Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta (rangan.gupta@up.ac.za).

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202426: Assessing the Growth-Enhancing Effect of State Contingent Debt Instruments

Sarah Nandnaba and Rangan Gupta

202425: GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables

Kejin Wu, Sayar Karmakar and Rangan Gupta

202424: Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks

Elie Bouri, Rangan Gupta, Asingamaanda Liphadzi and Christian Pierdzioch

202423: Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices

Rangan Gupta and Christian Pierdzioch

202422: Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets

Xuewei Zhou, Zisheng Ouyang, Rangan Gupta and Qiang Ji

202421: Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments

Thanoj K. Muddana, Komal S.R. Bhimireddy, Anandamayee Majumdar and Rangan Gupta

202420: Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging

Jiawen Luo, Shengjie Fu, Oguzhan Cepni and Rangan Gupta

202419: Can Municipal Bonds Hedge US State-Level Climate Risks?

Onur Polat, Rangan Gupta, Oguzhan Cepni and Qiang Ji

202418: Energy Market Uncertainties and Exchange Rate Volatility: A GARCH-MIDAS Approach

Afees Salisu, Ahamuefula Ogbonna, Rangan Gupta and Qiang Ji

202417: A Note on Oil Consumption and Growth: The Role of Greenhouse Gases Emissions

Sarah Nandnaba, Abebe Hailemariam, Rangan Gupta and Xin Sheng

202416: Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?

Vassilios Babalos, Elie Bouri and Rangan Gupta

202415: Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks

Matteo Foglia, Vasilios Plakandaras, Rangan Gupta and Qiang Ji

202414: Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes

Oguzhan Cepni, Riza Demirer, Rangan Gupta and Christian Pierdzioch

202413: Health Gains Arising from Reduced Risk Consumption: South Africa's PRIME Example

Steven Koch

202412: Forecasting Real Housing Price Returns of the United States using Machine Learning: The Role of Climate Risks

Bruno Sales, Hudson Torrent and Rangan Gupta

202411: Presidential Approval Ratings and Stock Market Performance in Latin America

Yuvana Jaichand, Renee van Eyden and Rangan Gupta

202410: The Effects of Uncertainty on Economic Conditions across US States: The Role of Climate Risks

Xin Sheng, Rangan Gupta, Wenting Liao and Oguzhan Cepni

202409: Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach

Afees Salisu, Ahamuefula Oghonna, Rangan Gupta and Oguzhan Cepni

202408: Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202407: Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks

Massimiliano Caporin, Petre Caraiani, Oguzhan Cepni and Rangan Gupta

202406: Modeling the Presidential Approval Ratings of the United States using Machine-Learning: Does Climate Policy Uncertainty Matter?

Elie Bouri, Rangan Gupta and Christian Pierdzioch

202405: How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence

Yunhan Zhang, Qiang Ji, David Gabauer and Rangan Gupta

202404: Climate Change and Growth Dynamics

Rangan Gupta, Sarah Nandnaba and Wei Jiang

202403: Socio-Spatial Features of Neighbourhoods Supporting Social Interaction between Locals and Migrants in Peri-Urban China

Linyan Dai, Xin Sheng and Rangan Gupta

202402: Extreme Weather Shocks and State-Level Inflation of the United States

Wenting Liao, Xin Sheng, Rangan Gupta and Sayar Karmakar

202401: Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention

Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202340: Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models

Ruipeng Liu, Mawuli Segnon, Oguzhan Cepni and Rangan Gupta

202339: Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data

Afees Salisu and Rangan Gupta

202338: Governance and Debt Accumulation in Africa

Augustin Fosu and Dede Gafa

202337: Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks

Matteo Foglia, Vasilios Plakandaras, Rangan Gupta and Elie Bouri

202336: Energy-Related Uncertainty and International Stock Market Volatility

Afees Salisu, Ahamuefula Ogbonna, Rangan Gupta and Elie Bouri

202335: Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States

Rangan Gupta and Damien Moodley

202334: Examining the Interlinkage between CO2 Emissions and Inclusive Human Development: Unveiling the Significance of Effective Institutions

Alanda Venter and Roula Inglesi-Lotz

202333: Oil Price Uncertainty and Predictability of Multi-Scale Positive and Negative Bubbles in the BRICS: Evidence from a Nonparametric Causality-in-Quantiles Test

Rangan Gupta, Jacobus Nel and Joshua Nielsen

202332: Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty

Renee van Eyden, Rangan Gupta, Xin Sheng and Joshua Nielsen

202331: Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States

Chevaughn van der Westhuizen, Renee van Eyden and Goodness Aye

202330: Housing Market Variables and Predictability of State-Level Stock Market Volatility of the United States: Evidence from a GARCH-MIDAS Approach

Afees Salisu, Rangan Gupta and Oguzhan Cepni

202329: Forecasting International Financial Stress: The Role of Climate Risks

Santino Del Fava, Rangan Gupta, Christian Pierdzioch and Lavinia Rognone

202328: Comparing Risk Profiles of International Stock Markets as Functional Data: COVID-19 versus the Global Financial Crisis

Ryan Shackleton, Sonali Das and Rangan Gupta

202327: Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach

Afees Salisu, Rangan Gupta, Oguzhan Cepni and Petre Caraiani

202326: Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa

Kejin Wu, Sayar Karmakar, Rangan Gupta and Christian Pierdzioch

202325: Stock Market Bubbles and the Realized Volatility of Oil Price Returns

Rangan Gupta, Joshua Nielsen and Christian Pierdzioch

202324: Time-Varying Effects of Extreme Weather Shocks on Output Growth of the United States

Xin Sheng, Rangan Gupta and Oguzhan Cepni

202323: Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model

Afees Salisu, Wenting Liao, Rangan Gupta and Oguzhan Cepni

202322: Effect of Temperature on the Spread of Contagious Diseases: Evidence from over 2000 Years of Data

Mehmet Balcilar, Zinnia Mukherjee, Rangan Gupta and Sonali Das

202321: The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020

Desiree Kunene, Renee van Eyden, Petre Caraiani and Rangan Gupta

202320: Financial Stress and Realized Volatility: The Case of Agricultural Commodities

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202319: Realized Stock Market Volatility of the United States: The Role of Employee Sentiment

Rangan Gupta, Savanah Hall and Christian Pierdzioch

202318: Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023

Rangan Gupta, Qiang Ji, Christian Pierdzioch and Vasilios Plakandaras

202317: Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets

Riza Demirer, David Gabauer, Rangan Gupta and Joshua Nielsen