Working Papers

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

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?

Christophe André, Petre Caraiani, Adrian Cantemir Calin and Rangan Gupta

201876: Gender Inequality and Marketisation Hypothesis in Sub-Saharan Africa

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

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