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University of Pretoria, Department of Economics

Working Papers

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Content

2025

202518 Machine Learning and the Forecastability of Cross-Sectional Realized Variance: The Role of Realized Moments
by Vasilios Plakandaras & Matteo Bonato & Rangan Gupta & Oguzhan Cepni
202517 Climate Risks and Predictability of the Conditional Distributions of Rare Earth Stock Returns and Volatility
by Onur Polat & Rangan Gupta & Elie Bouri & Mariem Brahim
202516 Forecasting Spot and Futures Price Volatility of Agricultural Commodities: The Role of Climate-Related Migration Uncertainty
by Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri
202515 Understanding Sentiment Across Genders: Challenges and Solutions
by Hossein Hassani & Pouria Parvizi & Mohammad Reza Yeganegi & Rangan Gupta
202514 Attitudes to Gender Inequality in South Africa: Evidence from Implicit and Explicit Attitudes
by Carolyn Chisadza & Matthew Clance & Nicky Nicholls & Eleni Yitbarek & Tendai Zawaira
202513 ESG Uncertainty and Forecasting Realized Volatility of Gold Returns: A Boosting Approach
by Matteo Bonato & Rangan Gupta & Christian Pierdzioch & Onur Polat
202512 Do Investors in Clean Energy ETFs Herd? The Role of Climate Risks
by Vassilios Babalos & Xolani Sibande & Elie Bouri & Rangan Gupta
202511 Unraveling Financial Fragility of Global Markets Using Machine Learning
by Vasilios Plakandaras & Rangan Gupta & Qiang Ji
202510 Women's Agency in Conflict Settings: Evidence from Peace Agreements
by Carolyn Chisadza & Matthew W. Clance & Romuald Meango & Charl van Schoor
202509 Unveiling True Connectedness in US State-Level Stock Markets: The Role of Common Factors
by Massimiliano Caporin & Oguzhan Cepni & Rangan Gupta
202508 Paradox of Sustainable Agricultural Policy Under Climate Change in South Africa: The Whys? and What-Ifs!
by Kenny Kutu & Sonali Das & Rangan Gupta
202507 Climate Risks and Predictability of Financial Risks in the US Banking Sector
by Petre Caraiani & Onur Polat & Rangan Gupta & Elie Bouri
202506 Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures
by Mawuli Segnon & Bjorn Schulte-Tillmann & Riza Demirer & Rangan Gupta
202505 Institutional Quality as a Possible Catalyst in South Africa's Electricity Supply and FDI Nexus
by Alanda Venter & Roula Inglesi-Lotz
202504 Analysing the Predictability of Climate Risks on the Conditional Distributions of Bank Returns and Volatility: An International Perspective
by Rachel Steenkamp & Rangan Gupta & Oguzhan Cepni
202503 Shortages and Machine-Learning Forecasting of Oil Returns Volatility: 1900-2024
by Onur Polat & Dhanashree Somani & Rangan Gupta & Sayar Karmakar
202502 Supply Disruptions and Predictability of Oil Returns Volatility: A GARCH-MIDAS Approach
by Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Luis A. Gil-Alana
202501 The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach
by Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta

2024

202450 Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data
by Matteo Bonato & Rangan Gupta & Christian Pierdzioch
202449 Political ``Color" and the Impact of Climate Risks on Output Growth: Evidence from a Panel of US States
by Xin Sheng & Rangan Gupta & Oguzhan Cepni & Masego Motsuenyane
202448 Does Climate Affect Investments? Evidence from Firms in the United States
by Petre Caraiani & Carolyn Chisadza & Rangan Gupta
202447 Presidential Politics and Investor Behavior in the Stock Market: Evidence from a Century of Stock Market Data
by Xolani Sibande & Vassilios Babalos & Riza Demirer & Rangan Gupta
202446 Time-Variation in the Persistence of Carbon Price Uncertainty: The Role of Carbon Policy Uncertainty
by Oguzhan Cepni & Luis A. Gil-Alana & Rangan Gupta & Onur Polat
202445 Effects of Energy Consumption, Agricultural Trade and Productivity on Carbon Emissions in Nigeria: A Quantile Regression Approach
by Prosper E. Edoja & Goodness C. Aye & Rangan Gupta
202444 Economic Policy Uncertainty and Bank-Level Stock Returns Volatility of the United States: A Mixed-Frequency Perspective
by Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta
202443 The Bank Lending Channel of Monetary Policy Transmission in South Africa
by Ekaterina Pirozhkova & Nicola Viegi
202442 Trouble Every Day: Monetary Policy in an Open Emerging Economy
by Ekaterina Pirozhkova & Giovanni Ricco & Nicola Viegi
202441 Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection
by O-Chia Chuang & Rangan Gupta & Christian Pierdzioch & Buliao Shu
202440 Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility
by Elie Bouri & Oguzhan Cepni & Rangan Gupta & Ruipeng Liu
202439 Prediction of the Conditional Distribution of Daily International Stock Returns Volatility: The Role of (Conventional and Unconventional) Monetary Policies
by Oguzhan Cepni & Rangan Gupta & Jacobus Nel & Renee van Eyden
202438 Oil Price Shocks and the Connectedness of US State-Level Financial Markets
by Onur Polat & Juncal Cunado & Oguzhan Cepni & Rangan Gupta
202437 Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis
by Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta
202436 Climate Risks and Real Gold Returns over 750 Years
by Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Onur Polat
202435 Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments
by Elie Bouri & Rangan Gupta & Christian Pierdzioch & Onur Polat
202434 Climate Risks and Prediction of Sectoral REITs Volatility: International Evidence
by Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta
202433 Effects of Climate Risks on Financial Stress: Evidence from Asia-Pacific Countries
by Sarah Nandnaba & Rangan Gupta & Samrat Goswami
202432 Return-Volatility Nexus in the Digital Asset Class: A Dynamic Multilayer Connectedness Analysis
by Elie Bouri & Matteo Foglia & Sayar Karmakar & Rangan Gupta
202431 Energy Market Uncertainties and Gold Return Volatility: A GARCH-MIDAS Approach
by Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Sisa Shiba
202430 Role of Inflation and Exchange Rates in Shaping the Country's Food Security Landscape: Nigeria's Food Price Puzzle
by Goodness C. Aye & Prosper E. Edoja & Sarah Enwa & Rangan Gupta & Emmanuel Eshoforen
202429 Geopolitical Risks and Oil Returns Volatility: A GARCH-MIDAS Approach
by Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta
202428 Climate Policy Uncertainty and Financial Stress: Evidence for China
by Rangan Gupta & Qiang Ji & Christian Pierdzioch
202427 Gasoline Prices and Presidential Approval Ratings of the United States
by Rangan Gupta & Christian Pierdzioch & Aviral K. Tiwari
202426 Assessing the Growth-Enhancing Effect of State Contingent Debt Instruments
by Sarah Nandnaba & Rangan Gupta
202425 GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables
by Kejin Wu & Sayar Karmakar & Rangan Gupta
202424 Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks
by Elie Bouri & Rangan Gupta & Asingamaanda Liphadzi & Christian Pierdzioch
202423 Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices
by Rangan Gupta & Christian Pierdzioch
202422 Time-Varying Multilayer Networks Analysis of Frequency Connectedness in Commodity Futures Markets
by Xuewei Zhou & Zisheng Ouyang & Rangan Gupta & Qiang Ji
202421 Forecasting Gold Returns Volatility Over 1258-2023: The Role of Moments
by Thanoj K. Muddana & Komal S.R. Bhimireddy & Anandamayee Majumdar & Rangan Gupta
202420 Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging
by Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta
202419 Can Municipal Bonds Hedge US State-Level Climate Risks?
by Onur Polat & Rangan Gupta & Oguzhan Cepni & Qiang Ji
202418 Energy Market Uncertainties and Exchange Rate Volatility: A GARCH-MIDAS Approach
by Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Qiang Ji
202417 A Note on Oil Consumption and Growth: The Role of Greenhouse Gases Emissions
by Sarah Nandnaba & Abebe Hailemariam & Rangan Gupta & Xin Sheng
202416 Does the Introduction of US Spot Bitcoin ETFs Affect Spot Returns and Volatility of Major Cryptocurrencies?
by Vassilios Babalos & Elie Bouri & Rangan Gupta
202415 Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks
by Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Qiang Ji
202414 Political Geography and Stock Market Volatility: The Role of Political Alignment across Sentiment Regimes
by Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch
202413 Health Gains Arising from Reduced Risk Consumption: South Africa's PRIME Example
by Steven F. Koch
202412 Forecasting Real Housing Price Returns of the United States using Machine Learning: The Role of Climate Risks
by Bruno Tag Sales & Hudson Da Silva Torrent & Rangan Gupta
202411 Presidential Approval Ratings and Stock Market Performance in Latin America
by Yuvana Jaichand & Renee van Eyden & Rangan Gupta
202410 The Effects of Uncertainty on Economic Conditions across US States: The Role of Climate Risks
by Xin Sheng & Rangan Gupta & Wenting Liao & Oguzhan Cepni
202409 Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach
by Afees A. Salisu & Ahamuefula E.Oghonna & Rangan Gupta & Oguzhan Cepni
202408 Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?
by Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch
202407 Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks
by Massimiliano Caporin & Petre Caraiani & Oguzhan Cepni & Rangan Gupta
202406 Modeling the Presidential Approval Ratings of the United States using Machine-Learning: Does Climate Policy Uncertainty Matter?
by Elie Bouri & Rangan Gupta & Christian Pierdzioch
202405 How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence
by Yunhan Zhang & Qiang Ji & David Gabauer & Rangan Gupta
202404 Climate Change and Growth Dynamics
by Rangan Gupta & Sarah Nandnaba & Wei Jiang
202403 Socio-Spatial Features of Neighbourhoods Supporting Social Interaction between Locals and Migrants in Peri-Urban China
by Linyan Dai & Xin Sheng & Rangan Gupta
202402 Extreme Weather Shocks and State-Level Inflation of the United States
by Wenting Liao & Xin Sheng & Rangan Gupta & Sayar Karmakar
202401 Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention
by Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch

2023

202340 Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models
by Ruipeng Liu & Mawuli Segnon & Oguzhan Cepni & Rangan Gupta
202339 Oil Price Returns Skewness and Forecastability of International Stock Returns Over One Century of Data
by Afees A. Salisu & Rangan Gupta
202338 Governance and Debt Accumulation in Africa
by Augustin K. Fosu & Dede W. Gafa
202337 Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks
by Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Elie Bouri
202336 Energy-Related Uncertainty and International Stock Market Volatility
by Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri
202335 Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States
by Rangan Gupta & Damien Moodley
202334 Examining the Interlinkage between CO2 Emissions and Inclusive Human Development: Unveiling the Significance of Effective Institutions
by Alanda Venter & Roula Inglesi-Lotz
202333 Oil Price Uncertainty and Predictability of Multi-Scale Positive and Negative Bubbles in the BRICS: Evidence from a Nonparametric Causality-in-Quantiles Test
by Rangan Gupta & Jacobus Nel & Joshua Nielsen
202332 Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty
by Renee van Eyden & Rangan Gupta & Xin Sheng & Joshua Nielsen
202331 Monetary Policy Effectiveness in the Face of Uncertainty: The Real Macroeconomic Impact of a Monetary Policy Shock in South Africa during High and Low Uncertainty States
by Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye
202330 Housing Market Variables and Predictability of State-Level Stock Market Volatility of the United States: Evidence from a GARCH-MIDAS Approach
by Afees A. Salisu & Rangan Gupta & Oguzhan Cepni
202329 Forecasting International Financial Stress: The Role of Climate Risks
by Santino Del Fava & Rangan Gupta & Christian Pierdzioch & Lavinia Rognone
202328 Comparing Risk Profiles of International Stock Markets as Functional Data: COVID-19 versus the Global Financial Crisis
by Ryan Shackleton & Sonali Das & Rangan Gupta
202327 Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach
by Afees A. Salisu & Rangan Gupta & Oguzhan Cepni & Petre Caraiani
202326 Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa
by Kejin Wu & Sayar Karmakar & Rangan Gupta & Christian Pierdzioch
202325 Stock Market Bubbles and the Realized Volatility of Oil Price Returns
by Rangan Gupta & Joshua Nielsen & Christian Pierdzioch
202324 Time-Varying Effects of Extreme Weather Shocks on Output Growth of the United States
by Xin Sheng & Rangan Gupta & Oguzhan Cepni
202323 Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model
by Afees A. Salisu & Wenting Liao & Rangan Gupta & Oguzhan Cepni
202322 Effect of Temperature on the Spread of Contagious Diseases: Evidence from over 2000 Years of Data
by Mehmet Balcilar & Zinnia Mukherjee & Rangan Gupta & Sonali Das
202321 The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020
by Desiree M. Kunene & Renee van Eyden & Petre Caraiani & Rangan Gupta
202320 Financial Stress and Realized Volatility: The Case of Agricultural Commodities
by Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch
202319 Realized Stock Market Volatility of the United States: The Role of Employee Sentiment
by Rangan Gupta & Savanah Hall & Christian Pierdzioch
202318 Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness over 1859 to 2023
by Rangan Gupta & Qiang Ji & Christian Pierdzioch & Vasilios Plakandaras
202317 Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets
by Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen
202316 Forecasting the Realized Volatility of Agricultural Commodity Prices: Does Sentiment Matter?
by Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch
202315 Poverty, Inequality, and Governance: A Global Perspective
by Augustin Kwasi Fosu & Dede Woade Gafa
202314 Natural Resources, Institutions, and Economic Development in Africa
by Augustin Kwasi Fosu & Dede Woade Gafa
202313 Progress on Poverty in Africa: The Importance of Growth and Inequality
by Augustin Kwasi Fosu
202312 Infrastructure and the Impact of Foreign Direct Investment (FDI) on Export Diversification: Evidence from Africa
by Augustin Kwasi Fosu
202311 Realized Stock-Market Volatility of the United States and the Presidential Approval Rating
by Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Renee van Eyden
202310 Stock Market Volatility and Multi-Scale Positive and Negative Bubbles
by Rangan Gupta & Jacobus Nel & Joshua Nielsen & Christian Pierdzioch
202309 Fiscal Policy and Stock Markets at the Effective Lower Bound
by Christophe Andre & Petre Caraiani & Rangan Gupta
202308 Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach
by Afees A. Salisu & Riza Demirer & Rangan Gupta
202307 Quantifying the Economic Effects of Land Reform Policy in South Africa: A Computable General Equilibrium Analysis
by Khumbuzile C. Mosoma & Heinrich R. Bohlmann & Sifiso M. Ntombela & Renee van Eyden
202306 Measuring Total Factor Productivity in the South African Agricultural Sector Using a Growth Accounting Framework
by Khumbuzile C. Mosoma & Renee van Eyden & Heinrich R. Bohlmann
202305 Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India
by Oguzhan Cepni & Rangan Gupta & Jacobus Nel & Joshua Nielsen
202304 Geopolitical Risk and Inflation Spillovers across European and North American Economies
by Elie Bouri & David Gabauer & Rangan Gupta & Harald Kinateder
202303 Drivers of Realized Volatility for South Africa (and the BRIC Countries): Fundamentals versus Sentiment
by Rangan Gupta & Jacobus Nel & Christian Pierdzioch
202302 The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States
by Xin Sheng & Rangan Gupta & Qiang Ji
202301 Return Volatility, Correlation, and Hedging of Green and Brown Stocks: Is there a Role for Climate Risk Factors?
by Haohua Li & Elie Bouri & Rangan Gupta & Libing Fang

2022

202259 Basic Needs (In)Security and Subjective Equivalence Scales
by Steven F. Koch
202258 Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies
by Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta
202257 Electric Vehicles Market and Policy Conditions: Identifying South African Policy ``Potholes"
by Jacobus Nel & Roula Inglesi-Lotz
202256 Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries
by Renee van Eyden & Rangan Gupta & Joshua Nielsen & Elie Bouri
202255 Economic Disasters and Inequality
by Bruno Coric & Rangan Gupta
202254 Is Inflation Uncertainty a Self-Fulfilling Prophecy? The Inflation-Inflation Uncertainty Nexus and Inflation Targeting in South Africa
by Chevaughn van der Westhuizen & Renee van Eyden & Goodness C. Aye
202253 The Role of Institutions on the Global Economy-Emissions Nexus
by Alanda Venter & Roula Inglesi-Lotz
202252 Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models
by Oguzhan Cepni & Christina Christou & Rangan Gupta
202251 Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States
by Oguzhan Cepni & Rangan Gupta & Wenting Liao & Jun Ma
202250 Climate Shocks and Wealth Inequality in the United Kingdom: Evidence from Monthly Data
by Xin Sheng & Carolyn Chisadza & Rangan Gupta & Christian Pierdzioch
202249 Forecastability of Agricultural Commodity Futures Realised Volatility with Daily Infectious Disease-Related Uncertainty
by Sisa Shiba & Goodness C. Aye & Rangan Gupta & Samrat Goswami
202248 Carbon Tax and its Impact on South African Households
by Jessika A. Bohlmann & Roula Inglesi-Lotz & Heinrich R. Bohlmann
202247 Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment
by Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch
202246 Climate Risks and State-Level Stock-Market Realized Volatility
by Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch
202245 Is Real Interest Rate a Monetary Phenomenon in Advanced Economies? Time-Varying Evidence from Over 700 Years of Data
by Vasilios Plakandaras & Rangan Gupta & Sayar Karmakar & Mark E. Wohar
202244 Climate Change and Inequality
by Carolyn Chisadza & Matthew Clance & Xin Sheng & Rangan Gupta
202243 US Monetary Policy and BRICS Stock Market Bubbles
by Rangan Gupta & Jacobus Nel & Joshua Nielsen
202242 Climate Risks and Predictability of Commodity Returns and Volatility: Evidence from Over 750 Years of Data
by Jacobus Nel & Rangan Gupta & Mark E. Wohar & Christian Pierdzioch
202241 Climate Risks and Predictability of the Trading Volume of Gold: Evidence from an INGARCH Model
by Sayar Karmakar & Rangan Gupta & Oguzhan Cepni & Lavinia Rognone
202240 Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach
by Elie Bouri & Rangan Gupta & Hardik A. Marfatia & Jacobus Nel
202239 On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal
by Xolani Sibande & Riza Demirer & Mehmet Balcilar & Rangan Gupta
202238 Forecasting More than Three Centuries of Economic Growth of the United Kingdom: The Role of Climate Risks
by Hardik A. Marfatia & Rangan Gupta & Goodness C. Aye & Christian Pierdzioch
202237 Predictability of Economic Slowdowns in Advanced Countries over Eight Centuries: The Role of Climate Risks
by Rangan Gupta & Jacobus Nel & Afees A. Salisu & Qiang Ji
202236 The Heterogeneous Impact of Temperature Growth on Real House Price Returns across the US States
by Renee van Eyden & Geoffrey Ngene & Oguzhan Cepni & Rangan Gupta
202235 Family, External Environment and Gender Attitudes: Evidence from Students' Survey
by Tendai Zawaira & Matthew W. Clance & Carolyn Chisadza
202234 Time-Varying Parameter Four-Equation DSGE Model
by Rangan Gupta & Xiaojin Sun
202233 Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions
by Elie Bouri & Rangan Gupta & Jacobus Nel & Sisa Shiba
202232 Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality
by Afees A. Salisu & Riza Demirer & Rangan Gupta
202231 Rare Disaster Risks and Gold over 700 Years: Evidence from Nonparametric Quantile Regressions
by Mehmet Balcilar & Rangan Gupta & Jacobus Nel
202230 Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach
by Petre Caraiani & Rangan Gupta & Jacobus Nel & Joshua Nielsen
202229 The Role of the Monthly ENSO in Forecasting the Daily Baltic Dry Index
by Elie Bouri & Rangan Gupta & Luca Rossini
202228 Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)
by David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen
202227 Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500
by Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta
202226 Revisiting International House Price Convergence Using House Price Level Data
by Christophe Andre & Christina Christou & Rangan Gupta
202225 Infectious Diseases-Related Uncertainty and the Predictability of Foreign Exchange and Bitcoin Futures Realised Volatility
by Sisa Shiba & Juncal Cunado & Rangan Gupta & Samrat Goswami
202224 Bitcoin Prices and the Realized Volatility of US Sectoral Stock Returns
by Elie Bouri & Afees A. Salisu & Rangan Gupta
202223 Climate Change and Child Health: A Nigerian Perspective
by Eduard van der Merwe & Matthew Clance & Eleni Yitbarek
202222 Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets
by Alex Plastun & Xolani Sibande & Rangan Gupta & Qiang Ji
202221 Financial Development and Income Inequality: Evidence from Advanced, Emerging and Developing Economies
by Carolyn Chisadza & Mduduzi Biyase
202220 The Pricing Implications of Cryptocurrency Mining on Global Electricity Markets: Evidence from Quantile Causality Tests
by Goodness C. Aye & Riza Demirer & Rangan Gupta & Jacobus Nel
202219 The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks
by Shixuan Wang & Rangan Gupta & Matteo Bonato & Oguzhan Cepni
202218 Herding in International REITs Markets around the COVID-19 Pandemic
by Keagile Lesame & Geoffrey Ngene & Rangan Gupta & Elie Bouri
202217 Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
by Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch
202216 Do Economic Conditions of U.S. States Predict the Realized Volatility of Oil-Price Returns? A Quantile Machine-Learning Approach
by Rangan Gupta & Christian Pierdzioch
202215 Climate Uncertainty and Carbon Emissions Prices: The Relative Roles of Transition and Physical Climate Risks
by Serda Selin Ozturk & Riza Demirer & Rangan Gupta
202214 Symmetric and Asymmetric Effects of Financial Deepening on Income Inequality in South Africa
by Mduduzi Biyase & Carolyn Chisadza
202213 Forecasting Returns of Major Cryptocurrencies: Evidence from Regime-Switching Factor Models
by Elie Bouri & Christina Christou & Rangan Gupta
202212 On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data
by Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee
202211 Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach
by Afees A. Salisu & Rangan Gupta & Elie Bouri
202210 Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates
by Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch
202209 Temperature and Precipitation in the US States: Long Memory, Persistence and Time Trend
by Luis A. Gil-Alana & Rangan Gupta & Laura Sauci & Nieves Carmona-Gonzalez
202208 Persistence of State-Level Uncertainty of the United States: The Role of Climate Risks
by Xin Sheng & Rangan Gupta & Oguzhan Cepni
202207 The Effects of Climate Risks on Economic Activity in a Panel of US States: The Role of Uncertainty
by Xin Sheng & Rangan Gupta & Oguzhan Cepni
202206 Inflation-Inequality Puzzle: Is it Still Apparent?
by Edmond Berisha & Orkideh Gharehgozli & Rangan Gupta
202205 Forecasting the Realized Variance of Oil-Price Returns Using Machine-Learning: Is there a Role for U.S. State-Level Uncertainty?
by Oguzhan Cepni & Rangan Gupta & Daniel Pienaar & Christian Pierdzioch
202204 Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form
by Sergey Ivashchenko & Semih Emre Cekin & Rangan Gupta & Chien-Chiang Lee
202203 Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks
by Mawuli Segnon & Rangan Gupta & Bernd Wilfling
202202 Institutions and African Economic Development
by Augustin Kwasi Fosu
202201 Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data
by Rangan Gupta & Sayar Karmakar & Christian Pierdzioch

2021

202187 A Note on State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict
by Xin Sheng & Rangan Gupta
202186 Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests
by Nicholas Apergis & Konstantinos Gavriilidis & Rangan Gupta
202185 Equivalence Scales with Endogeneity and Base Independence
by Steven F. Koch
202184 The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?
by Xin Sheng & Won Joong Kim & Rangan Gupta
202183 Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century
by Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch
202182 Forecasting the Artificial Intelligence Index Returns: A Hybrid Approach
by Yue-Jun Zhang & Han Zhang & Rangan Gupta
202181 Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases
by Sisa Shiba & Juncal Cunado & Rangan Gupta
202180 Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach
by Juncal Cunado & David Gabauer & Rangan Gupta
202179 El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach
by Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch
202178 Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective
by Ruipeng Liu & Rangan Gupta & Elie Bouri
202177 Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment
by Rangan Gupta & Christian Pierdzioch
202176 Forecasting the Realized Variance of Oil-Price Returns: A Disaggregated Analysis of the Role of Uncertainty and Geopolitical Risk
by Rangan Gupta & Christian Pierdzioch
202175 Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment
by Rangan Gupta & Christian Pierdzioch
202174 The Non-Linear Response of US State-Level Tradable and Non-Tradable Inflation to Oil Shocks: The Role of Oil-Dependence
by Xin Sheng & Hardik A. Marfatia & Rangan Gupta & Qiang Ji
202173 Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty
by Jiqian Wang & Rangan Gupta & Oguzhan Cepni & Feng Ma
202172 Climate Risks and Forecastability of the Realized Volatility of Gold and Other Metal Prices
by Rangan Gupta & Christian Pierdzioch
202171 Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint
by Ahdi Noomen Ajmi & Roula Inglesi-Lotz
202170 Productivity and GDP: International Evidence of Persistence and Trends Over 130 Years of Data
by Luis A. Gil-Alana & Sakiru Adebola Solarin & Rangan Gupta
202169 The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses
by Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta
202168 The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom
by Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta
202167 Financial Inclusion and Gender Inequality in sub-Saharan Africa
by Tendai Zawaira & Matthew Clance & Carolyn Chisadza & Rangan Gupta
202166 Bitcoin Mining Activity and Volatility Dynamics in the Power Market
by Sayar Karmakar & Riza Demirer & Rangan Gupta
202165 Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data
by Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden
202164 A robust approach for outlier imputation: Singular Spectrum Decomposition
by Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta
202163 Measuring Market Expectations
by Christiane Baumeister
202162 Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility
by Afees A. Salisu & Riza Demirer & 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
by Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer
202160 The Effect of Oil Price Uncertainty Shock on International Equity Markets: Evidence from a GVAR Model
by Afees A. Salisu & Rangan Gupta & Riza Demirer
202159 High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests
by Goodness C. Aye & Christina Christou & Rangan Gupta & 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
by Rangan Gupta & Christian Pierdzioch & Wing-Keung Wong
202157 Firm-level Business Uncertainty and the Predictability of the Aggregate U.S. Stock Market Volatility during the COVID-19 Pandemic
by Riza Demirer & Rangan Gupta & Afees A. Salisu & Renee van Eyden
202156 Slave Trades, Kinship Structures and Women Political Participation in Africa
by Leone Walters & Carolyn Chisadza & Matthew Clance

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