Working Papers

From University of Pretoria, Department of Economics
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202162: Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility

Afees Salisu, Riza Demirer and Rangan Gupta

202161: Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Afees Salisu, Christian Pierdzioch, Rangan Gupta and David Gabauer

202160: The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model

Afees Salisu, Rangan Gupta and Riza Demirer

202159: High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests

Goodness Aye, Christina Christou, Rangan Gupta and Christis Hassapis

202158: A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios

Rangan Gupta, Christian Pierdzioch and Wing-Keung Wong

202157: Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic

Riza Demirer, Rangan Gupta, Afees Salisu and Renee van Eyden

202156: Slave Trades, Kinship Structures and Women Political Participation in Africa

Leone Walters, Carolyn Chisadza and Matthew Clance

202155: Rare Disaster Risks and Volatility of the Term-Structure of US Treasury Securities: The Role of El Nino and La Nina Events

Renee van Eyden, Rangan Gupta, Jacobus Nel and Elie Bouri

202154: Global Evidence of the COVID-19 Shock on Real Equity Prices and Real Exchange Rates: A Counterfactual Analysis with a Threshold-Augmented GVAR Model

Afees Salisu, Taofeek Ayinde, Rangan Gupta and Mark Wohar

202153: The Effect of Oil Uncertainty Shock on Real GDP of 33 Countries: A Global VAR Approach

Afees Salisu, Rangan Gupta and Abeeb Olaniran

202152: On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures

Keagile Lesame, Elie Bouri, David Gabauer and Rangan Gupta

202151: Tracking Weekly State-Level Economic Conditions

Christiane Baumeister, Danilo Leiva-Leon and Eric Sims

202150: Geopolitical Risks and the High-Frequency Movements of the US Term Structure of Interest Rates

Rangan Gupta, Anandamayee Majumdar, Jacobus Nel and Sowmya Subramaniam

202149: A Note on the COVID-19 Shock and Real GDP in Emerging Economies: A Counterfactual Analysis from the Threshold-Augmented Global Vector Autoregressive Model

Afees Salisu, Idris Adediran and Rangan Gupta

202148: Human Capital and the Timing of the First Birth

Jesse Naidoo

202147: Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach

Ioannis Chatziantoniou, David Gabauer and Rangan Gupta

202146: Oil Tail Risks and the Forecastability of the Realized Variance of Oil-Price: Evidence from Over 150 Years of Data

Afees Salisu, Christian Pierdzioch and Rangan Gupta

202145: The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model

Afees Salisu, Rangan Gupta and Riza Demirer

202144: Commodity Prices and Forecastability of South African Stock Returns Over a Century: Sentiments versus Fundamentals

Afees Salisu and Rangan Gupta

202143: Out-of-Sample Predictability of Gold Market Volatility: The Role of US Nonfarm Payroll

Afees Salisu, Elie Bouri and Rangan Gupta

202142: Household Debt and Consumption Dynamics: A Non-Developed World View following the Financial Crisis

Adel Bosch, Matthew Clance and Steven Koch

202141: Individual and Household Debt: Does Imputation Choice Matter?

Adel Bosch and Steven Koch

202140: Uncertainty Related to Infectious Diseases and Forecastability of the Realised Volatility of US Treasury Securities

Sisa Shiba and Rangan Gupta

202139: Social Capital and Protests in the United States

Carolyn Chisadza, Matthew Clance and Rangan Gupta

202138: El Nino, La Nina, and the Forecastability of the Realized Variance of Heating Oil Price Movements

Mehmet Balcilar, Elie Bouri, Rangan Gupta and Christian Pierdzioch

202137: Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns

Rangan Gupta and Christian Pierdzioch

202136: The Effect of US Uncertainty Shock on International Equity Markets: The Role of the Global Financial Cycle

Afees Salisu, Rangan Gupta and Idris Adediran

202135: Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers

Rangan Gupta and Christian Pierdzioch

202134: Income Inequality and House Prices across US States

Edmond Berisha, John Meszaros and Rangan Gupta

202133: Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty

Afees Salisu, Rangan Gupta, Sayar Karmakar and Sonali Das

202132: The (Asymmetric) Effect of El Nino and La Nina on Gold and Silver Prices in a GVAR Model

Afees Salisu, Rangan Gupta, Jacobus Nel and Elie Bouri

202131: The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data

Renee van Eyden, Rangan Gupta, Christophe André and Xin Sheng

202130: Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks

Jiawen Luo, Riza Demirer, Rangan Gupta and Qiang Ji

202129: Gold and the Global Financial Cycle

Afees Salisu, Rangan Gupta, Siphesihle Ntyikwe and Riza Demirer

202128: The Impact of Oil Price Shocks on Income Inequality: Evidence from State-Level Data of the United States

Xin Sheng and Rangan Gupta

202127: Predictability of Tail Risks of Canada and the U.S. Over a Century: The Role of Spillovers and Oil Tail Risks

Afees Salisu, Rangan Gupta and Christian Pierdzioch

202126: Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries

Oguzhan Cepni, Rangan Gupta and Qiang Ji

202125: The Economic Complexity Index (ECI) and Output Volatility: High vs Low Income Countries

Marthinus Breitenbach, Carolyn Chisadza and Matthew Clance

202124: Government Religious Preference and Intrastate Conflict

Eduard van der Merwe, Carolyn Chisadza and Matthew Clance

202123: Impact of technological progress on carbon emissions in different country income groups

Chris Milindi and Roula Inglesi-Lotz

202122: Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data

Afees Salisu, Christian Pierdzioch and Rangan Gupta

202121: Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model

Afees Salisu, Rangan Gupta and Riza Demirer

202120: Forecasting Oil Price over 150 Years: The Role of Tail Risks

Afees Salisu, Rangan Gupta and Qiang Ji

202119: Price Effects after One-Day Abnormal Returns in Developed and Emerging Markets: ESG versus Traditional Indices

Alex Plastun, Elie Bouri, Rangan Gupta and Qiang Ji

202118: Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning

Rangan Gupta, Jacobus Nel and Christian Pierdzioch

202117: Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data

Afees Salisu, Rangan Gupta and Ahamuefula Ogbonna

202116: Exchange Rate Predictability with Nine Alternative Models for BRICS Countries

Afees Salisu, Rangan Gupta and Won Kim

202115: Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets

Geoffrey Ngene and Rangan Gupta

202114: Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

202113: Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies

Vasilios Plakandaras, Rangan Gupta, Mehmet Balcilar and Qiang Ji