillover of Mortgage Default Risks in the United States: Evidence from Metropolitan Statistical Areas and States Downloads
Qiang Ji, Rangan Gupta, Festus Bekun and Mehmet Balcilar
201849: Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector Downloads
Rangan Gupta, Zhihui Lv and Wing-Keung Wong
201848: Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress Downloads
Rangan Gupta, Patrick Kanda, Aviral Tiwari and Mark Wohar
201847: Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks
Vasilios Plakandaras, Rangan Gupta and Wing-Keung Wong
201846: Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests Downloads
Riza Demirer, Rangan Gupta, Zhihui Lv and Wing-Keung Wong
201845: Monetary Policy and Bubbles in US REITs Downloads
Petre Caraiani, Adrian Cantemir Calin and Rangan Gupta
201844: Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence Downloads
Mehmet Balcilar, Rangan Gupta, Wei Ma and Philton Makena
201843: Uncertainty and Volatility Jumps in the Pound-Dollar Exchange Rate: Evidence from Over One Century of Data Downloads
Konstantinos Gkillas, Rangan Gupta and Dimitrios Vortelinos
201842: The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model Downloads
Rangan Gupta, Chi Lau, Vasilios Plakandaras and Wing-Keung Wong
201841: Time-Varying Impact of Geopolitical Risks on Oil Prices Downloads
Juncal Cunado, Rangan Gupta, Chi Lau and Xin Sheng
201840: Greek Economic Policy Uncertainty: Does it Matter for the European Union? Downloads
Nikolaos Antonakakis, David Gabauer and Rangan Gupta
201839: Conventional and Unconventional Monetary Policy Reaction to Uncertainty in Advanced Economies: Evidence from Quantile Regressions
Christina Christou, Ruthira Naraidoo and Rangan Gupta
201838: Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150 Years of Data Downloads
Giorgio Canarella, Luis Gil-Alana, Rangan Gupta and Stephen Miller
201837: Bayesian Spatial Modeling for Housing Data in South Africa Downloads
Bingling Wang, Sudipto Banerjee and Rangan Gupta
201836: Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability Downloads
Rangan Gupta and Vasilios Plakandaras
201835: Effects of Geopolitical Risks on Trade Flows: Evidence from the Gravity Model
Ender Demir, Giray Gözgör, Rangan Gupta and Huseyin Kaya
201834: Herding Behaviour in the Cryptocurrency Market
Elie Bouri, Rangan Gupta and David Roubaud
201833: Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data Downloads
Yanele Nyamela, Vasilios Plakandaras and Rangan Gupta
201832: Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States Downloads
Goodness Aye and Rangan Gupta
201831: A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices
Aviral Tiwari, Zinnia Mukherjee, Rangan Gupta and Mehmet Balcilar
201830: Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings
Rangan Gupta, Patrick Kanda and Mark Wohar
201829: On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach
David Gabauer and Rangan Gupta
201828: Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests
Abdulnasser Hatemi-J, Chi-Chuan Lee, Chien-Chiang Lee and Rangan Gupta
201827: Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation Approach
Goodness Aye
201826: Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models Downloads
Rangan Gupta, Florian Huber and Philipp Piribauer
201825: Oil Shocks and Volatility Jumps
Konstantinos Gkillas (Gillas), Rangan Gupta and Mark Wohar
201824: Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach
Aviral Tiwari, Goodness Aye and Rangan Gupta
201823: Is There a Role for Uncertainty in Forecasting Output Growth in OECD Countries? Evidence from a Time Varying Parameter-Panel Vector Autoregressive Model
Goodness Aye, Rangan Gupta, Chi Lau and Xin Sheng
201822: Are BRICS Exchange Rates Chaotic?
Vasilios Plakandaras, Rangan Gupta, Luis Gil-Alana and Mark Wohar
201821: Unveiling the Endogenous Relationship between Technical Efficiency and Value Creation in Mergers and Acquisitions in Nigeria Downloads
Mfon Akpan, Peter Wanke, Jorge Antunes and Rangan Gupta
201820: Asymmetric Effects of Inequality on Per Capita Real GDP of the United States
Adnen Ben Nasr, Mehmet Balcilar, Rangan Gupta and Seyi Akadiri
201819: Growth Volatility and Inequality in the U.S.: A Wavelet Analysis
Shinhye Chang, Rangan Gupta, Stephen Miller and Mark Wohar
201818: The Synergistic Effect of Insurance and Banking Sector Activities on Economic Growth in Africa
Mehmet Balcilar, Rangan Gupta, Chien-Chiang Lee and Godwin Olasehinde-Williams
201817: High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach
Wendy Nyakabawo, Rangan Gupta and Hardik Marfatia
201816: Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data
Juncal Cunado, Luis Gil-Alana and Rangan Gupta
201815: Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis
Qiang Ji, Hardik Marfatia and Rangan Gupta
201814: Investor Sentiment Connectedness: Evidence from Linear and Nonlinear Causality Approaches Downloads
Aviral Tiwari, Deven Bathia, Elie Bouri and Rangan Gupta
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