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Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.

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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
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 Downloads
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 Downloads
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 Downloads
Aviral Tiwari, Zinnia Mukherjee, Rangan Gupta and Mehmet Balcilar
201830: Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings Downloads
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 Downloads
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 Downloads
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
201813: Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using over One Century of Data Downloads
Mamothoana Difeto, Reneé van Eyden, Rangan Gupta and Mark Wohar
201812: Spillovers between Bitcoin and other Assets during Bear and Bull Markets
Elie Bouri, Mahamitra Das, Rangan Gupta and David Roubaud
201811: Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data
Riza Demirer and Rangan Gupta
201810: Persistence of Economic Uncertainty: A Comprehensive Analysis Downloads
Vasilios Plakandaras, Rangan Gupta and Mark Wohar
201809: The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests Downloads
Rangan Gupta, Christian Pierdzioch, Andrew Vivian and Mark Wohar
201808: Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from Stocks, Bonds and Commodities
Zintle Twala, Riza Demirer and Rangan Gupta
201807: Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over a Century of Data Downloads
Matthew Clance, Rangan Gupta and Mark Wohar
201806: International Monetary Policy Spillovers: Evidence from a TVP-VAR Downloads
Nikolaos Antonakakis, David Gabauer and Rangan Gupta
201805: Volatility Jumps: The Role of Geopolitical Risks
Konstantinos Gkillas (Gillas), Rangan Gupta and Mark Wohar
201804: Investor Sentiment and Crash Risk in Safe Havens Downloads
Adnen Ben Nasr, Matteo Bonato, Riza Demirer and Rangan Gupta
201803: Does Financial Development Affect Income Inequality in the U.S. States? A Panel Data Analysis Downloads
Manoel Bittencourt, Shinhye Chang, Rangan Gupta and Stephen Miller
201802: Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
Nikolaos Antonakakis, David Gabauer, Rangan Gupta and Vasilios Plakandaras
201801: Insurance-Growth Nexus in Africa
Mehmet Balcilar, Rangan Gupta, Chien-Chiang Lee and Godwin Olasehinde-Williams
201782: The Effectiveness of Monetary and Fiscal Policy Shocks on U.S. Inequality: The Role of Uncertainty
Goodness Aye, Matthew Clance and Rangan Gupta
201781: Is Wine a Good Choice for Investment?
Elie Bouri, Rangan Gupta, Wing-Keung Wong and Zhenzhen Zhu
201780: Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains
Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar
201779: An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data
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
Patrick Kanda, Michael Burke and Rangan Gupta
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