Working Papers

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

201868: Forecasting Changes of Economic Inequality: A Boosting Approach

Christian Pierdzioch, Rangan Gupta, Hossein Hassani and Emmanuel Silva

201867: Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas

Semih Çekin, Ashis Pradhan, Aviral Tiwari and Rangan Gupta

201866: Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment

Rangan Gupta, Chi Keung Lau and Wendy Nyakabawo

201865: Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis

Aviral Tiwari, Juncal Cunado, Abdulnasser Hatemi-J and Rangan Gupta

201864: On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics

Sowmya Subramaniam, David Gabauer and Rangan Gupta

201863: Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017

Xolani Sibande, Rangan Gupta and Mark Wohar

201862: Forecasting with Second-Order Approximations and Markov Switching DSGE Models

Sergey Ivashchenko, Semih Çekin, Kevin Kotze and Rangan Gupta

201861: Firm-Level Political Risk and Asymmetric Volatility

Goodness Aye, Mehmet Balcilar, Riza Demirer and Rangan Gupta

201860: Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility

Riza Demirer, Rangan Gupta, Qiang Ji and Aviral Tiwari

201859: Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?

Hossein Hassani, Mohammad Yeganegi and Rangan Gupta

201858: Does Global Economic Uncertainty Matter for the Volatility and Hedging Effectiveness of Bitcoin?

Libing Fang, Elie Bouri, Rangan Gupta and David Roubaud

201857: The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels

Rangan Gupta, Godwin Olasehinde-Williams and Mark Wohar

201856: Trade Openness and Fertility Rates in Africa: Panel-Data Evidence

Manoel Bittencourt, Matthew Clance and Yoseph Getachew

201855: Socio-Political Instability and Growth Dynamics

Manoel Bittencourt, Rangan Gupta, Philton Makena and Lardo Stander

201854: Random Expected Utility Theory with a Continuum of Prizes

Wei Ma

201853: Manager Sentiment and Stock Market Volatility

Rangan Gupta

201852: Conflict Heterogeneity in Africa

Carolyn Chisadza and Matthew Clance

201851: The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data

Rangan Gupta and Mark Wohar

201850: Spillover of Mortgage Default Risks in the United States: Evidence from Metropolitan Statistical Areas and States

Qiang Ji, Rangan Gupta, Festus Bekun and Mehmet Balcilar

201849: Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector

Rangan Gupta, Zhihui Lv and Wing-Keung Wong

201848: Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress

Rangan Gupta, Patrick Kanda, Aviral Tiwari and Mark Wohar

201847: Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks

Vasilios Plakandaras, Rangan Gupta and Wing-Keung Wong

201846: Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests

Riza Demirer, Rangan Gupta, Zhihui Lv and Wing-Keung Wong

201845: Monetary Policy and Bubbles in US REITs

Petre Caraiani, Adrian Cantemir Calin and Rangan Gupta

201844: Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence

Mehmet Balcilar, Rangan Gupta, Wei Ma and Philton Makena

201843: Uncertainty and Volatility Jumps in the Pound-Dollar Exchange Rate: Evidence from Over One Century of Data

Konstantinos Gkillas (Gillas), Rangan Gupta and Dimitrios Vortelinos

201842: The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model

Rangan Gupta, Chi Keung Lau, Vasilios Plakandaras and Wing-Keung Wong

201841: Time-Varying Impact of Geopolitical Risks on Oil Prices

Juncal Cuñado, Rangan Gupta, Chi Keung Lau and Xin Sheng

201840: Greek Economic Policy Uncertainty: Does it Matter for the European Union?

Nikolaos Antonakakis, David Gabauer and Rangan Gupta

201839: Conventional and Unconventional Monetary Policy Reaction to Uncertainty in Advanced Economies: Evidence from Quantile Regressions

Christina Christou, Ruthira Naraidoo and Rangan Gupta

201838: Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150 Years of Data

Giorgio Canarella, Luis Gil-Alana, Rangan Gupta and Stephen Miller

201837: Bayesian Spatial Modeling for Housing Data in South Africa

Bingling Wang, Sudipto Banerjee and Rangan Gupta

201836: Efficiency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability

Rangan Gupta and Vasilios Plakandaras

201835: Effects of Geopolitical Risks on Trade Flows: Evidence from the Gravity Model

Ender Demir, Giray Gözgör, Rangan Gupta and Huseyin Kaya

201834: Herding Behaviour in the Cryptocurrency Market

Elie Bouri, Rangan Gupta and David Roubaud

201833: Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data

Yanele Nyamela, Vasilios Plakandaras and Rangan Gupta

201832: Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States

Goodness Aye and Rangan Gupta

201831: A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices

Aviral Tiwari, Zinnia Mukherjee, Rangan Gupta and Mehmet Balcilar

201830: Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings

Rangan Gupta, Patrick Kanda and Mark Wohar

201829: On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach

David Gabauer and Rangan Gupta

201828: Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests

Abdulnasser Hatemi-J, Chi-Chuan Lee, Chien-Chiang Lee and Rangan Gupta

201827: Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation Approach

Goodness Aye

201826: Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models

Rangan Gupta, Florian Huber and Philipp Piribauer

201825: Oil Shocks and Volatility Jumps

Konstantinos Gkillas (Gillas), Rangan Gupta and Mark Wohar

201824: Stock Market Efficiency Analysis using Long Spans of Data: A Multifractal Detrended Fluctuation Approach

Aviral Tiwari, Goodness Aye and Rangan Gupta