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Working Papers

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

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201935: Movements in International Bond Markets: The Role of Oil Prices
Saban Nazlioglu, Rangan Gupta and Elie Bouri
201934: Is the Housing Market in the United States Really Weakly-Efficient?
Aviral Tiwari, Rangan Gupta and Mark Wohar
201933: Fisher Variables and Income Inequality in the BRICS
Edmond Berisha, Rangan Gupta and John Meszaros
201932: International Consumption Risk Sharing and Trade Transaction Costs Downloads
Matthew Clance, Wei Ma and Ruthira Naraidoo
201931: Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises
Samrat Goswami, Rangan Gupta and Mark Wohar
201930: Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspective of Hedgers’ Sentiment
Qiang Ji, Walid Bahloul, Jiang-bo Geng and Rangan Gupta
201929: Monetary Policy Reaction to Uncertainty in Japan: Evidence from a Quantile-on-Quantile Interest Rate Rule
Christina Christou, Ruthira Naraidoo, Rangan Gupta and Christis Hassapis
201928: Monetary policy in a Model with Commodity and Financial Markets Downloads
Vo Phuong Mai Le and Ruthira Naraidoo
201927: Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets
Elie Bouri, Rangan Gupta, Chi Keung Lau and David Roubaud
201926: Does U.K.’s Real GDP have a Unit Root? Evidence from a Multi-Century Perspective
Giorgio Canarella, Rangan Gupta, Stephen Miller and Tolga Omay
201925: The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
Manabu Asai, Rangan Gupta and Michael McAleer
201924: Domestic Credit and Export Diversification: Africa from a Global Perspective Downloads
Augustin Fosu and Abdul Abass
201923: Short and Long Run Asymmetric Effects of Monetary and Fiscal Policy Uncertainty on Economic Activity in the U.S Downloads
Goodness Aye
201922: Fiscal Policy Uncertainty and Economic Activity in South Africa: An Asymmetric Analysis Downloads
Goodness Aye
201921: Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Housing Market
Esin Cakan, Riza Demirer, Rangan Gupta and Josine Uwilingiye
201920: Inflation Aversion and the Growth-Inflation Relationship
Rangan Gupta and Philton Makena
201919: Oil Price Uncertainty and Movements in the US Government Bond Risk Premia
Mehmet Balcilar, Rangan Gupta, Shixuan Wang and Mark Wohar
201918: Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model
Aviral Tiwari, Goodness Aye, Rangan Gupta and Konstantinos Gkillas (Gillas)
201917: Contagion between Stock and Real Estate Markets: International Evidence from a Local Gaussian Correlation Approach
Elie Bouri, Rangan Gupta and Shixuan Wang
201916: Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility
Hardik Marfatia, Rangan Gupta and Esin Cakan
201915: The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach
Mehmet Balcilar, Riza Demirer, Rangan Gupta and Mark Wohar
201914: Halloween Effect in Developed Stock Markets: A US Perspective
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar
201913: Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach
Massimiliano Caporin, Rangan Gupta and Francesco Ravazzolo
201912: Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold
Oguzhan Cepni, Rangan Gupta and Mark Wohar
201911: Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis
Joao Caldeira, Rangan Gupta, Tahir Suleman and Hudson Torrent
201910: Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model
Rangan Gupta, Chi Keung Lau and Xin Sheng
201909: Spillover of Sentiment in the European Union: Evidence from Time- and Frequency-Domains
Vasilios Plakandaras, Aviral Tiwari, Rangan Gupta and Qiang Ji
201908: The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis
Sonali Das, Riza Demirer, Rangan Gupta and Siphumlile Mangisa
201907: Are Uncertainties across the World Convergent?
Christina Christou, Giray Gözgör, Rangan Gupta and Chi Keung Lau
201906: Time-Varying Risk Aversion and the Predictability of Bond Premia
Oguzhan Cepni, Riza Demirer, Rangan Gupta and Christian Pierdzioch
201905: Forecasting Realized Volatility of Bitcoin Returns: Tail Events and Asymmetric Loss
Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch
201904: The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Evidence from Time- and Frequency-Domains
Semih Çekin, Besma Hkiri, Aviral Tiwari and Rangan Gupta
201903: Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss
Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch
201902: Rise and Fall of Calendar Anomalies over a Century
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark Wohar
201901: Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors
Oguzhan Cepni, Selcuk Gul and Rangan Gupta
201883: Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?
Petre Caraiani and Rangan Gupta
201882: Tuition Grant and Equity-Efficiency Tradeoff in Stages of Higher Education Development Downloads
Yoseph Getachew
201881: Time-Varying Risk Aversion and Realized Gold Volatility
Riza Demirer, Rangan Gupta and Christian Pierdzioch
201880: Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?
Hossein Hassani, Mohammad Yeganegi, Rangan Gupta and Riza Demirer
201879: Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?
Konstantinos Gkillas (Gillas), Rangan Gupta and Christian Pierdzioch
201878: Political Cycles in the United States and Stock Market Volatility in other Advanced Economies: An EGARCH Approach
Akhona Myataza and Rangan Gupta
201877: Can Monetary Policy Lean against Housing Bubbles? Downloads
Christophe André, Petre Caraiani, Adrian Cantemir Calin and Rangan Gupta
201876: Gender Inequality and Marketisation Hypothesis in Sub-Saharan Africa Downloads
Tendai Zawaira, Manoel Bittencourt and Matthew Clance
201875: Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A Reconsideration
Mehmet Balcilar, Elie Bouri, Rangan Gupta and Mark Wohar
201874: Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data
Rangan Gupta and Mark Wohar
201873: Forecasting Interest Rate Volatility of the United Kingdom: Evidence from over 150 Years of Data
Hossein Hassani, Mohammad Yeganegi, Juncal Cunado and Rangan Gupta
201872: Why must it always be so Real with Tax Evasion?
Rangan Gupta and Philton Makena
201871: Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements
Konstantinos Gkillas (Gillas), Rangan Gupta, Chi Keung Lau and Tahir Suleman
201870: Time-Varying Impact of Uncertainty Shocks on the US Housing Market
Christina Christou, Rangan Gupta and Wendy Nyakabawo
201869: Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen Miller
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