Working Papers

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

201777: Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model

Christos Bouras, Christina Christou, Rangan Gupta and Tahir Suleman

201776: Economic Policy Uncertainty and Insurance

Mehmet Balcilar, Rangan Gupta, Chien-Chiang Lee and Godwin Olasehinde-Williams

201775: Oil Returns and Volatility: The Role of Mergers and Acquisitions

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

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

Nikolai Sheung-Chi Chow, Rangan Gupta, Tahir Suleman and Wing-Keung Wong

201772: Inflation Dynamics in Uganda: A Quantile Regression Approach

Francis Anguyo, Rangan Gupta and Kevin Kotze

201771: Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data

Lanouar Charfeddine, Karim Khediri, Goodness Aye and Rangan Gupta

201770: The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility

Rangan Gupta, Tahir Suleman and Mark Wohar

201769: Equilibrium Exchange Rates and Misalignments: The Case of Homogenous Emerging Market Economies

Christian Tipoy, Marthinus Breitenbach and Mulatu Zerihun

201768: Redistributive Innovation Policy, Inequality and Efficiency

Parantap Basu and Yoseph Getachew

201767: Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks

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

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

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

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

Qiang Ji, BingYue Liu, Juncal Cunado and Rangan Gupta

201758: Country Risk Ratings and Stock Market Returns in BRICS Countries: A Nonlinear Dynamic Approach

Adnen Ben Nasr, Juncal Cunado, Riza Demirer and Rangan Gupta

201757: The Effect of Economic Uncertainty on the Housing Market Cycle

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

Rangan Gupta, Marian Risse, David Volkman and Mark Wohar

201754: OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration

Rangan Gupta, Chi Keung 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

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

Roula Inglesi-Lotz

201750: Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles

Elie Bouri, Rangan Gupta, Chi Keung 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

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

Steven Koch

201745: Rationalizable Information Equilibria

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 Keung 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

Mawuli Segnon, Chi Keung 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

Aviral Tiwari, Juncal Cunado, Rangan Gupta and Mark Wohar

201734: Foreign Market Selection of Emerging Multinational Corporations: Evidence from South African and Egyptian Corporations

Mustafa Sakr and Andre Jordaan

201733: The Effect of Education on a Country’s Energy Consumption: Evidence from Developed and Developing Countries

Roula Inglesi-Lotz and Luis Morales

201732: Uncertainty and Forecasts of U.S. Recessions

Christian Pierdzioch and Rangan Gupta

201731: Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar