Working Papers

From University of Pretoria, Department of Economics
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202225: Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility

Sisa Shiba, Juncal Cunado, Rangan Gupta and Samrat Goswami

202224: Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns

Elie Bouri, Afees Salisu and Rangan Gupta

202223: Climate Change and Child Health: A Nigerian Perspective

Eduard van der Merwe, Matthew Clance and Eleni Yitbarek

202222: Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets

Alex Plastun, Xolani Sibande, Rangan Gupta and Qiang Ji

202221: Financial Development and Income Inequality: Evidence from Advanced, Emerging and Developing Economies

Carolyn Chisadza and Mduduzi Biyase

202220: The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests

Goodness Aye, Riza Demirer, Rangan Gupta and Jacobus Nel

202219: The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks

Shixuan Wang, Rangan Gupta, Matteo Bonato and Oguzhan Cepni

202218: Herding in International REITs Markets around the COVID-19 Pandemic

Keagile Lesame, Geoffrey Ngene, Rangan Gupta and Elie Bouri

202217: Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data

Mehmet Balcilar, Rangan Gupta and Christian Pierdzioch

202216: Do Economic Conditions of U.S. States Predict the Realized Volatility of Oil-Price Returns? A Quantile Machine-Learning Approach

Rangan Gupta and Christian Pierdzioch

202215: Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks

Serda Ozturk, Riza Demirer and Rangan Gupta

202214: Symmetric and Asymmetric Effects of Financial Deepening on Income Inequality in South Africa

Mduduzi Biyase and Carolyn Chisadza

202213: Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models

Elie Bouri, Christina Christou and Rangan Gupta

202212: On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data

Juncal Cunado, David Gabauer, Rangan Gupta and Chien-Chiang Lee

202211: Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach

Afees Salisu, Rangan Gupta and Elie Bouri

202210: Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202209: Temperature and Precipitation in the US States: Long Memory, Persistence and Time Trend

Luis Gil-Alana, Rangan Gupta, Laura Sauci and Nieves Carmona-Gonzalez

202208: Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks

Xin Sheng, Rangan Gupta and Oguzhan Cepni

202207: The Effects of Climate Risks on Economic Activity in a Panel of US States: The Role of Uncertainty

Xin Sheng, Rangan Gupta and Oguzhan Cepni

202206: Inflation-Inequality Puzzle: Is it Still Apparent?

Edmond Berisha, Orkideh Gharehgozli and Rangan Gupta

202205: Forecasting the Realized Variance of Oil-Price Returns Using Machine-Learning: Is there a Role for U.S. State-Level Uncertainty?

Oguzhan Cepni, Rangan Gupta, Daniel Pienaar and Christian Pierdzioch

202204: Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form

Sergey Ivashchenko, Semih Cekin, Rangan Gupta and Chien-Chiang Lee

202203: Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks

Mawuli Segnon, Rangan Gupta and Bernd Wilfling

202202: Institutions and African Economic Development

Augustin Fosu

202201: Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data

Rangan Gupta, Sayar Karmakar and Christian Pierdzioch

202187: A Note on State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict

Xin Sheng and Rangan Gupta

202186: Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests

Nicholas Apergis, Konstantinos Gavriilidis and Rangan Gupta

202185: Equivalence Scales with Endogeneity and Base Independence

Steven Koch

202184: The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?

Xin Sheng, Won Kim Author-wjkim72@konkuk.ac.kr and Rangan Gupta

202183: Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century

Mehmet Balcilar, David Gabauer, Rangan Gupta and Christian Pierdzioch

202182: Forecasting the Artificial Intelligence Index Returns: A Hybrid Approach

Yue-Jun Zhang, Han Zhang Author-hanalms@163.com and Rangan Gupta

202181: Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases

Sisa Shiba, Juncal Cunado Author-jcunado@unav.es and Rangan Gupta

202180: Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach

Juncal Cunado, David Gabauer and Rangan Gupta

202179: El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202178: Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective

Ruipeng Liu, Rangan Gupta and Elie Bouri

202177: Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment

Rangan Gupta and Christian Pierdzioch

202176: Forecasting the Realized Variance of Oil-Price Returns: A Disaggregated Analysis of the Role of Uncertainty and Geopolitical Risk

Rangan Gupta and Christian Pierdzioch

202175: Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment

Rangan Gupta and Christian Pierdzioch

202174: The Non-Linear Response of US State-Level Tradable and Non-Tradable Inflation to Oil Shocks: The Role of Oil-Dependence

Xin Sheng, Hardik Marfatia, Rangan Gupta and Qiang Ji

202173: Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty

Jiqian Wang, Rangan Gupta, Oguzhan Cepni and Feng Ma

202172: Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices

Rangan Gupta and Christian Pierdzioch

202171: Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint

Ahdi Noomen Ajmi and Roula Inglesi-Lotz

202170: Productivity and GDP: International Evidence of Persistence and Trends Over 130 Years of Data

Luis Gil-Alana, Sakiru Solarin and Rangan Gupta

202169: The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses

Hossein Hassani, Mohammad Yeganegi and Rangan Gupta

202168: The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom

Oguzhan Cepni, Hardik Marfatia and Rangan Gupta

202167: Financial Inclusion and Gender Inequality in sub-Saharan Africa

Tendai Zawaira, Matthew Clance, Carolyn Chisadza and Rangan Gupta

202166: Bitcoin Mining Activity and Volatility Dynamics in the Power Market

Sayar Karmakar, Riza Demirer and Rangan Gupta

202165: Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data

Afees Salisu, Christian Pierdzioch, Rangan Gupta and Renee van Eyden

202164: A robust approach for outlier imputation: Singular Spectrum Decomposition

Maryam Movahedifar, Hossein Hassani, Masoud Yarmohammadi, Mahdi Kalantari and Rangan Gupta

202163: Measuring Market Expectations

Christiane Baumeister