Rangan Gupta

University of Pretoria - Department of Economics

South Africa

SCHOLARLY PAPERS

22

DOWNLOADS

548

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (22)

1.

Price Gap Anomaly in the US Stock Market: The Whole Story

Number of pages: 39 Posted: 10 Oct 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 166 (214,479)

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Price Gap Anomaly, Trading Strategy, Stock Market, Momentum Effect, Efficient Market Hypothesis

2.

Forecasting Realized Stock-Market Volatility: Do Industry Returns Have Predictive Value?

Number of pages: 38 Posted: 28 Jan 2021
Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of the German Federal Armed Forces - Department of Economics
Downloads 55 (439,817)

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Stock market, Realized volatility, Industry returns, Market efficiency and information

3.

Does Financial Development Affect Income Inequality in the U.S. States? A Panel Data Analysis

Number of pages: 27 Posted: 23 Jul 2019
University of the Witwatersrand, Univeristy of Pretoria, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 53 (447,187)

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Income inequality, Panel data, Personal Income

4.

Price and Volatility Linkages between International REITs and Oil Markets

Number of pages: 30 Posted: 08 Dec 2019
Pamukkale University, University of Pretoria - Department of Economics, Texas A&M University (TAMU), Commerce and DTU Management
Downloads 39 (505,791)

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REITs, oil markets, price and volatility spillovers, structural changes

5.

Historical Evolution of Monthly Anomalies in International Stock Markets

Number of pages: 43 Posted: 31 Jul 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 38 (510,389)

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Calendar Anomalies, Month of the Year Effect, Stock Market, Efficient Market Hypothesis, January Effect, December Effect, Mark Twain Effect

6.

Monetary Policy and Speculative Spillovers in Financial Markets

Number of pages: 21 Posted: 12 May 2020
Riza Demirer, David Gabauer and Rangan Gupta
Southern Illinois University Edwardsville - Department of Economics & Finance, Software Competence Center Hagenberg and University of Pretoria - Department of Economics
Downloads 37 (515,126)

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Monetary Policy, Speculation, TVP-VAR, Dynamic Connectedness, Quantiles

7.

Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models

Number of pages: 27 Posted: 04 Sep 2020
Software Competence Center Hagenberg, University of Pretoria - Department of Economics, Northeastern Illinois University - Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 36 (519,905)

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Dynamic Connectedness, Elastic Net VAR, Lasso VAR, Ridge VAR, U.S. Housing

8.

Decomposition of Income Inequality in France: The role of Interest Rate

Number of pages: 28 Posted: 19 Sep 2019 Last Revised: 23 Jan 2020
Montclair State University - School of Business, Montclair State University - The Feliciano School of Business, Department of Economics, University of Tulsa and University of Pretoria - Department of Economics
Downloads 30 (551,253)
Citation 1

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Decomposition, Income Growth, Inflation, Monetary Policy, Thiel Index

9.

Hybrid ARFIMA Wavelet Artificial Neural Network Model for DJIA Index Forecasting

Number of pages: 59 Posted: 04 Sep 2020
IPAG Business School, University of Nevada, Las Vegas, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 28 (562,738)
Citation 1

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Wavelet decomposition, WLLWNN, Neural network, ARFIMA, HYGARCH

10.

Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data

Number of pages: 22 Posted: 28 Jan 2021
Queen Mary University of London, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of Cape Town (UCT), Faculty of Commerce, Graduate School of Business, Students
Downloads 18 (627,917)

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Time-varying Granger Causality, GARCH, DCC-MGARCH, Unemployment, Exchange rates

11.

125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets

Number of pages: 27 Posted: 04 Sep 2020
Northeastern Illinois University - Economics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 18 (627,917)

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Fiscal Policy, Time-Varying impact, Financial returns and risks

12.

Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

University of Nebraska and Loughborough University Working Paper: 2020-16
Number of pages: 32 Posted: 19 Feb 2021
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 17 (634,846)

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Overreaction, Momentum Effect, Contrarian Effect, Abnormal Returns, Stock Market; Dow Jones Index

13.

Does Real U.K. GDP Have a Unit Root? Evidence from a Multi-Century Perspective

Applied Economics, 52(10) 2020
Number of pages: 34 Posted: 04 Sep 2020
University of Nevada, Las Vegas, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and Atilim University, Department of Economics, Ankara, Turkey
Downloads 11 (678,463)

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Unit Root, Time-Dependence, Nonlinearity, State-Dependence, Fourier Function

14.

Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel‐Data Evidence

Bulletin of Economic Research, Vol. 72, Issue 1, pp. 50-62, 2020
Number of pages: 13 Posted: 05 May 2020
Ankara Haci Bayram Veli University, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and Atilim University, Department of Economics, Ankara, Turkey
Downloads 1 (762,467)
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asymmetry, cross‐sectional dependence, nonlinear, panel unit root, sieve bootstrap

15.

Multi-Horizon Financial and Housing Wealth Effects across the U.S. States

University of Pretoria Department of Economics Working Paper No. 2019-58
Number of pages: 27 Posted: 24 Aug 2019
Capital Markets Board of Turkey, University of Piraeus - Department of Banking and Financial Management, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 1 (762,467)

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consumption, housing wealth effect, financial wealth effect, multi-step causality

16.

Forecasting Bitcoin Returns: Is There a Role for the US–China Trade War?

Journal of Risk, Vol. 23, No. 3, 2021
Number of pages: 20 Posted: 23 Mar 2021
Vasilios Plakandaras, Elie Bouri and Rangan Gupta
Democritus University of Thrace, Université Saint Esprit de Kaslik (USEK) and University of Pretoria - Department of Economics
Downloads 0 (780,211)
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Bitcoin, forecasting, machine learning, US–China trade war

17.

Monetary Policy Uncertainty and Jumps in Advanced Equity Markets

Journal of Risk, Vol. 23, No. 1, October 2020, Pages 101-112
Number of pages: 12 Posted: 07 Jan 2021
Université Saint Esprit de Kaslik (USEK), University of Patras - Business Administration, University of Pretoria - Department of Economics and University of Pretoria
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stock market jumps, monetary policy uncertainty, volatility, causality-in-quantiles, conditional distribution

18.

Trade Uncertainties and the Hedging Abilities of Bitcoin

Economic Notes, Vol. 49, Issue 3, pp. n/a-n/a, 2020
Number of pages: 10 Posted: 09 Oct 2020
Elie Bouri, Konstantinos Gkillas and Rangan Gupta
Université Saint Esprit de Kaslik (USEK), University of Patras and University of Pretoria - Department of Economics
Downloads 0 (780,211)
Citation 1
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Bitcoin, realised correlation, trade uncertainty, US stock market

19.

Time–Frequency Relationship between Us Inflation and Inflation Uncertainty: Evidence from Historical Data

Scottish Journal of Political Economy, Vol. 66, Issue 5, pp. 673-702, 2019
Number of pages: 30 Posted: 06 Jun 2020
Politehnica University of Timisoara, Rajagiri Business School, University of Nevada, Las Vegas - Department of Economics and University of Pretoria - Department of Economics
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20.

Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility

OPEC Energy Review, Vol. 43, Issue 3, pp. 342-361, 2019
Number of pages: 20 Posted: 02 Jun 2020
Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics, Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Rajagiri Business School
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21.

Us Fiscal Policy and Asset Prices: The Role of Partisan Conflict

International Review of Finance, Vol. 19, Issue 4, pp. 851-862, 2019
Number of pages: 12 Posted: 26 May 2020
University of Pretoria - Department of Economics, affiliation not provided to SSRN, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 0 (780,211)
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22.

A Re-Evaluation of the Term Spread as a Leading Indicator

International Review of Economics & Finance, Forthcoming
Posted: 14 Sep 2019
Democritus University of Thrace, Department of Economics, Democritus University of Thrace, Democritus University of Thrace - Department of Economics and University of Pretoria - Department of Economics

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Inflation, GDP, Forecasting, Support Vector Machines, Term Premium