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Working Papers

From University of Pretoria, Department of Economics
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202056: Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting Downloads
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller
202055: The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach Downloads
Oguzhan Cepni, Rangan Gupta and Yigit Onay
202054: Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality Downloads
Mehmet Balcilar, Edmond Berisha, Rangan Gupta and Christian Pierdzioch
202053: OPEC News and Jumps in the Oil Market
Konstantinos Gkillas, Rangan Gupta, Christian Pierdzioch and Seong-Min Yoon
202051: Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions
Afees Salisu, Rangan Gupta, Elie Bouri and Qiang Ji
202050: A Note on Uncertainty due to Infectious Diseases and Output Growth of the United States: A Mixed-Frequency Forecasting Experiment Downloads
Afees Salisu, Rangan Gupta and Riza Demirer
202049: Forecasting Power of Infectious Diseases-Related Uncertainty for Gold Realized Volatility
Elie Bouri, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch
202048: The Effects of Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel Dataset of US States
Rangan Gupta and Xin Sheng
202046: The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes
Mehmet Balcilar, Rangan Gupta and Theshne Kisten
202045: The Impact of Disaggregated Oil Shocks on State-Level Consumption of the United States
Rangan Gupta, Xin Sheng, Renee van Eyden and Mark Wohar
202044: The Predictive Power of Oil Price Shocks on Realized Volatility of Oil: A Note
Riza Demirer, Rangan Gupta, Christian Pierdzioch and Syed Jawad Hussain Shahzad
202043: The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach
Afees Salisu, Rangan Gupta, Elie Bouri and Qiang Ji
202042: The Possible Effects of the Extended Lockdown Period on the South African Economy: A CGE Analysis Downloads
Jan van Heerden
202041: Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom
Afees Salisu and Rangan Gupta
202040: Interest Rate Uncertainty and the Predictability of Bank Revenues Downloads
Oguzhan Cepni, Riza Demirer, Rangan Gupta and Ahmet Sensoy
202039: Time-Varying Impact of Monetary Policy Shocks on U.S. Stock Returns: The Role of Investor Sentiment Downloads
Oguzhan Cepni and Rangan Gupta
202038: The Effects of Public Expenditures on Labour Productivity in Europe
Igor Fedotenkov and Rangan Gupta
202037: Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks Downloads
Christos Bouras, Christina Christou, Rangan Gupta and Keagile Lesame
202036: Oil Price Shocks and Yield Curve Dynamics in Emerging Markets Downloads
Oguzhan Cepni, Rangan Gupta, Cenk Karahan and Brian Lucey
202035: Movements in Real Estate Uncertainty in the United States: The Role of Oil Shocks
Rangan Gupta, Xin Sheng and Qiang Ji
202034: The Taylor Curve: International Evidence
Semih Çekin, Rangan Gupta and Eric Olson
202033: Spillovers of the Conventional and Unconventional Monetary Policy from the US to South Africa Downloads
Alain Kabundi, Tumisang Loate and Nicola Viegi
202032: Monetary Policy and Speculative Spillovers in Financial Markets
Riza Demirer, David Gabauer, Rangan Gupta and Qiang Ji
202031: Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data
Syed Jawad Hussain Shahzad, Rangan Gupta, Riza Demirer and Christian Pierdzioch
202030: Time-Varying Predictability of Financial Stress on Inequality in United Kingdom
Edmond Berisha, David Gabauer, Rangan Gupta and Jacobus Nel
202029: Geopolitical Risks and Stock Market Volatility in the G7 Countries: A Century of Evidence from a Time-Varying Nonparametric Panel Data Model
Elie Bouri, Oguzhan Cepni, Rangan Gupta and Naji Jalkh
202028: Redistribution, Inequality, and Efficiency with Credit Constraints Downloads
Yoseph Getachew and Stephen J Turnovsky
202027: Risk Spillover between Bitcoin and Conventional Financial Markets: An Expectile-Based Approach
Yue-Jun Zhang, Elie Bouri, Shu-Jiao Ma and Rangan Gupta
202026: Democracy and Development in Africa Downloads
Augustin Fosu
202025: A Note on the Time-Varying Impact of Global, Region- and Country-Specific Uncertainties on the Volatility of International Trade
Selcuk Gul and Rangan Gupta
202024: The Impacts of Structural Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel of 55 Countries
Xin Sheng, Rangan Gupta and Qiang Ji
202023: Is there a National Housing Market Bubble Brewing in the United States? Downloads
Rangan Gupta, Jun Ma, Konstantinos Theodoridis and Mark Wohar
202022: Sentiment and Financial Market Connectedness: The Role of Investor Happiness Downloads
Elie Bouri, Riza Demirer, David Gabauer and Rangan Gupta
202021: Inflation-Targeting and Inflation Volatility: International Evidence from the Cosine-Squared Cepstrum Downloads
Nikolaos Antonakakis, Christina Christou, Luis Gil-Alana and Rangan Gupta
202020: Dynamic Impact of Unconventional Monetary Policy on International REITs
Hardik Marfatia, Rangan Gupta and Keagile Lesame
202019: Uncertainty and Tourism in Africa
Carolyn Chisadza, Matthew Clance, Rangan Gupta and Peter Wanke
202018: Jumps in Energy and Non-Energy Commodities
Elie Bouri and Rangan Gupta
202017: Time-Varying Influence of Household Debt on Inequality in United Kingdom
Edmond Berisha, David Gabauer, Rangan Gupta and Chi Keung Lau
202016: Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar
202015: Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin
Elie Bouri, Rangan Gupta and Xuan Vo
202014: Modelling Required Energy Consumption with Equivalence Scales Downloads
Yuxiang Ye, Steven Koch and Jiangfeng Zhang
202013: Technical Efficiency of Provincial Public Healthcare in South Africa Downloads
Victor Ngobeni, Marthinus Breitenbach and Goodness Aye
202012: Analysing the Impact of Brexit on Global Uncertainty Using Functional Linear Regression with Point of Impact: The Role of Currency and Equity Markets
Siphumlile Mangisa, Sonali Das and Rangan Gupta
202011: A Financial Stress Index for South Africa: A Time-Varying Correlation Approach Downloads
Theshne Kisten
202010: A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility
Riza Demirer, Rangan Gupta, Christian Pierdzioch and Syed Jawad Hussain Shahzad
202009: Investor Happiness and Predictability of the Realized Volatility of Oil Price
Matteo Bonato, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch
202008: Investor Sentiment and Dollar-Pound Exchange Rate Returns: Evidence from Over a Century of Data Using a Cross-Quantilogram Approach
Syed Jawad Hussain Shahzad, Clement Kyei, Rangan Gupta and Eric Olson
202007: Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty
Matthew Clance, Riza Demirer, Rangan Gupta and Clement Kyei
202006: Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data Downloads
Semei Coronado, Rangan Gupta, Saban Nazlioglu and Omar Rojas
202005: Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains
Rangan Gupta, Chi Keung Lau, Jacobus Nel and Xin Sheng
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