Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

201627: A Time Series Analysis of Long Island Sound Lobster Fishery

Zinnia Mukherjee, Dipak Dey and Rangan Gupta

201626: Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach

Rangan Gupta, Anandamayee Majumdar, Christian Pierdzioch and Mark Wohar

201625: Testing the Efficiency of the Art Market using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks

Goodness Aye, Tsangyao Chang, Wen-Yi Chen, Rangan Gupta and Mark Wohar

201624: Periodically Collapsing Bubbles in the South African Stock Market

Mehmet Balcilar, Rangan Gupta, Charl Jooste and Mark Wohar

201623: Emerging Multinational Corporations: A Prominent Player in the Global Economy

Mustafa Sakr and Andre Jordaan

201622: Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty

Christina Christou and Rangan Gupta

201621: Pareto Optimality and Indeterminacy of General Equilibrium under Knightian Uncertainty

Wei Ma

201620: Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty

Mehmet Balcilar, Riza Demirer, Rangan Gupta and Renee van Eyden

201619: The Relationship between Commodity Markets and Commodity Mutual Funds: A Wavelet-Based Analysis

Nikolaos Antonakakis, Tsangyao Chang, Juncal Cuñado and Rangan Gupta

201618: An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure

Nicholas Apergis, Rangan Gupta, Chi Keung Lau and Zinnia Mukherjee

201617: Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach

Luis Gil-Alana, Rangan Gupta, Olanrewaju Shittu and Olaoluwa Yaya

201616: Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area

Nikolaos Antonakakis, Christina Christou, Juncal Cuñado and Rangan Gupta

201615: Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis

Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch and Mark Wohar

201614: Productive Efficiency of Connecticut Long Island Lobster Fishery Using a Finite Mixture Model

Rangan Gupta, Zinnia Mukherjee, Mike Tsionas and Peter Wanke

201613: The Term Premium as a Leading Macroeconomic Indicator

Vasilios Plakandaras, Periklis Gogas, Theophilos Papadimitriou and Rangan Gupta

201612: The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence from a Quantile Predictive Regression Approach

Rangan Gupta, Anandamayee Majumdar and Mark Wohar

201611: Impact of Activity Tax in the Property-Owning and Subletting of Fixed Property Sectors on the South African Economy: A CGE Analysis

Lumengo Bonga-Bonga, Jean Luc Erero and Rangan Gupta

201610: The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches

Goodness Aye, Luis Gil-Alana, Rangan Gupta and Mark Wohar

201609: Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

Mehmet Balcilar, Riza Demirer and Rangan Gupta

201608: Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries

Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch and Mark Wohar

201607: Revisiting the Twin Deficits Hypothesis: A Quantile Cointegration Analysis over the Period of 1791-2013

Nikolaos Antonakakis, Juncal Cuñado, Rangan Gupta and Mawuli Segnon

201606: LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index

Qunzhi Zhang, Didier Sornette, Mehmet Balcilar, Rangan Gupta, Zeynel Ozdemir and Ibrahim Yetkiner

201605: Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries

Nikolaos Antonakakis, Rangan Gupta and Aviral Tiwari

201604: Emerging Multinational Corporations: Theoretical and Conceptual Framework

Mustafa Sakr and Andre Jordaan

201603: Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model

Mehmet Balcilar, Rangan Gupta and Kevin Kotze

201602: Dynamic Comovement between Social Infrastructure, Economic Growth and Inequality in South Africa

Sixolile Jafta and Goodness Aye

201601: Effect of Social Infrastructure Investment on Economic Growth and Inequality in South Africa: A SEM Approach

Itumeleng More and Goodness Aye

201599: Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test

Mehmet Balcilar, Rangan Gupta, Clement Kyei and Mark Wohar

201598: On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test

Mehmet Balcilar, Rangan Gupta and Christian Pierdzioch

201597: Causality between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis

Shinhye Chang, Rangan Gupta and Stephen Miller

201596: Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model

Mehmet Balcilar, Rangan Gupta, Mampho Modise and John Weirstrass Muteba Mwamba

201595: Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach

Mehmet Balcilar, Rangan Gupta, Duc Khuong Nguyen and Mark Wohar

201594: On International Uncertainty Links: BART-Based Empirical Evidence for Canada

Rangan Gupta, Christian Pierdzioch and Marian Risse

201593: Contraceptive Use and Birth Intervals

Gauthier Kashalala and Steven Koch

201592: Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test

Mehmet Balcilar, Rangan Gupta and Christian Pierdzioch

201591: Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data

Claudiu Albulescu, Aviral Twari, Stephen Miller and Rangan Gupta

201590: Assessing the Impact of Just-in-Time Methodology, In-Lecture Activities, and Tutor-Assisted Post-Lecture Activities in the Course Experience of First Year Students in Economics at the University of Pretoria

Roula Inglesi-Lotz, Fritz Dresselhaus and Jessika Bohlmann

201589: Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data

Rangan Gupta and Mark Wohar

201588: A Historical Analysis of the US Stock Price Index using Empirical Mode Decomposition over 1791-2015

Aviral Tiwari, Arif Dar, Niyati Bhanja and Rangan Gupta

201587: Unconventional Monetary Policy Shocks in OECD Countries: How Important is the Extent of Policy Uncertainty?

Rangan Gupta and Charl Jooste

201586: The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach

Mehmet Balcilar, Rangan Gupta, Won Joong Kim and Clement Kyei

201585: Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR

Rangan Gupta, Eric Olson and Mark Wohar

201584: The Time-Varying Correlation between Output and Prices in the United States over 1800 to 2014

Nikolaos Antonakakis, Rangan Gupta and Aviral Tiwari

201583: Development, Poverty and Inequality: A Spatial Analysis of South African Provinces

Carlos Barros and Rangan Gupta

201582: The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach

Christophe André, Lumengo Bonga-Bonga, Rangan Gupta and John Weirstrass Muteba Mwamba

201581: The US Real GNP is Trend-Stationary After All

Tolga Omay, Rangan Gupta and Giovanni Bonaccolto

201580: Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes

Luis Gil-Alana, Rangan Gupta, Olusanya Olubusoye and Olaoluwa Yaya

201579: Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note

Nikolaos Antonakakis, Rangan Gupta and John Weirstrass Muteba Mwamba

201578: Technical Efficiency of Connecticut Long Island Sound Lobster Fishery: A Nonparametric Approach to Aggregate Frontier Analysis

Lei Chen, Rangan Gupta, Zinnia Mukherjee and Peter Wanke

201577: The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar