Working Papers

From University of Pretoria, Department of Economics
Contact information at EDIRC.
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202009: Investor Happiness and Predictability of the Realized Volatility of Oil Price

Matteo Bonato, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

202008: Investor Sentiment and Dollar-Pound Exchange Rate Returns: Evidence from Over a Century of Data Using a Cross-Quantilogram Approach

Syed Jawad Hussain Shahzad, Clement Kyei, Rangan Gupta and Eric Olson

202007: Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Uncertainty

Matthew Clance, Riza Demirer, Rangan Gupta and Clement Kyei

202006: Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data

Semei Coronado, Rangan Gupta, Saban Nazlioglu and Omar Rojas

202005: Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains

Rangan Gupta, Chi Keung Lau, Jacobus Nel and Xin Sheng

202004: A Note on Investor Happiness and the Predictability of Realized Volatility of Gold

Matteo Bonato, Konstantinos Gkillas, Rangan Gupta and Christian Pierdzioch

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

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

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, Xin Sheng 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

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

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

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