Rangan Gupta

University of Pretoria

Physical Address Economic and Management Sciences

Pretoria, 0002

South Africa

SCHOLARLY PAPERS

12

DOWNLOADS

429

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (12)

1.

Climate Risks and Predictability of the Trading Volume of Gold:Evidence from an INGARCH Model

Number of pages: 15 Posted: 18 Oct 2022
University of Florida, University of Pretoria, Copenhagen Business School and University of Edinburgh Business School
Downloads 83 (555,107)

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Climate Risks, Precious Metals, Forecasting, Trading Volumes, Count Data, INGARCH

2.

Stock Market Bubbles and the Forecastability of Goldreturns (and Volatility)

Number of pages: 33 Posted: 19 Jun 2023
affiliation not provided to SSRN, University of Pretoria, University of Florida and University of Colorado Boulder
Downloads 67 (625,757)

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Gold, stock markets, Bubbles, forecasting, Returns, Volatility

3.

Technological Shocks and Stock Market Volatility Over a Century

Number of pages: 36 Posted: 09 Jun 2023
Afees Salisu, Riza Demirer and Rangan Gupta
Centre for Econometrics and Applied Research, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria
Downloads 48 (732,767)
Citation 1

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Patents, Technology shocks, Stock market volatility, Forecasting

4.

The Effects of Climate Risks on Economic Activity in a Panel of Us States: The Role of Uncertainty

Number of pages: 10 Posted: 25 Jan 2022
x sheng, Rangan Gupta and Oguzhan Cepni
Anglia Ruskin University, University of Pretoria and Copenhagen Business School
Downloads 41 (780,874)
Citation 1

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Climate Risks, Uncertainty, Economic Activity, US States, Linear and Nonlinear Local Projections, Impulse Response Functions

5.

Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty

Number of pages: 36 Posted: 21 Nov 2023
University of Pretoria, University of Pretoria, Anglia Ruskin University and University of Colorado Boulder
Downloads 32 (851,138)

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Multi-Scale Bubbles, Oil Price Uncertainty, Panel Data Regressions, G7 Stock Markets

6.

Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form

Number of pages: 33 Posted: 14 Apr 2023
Turkish-German University, affiliation not provided to SSRN, University of Pretoria and Nanchang University
Downloads 31 (859,649)

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DSGE, forecasting, GARCH, stochastic volatility, conditional correlations.

7.

Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States

Number of pages: 15 Posted: 02 Nov 2022
Oguzhan Cepni, Rangan Gupta, Wenting Liao and Jun Ma
Copenhagen Business School, University of Pretoria, Renmin University of China - School of Finance and Northeastern University - Department of Economics
Downloads 30 (868,276)

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State-Level Economic Conditions, Climate Risks, Dynamic Factor Model with Stochastic Volatility, Panel Predictive Regression, Forecasting

8.

Price Effects after One-Day Abnormal Returns and Crises in the Stock Markets

Number of pages: 58 Posted: 11 May 2023
Alex Plastun, Xolani Sibande, Rangan Gupta and Qiang Ji
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria and Chinese Academy of Sciences (CAS) - Institute of Policy and Management
Downloads 29 (876,967)

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Momentum Effect, Contrarian Effect, Abnormal Returns, Stock Market, Crisis

9.

Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models

Number of pages: 14 Posted: 09 Nov 2022
Oguzhan Cepni, Christina Christou and Rangan Gupta
Copenhagen Business School, Open University of Cyprus and University of Pretoria
Downloads 23 (932,815)

Abstract:

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C22, C53, E32, E37, Q54

10.

The Effects of Disaggregate Oil Shocks on Aggregate Expected Skewness of the United States

Number of pages: 14 Posted: 23 Feb 2023
x sheng, Rangan Gupta and Qiang Ji
Anglia Ruskin University, University of Pretoria and Chinese Academy of Sciences (CAS) - Institute of Policy and Management
Downloads 19 (973,370)

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oil shocks, Expected macroeconomic skewness, US economy, Local projection model, Impulse response functions

11.

Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns: The Role of Skewness Over 1859 to 2023

Number of pages: 14 Posted: 22 Jul 2023
University of Pretoria, Chinese Academy of Sciences (CAS) - Institute of Policy and Management, affiliation not provided to SSRN and Democritus University of Thrace
Downloads 17 (994,352)

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Oil Returns, Expected Skewness, realized volatility, quantile regression, Forecasting

12.

Energy Market Uncertainties and Exchange Rate Volatility: A Garch-Midas Approach

Number of pages: 10 Posted: 02 May 2024
Centre for Econometrics and Applied Research, Centre for Econometrics and Applied Research (CEAR), University of Pretoria and Chinese Academy of Sciences (CAS) - Institute of Policy and Management
Downloads 9 (1,076,229)

Abstract:

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Monthly Oil Price and Energy Market Uncertainties, Daily Exchange Rate Returns Volatility, GARCH-MIDAS, Forecasting