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Working Papers

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

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202003: Forecasting Realized Volatility of Bitcoin: The Role of the Trade War
Elie Bouri, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch
202002: Time-Varying Spillover of US Trade War on the Growth of Emerging Economies Downloads
Oguzhan Cepni, David Gabauer, Rangan Gupta and Khuliso Ramabulana
202001: The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach
Oguzhan Cepni, Wiehan Dul, Rangan Gupta and Mark Wohar
201982: Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory Downloads
Aviral Tiwari, Micheal Boachie and Rangan Gupta
201981: The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis
Mehmet Balcilar, Edmond Berisha, Oguzhan Cepni and Rangan Gupta
201980: Forecasting Bitcoin Returns: Is there a Role for the U.S. – China Trade War?
Vasilios Plakandaras, Elie Bouri and Rangan Gupta
201979: Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram
Riza Demirer, Rangan Gupta, Hossein Hassani and Xu Huang
201978: A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data
Afees Salisu, Rangan Gupta and Ahamuefula Ogbonna
201977: High-Frequency Volatility Forecasting of US Housing Markets
Mawuli Segnon, Rangan Gupta, Keagile Lesame and Mark Wohar
201976: Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach
Afees Salisu and Rangan Gupta
201975: The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach
Mehmet Balcilar, George Ike and Rangan Gupta
201974: What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data
Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar
201973: The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States
Oguzhan Cepni, I. Ethem Guney, Rangan Gupta and Mark Wohar
201972: Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests
Riza Demirer, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch
201971: The Predictability between Bitcoin and US Technology Stock Returns: Granger Causality in Mean, Variance, and Quantile
Elie Bouri, Rangan Gupta, Chi Keung Lau and David Roubaud
201970: A Reconsideration of Kuznets Curve across Countries: Evidence from the Co-summability Approach
Shinhye Chang, Matthew Clance, Giray Gözgör and Rangan Gupta
201969: Impact of Oil Price Volatility on State-Level Consumption of the United States: The Role of Oil Dependence
Renee van Eyden, Rangan Gupta and Mark Wohar
201968: Threshold Effects of Inequality on Economic Growth in the US States: The Role of Human Capital to Physical Capital Ratio
Oguzhan Cepni, Rangan Gupta and Zhihui Lv
201967: Gold, Platinum and the Predictability of Bond Risk Premia
Elie Bouri, Riza Demirer, Rangan Gupta and Mark Wohar
201966: Moments-Based Spillovers across Gold and Oil Markets
Matteo Bonato, Rangan Gupta, Chi Keung Lau and Shixuan Wang
201965: Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains
Besma Hkiri, Juncal Cuñado, Mehmet Balcilar and Rangan Gupta
201964: Giant Oil Discoveries and Conflicts Downloads
Carolyn Chisadza, Matthew Clance, Rangan Gupta and Mark Wohar
201963: Price Gap Anomaly in the US Stock Market: The Whole Story
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar
201962: Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data
Christina Christou, David Gabauer and Rangan Gupta
201960: Growth Dynamics, Multiple Equilibria, and Local Indeterminacy in an Endogenous Growth Model of Money, Banking and Inflation Targeting
Rangan Gupta and Philton Makena
201959: The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
Abdulnasser Hatemi-J, Mohamed Hajji, Elie Bouri and Rangan Gupta
201958: Multi-Horizon Financial and Housing Wealth Effects across the U.S. States Downloads
Yener Coskun, Christos Bouras, Rangan Gupta and Mark Wohar
201957: Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages
Oguzhan Cepni, Rangan Gupta, I. Ethem Guney and M. Hasan Yilmaz
201956: 125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets
Hardik Marfatia, Rangan Gupta and Stephen Miller
201955: Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty
Elie Bouri and Rangan Gupta
201954: Price and Volatility Linkages between International REITs and Oil Markets
Saban Nazlioglu, Rangan Gupta, Alper Gormus and Ugur Soytas
201953: Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
Petre Caraiani, Rangan Gupta, Chi Keung Lau and Hardik Marfatia
201952: Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States
Aviral Tiwari, Rangan Gupta, Juncal Cuñado and Xin Sheng
201951: Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks
Manabu Asai, Rangan Gupta and Michael McAleer
201950: Historical Evolution of Monthly Anomalies in International Stock Markets
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar
201949: Public Infrastructure Provision and Ethnic Favouritism: Evidence from South Africa Downloads
Leone Walters, Manoel Bittencourt and Carolyn Chisadza
201948: Trade Uncertainties and the Hedging Abilities of Bitcoin
Elie Bouri, Konstantinos Gkillas (Gillas) and Rangan Gupta
201947: Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains
Aviral Tiwari, Christophe André and Rangan Gupta
201946: How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch
Afees Salisu and Rangan Gupta
201945: The Relationship between Economic Uncertainty and Corporate Tax Rates
Matthew Clance, Giray Gözgör, Rangan Gupta and Chi Keung Lau
201944: Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach
David Gabauer and Rangan Gupta
201943: Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?
Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch
201942: Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data
Rangan Gupta, Hardik Marfatia and Eric Olson
201941: Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of Data
Heni Boubaker, Juncal Cunado, Luis Gil-Alana and Rangan Gupta
201940: Preferences Over Rich Sets of Random Variables: Semicontinuity in Measure versus Convexity Downloads
Alexander Zimper and Hirbod Assa
201939: Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets
Elie Bouri, Konstantinos Gkillas (Gillas), Rangan Gupta and Clement Kyei
201938: The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local, Regional and Global Business Cycles
Elie Bouri, Riza Demirer, Rangan Gupta and Xiaojin Sun
201937: Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows
Deven Bathia, Christos Bouras, Riza Demirer and Rangan Gupta
201936: The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach
Oguzhan Cepni, Rangan Gupta and Mark Wohar
201935: Movements in International Bond Markets: The Role of Oil Prices
Saban Nazlioglu, Rangan Gupta and Elie Bouri
Page updated 2020-11-24
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