Rangan Gupta

University of Pretoria - Department of Economics

South Africa

SCHOLARLY PAPERS

16

DOWNLOADS

250

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (16)

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 114 (265,306)

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

2.

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 40 (461,162)

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Income inequality, Panel data, Personal Income

3.

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 29 (512,971)

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

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 Middle East Technical University, Department of Business Administration, Earth System Science
Downloads 25 (535,759)

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

5.

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, Johannes Kepler University and University of Pretoria - Department of Economics
Downloads 21 (560,508)

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

6.

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 19 (573,356)
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Decomposition, Income Growth, Inflation, Monetary Policy, Thiel Index

7.

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 (707,942)
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asymmetry, cross‐sectional dependence, nonlinear, panel unit root, sieve bootstrap

8.

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 (707,942)

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

9.

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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10.

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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11.

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, University of Huddersfield - Business School, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
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12.

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

13.

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

Number of pages: 27
Northeastern Illinois University - Economics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 0

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

14.

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

Number of pages: 27
Johannes Kepler University, University of Pretoria - Department of Economics, Northeastern Illinois University - Economics and University of Nevada, Las Vegas - Department of Economics
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Dynamic Connectedness, Elastic Net VAR, Lasso VAR, Ridge VAR, U.S. Housing

15.

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

Applied Economics, 52(10) 2020
Number of pages: 34
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
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Unit Root, Time-Dependence, Nonlinearity, State-Dependence, Fourier Function

16.

Hybrid ARFIMA wavelet artificial neural network model for DJIA Index Forecasting

Number of pages: 59
IPAG Business School, University of Nevada, Las Vegas, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 0

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Wavelet decomposition, WLLWNN, Neural network, ARFIMA, HYGARCH