Rangan Gupta

University of Pretoria - Department of Economics

Senior Lecturer

Lynnwood Road

Hillcrest

Pretoria, 0002

South Africa

SCHOLARLY PAPERS

85

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21

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Scholarly Papers (85)

1.

LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index

Swiss Finance Institute Research Paper No. 16-05
Number of pages: 32 Posted: 05 Feb 2016
ETH Zurich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Eastern Mediterranean University, University of Pretoria - Department of Economics, Gazi University and Izmir University of Economics
Downloads 483 (56,758)

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S&P 500, LPPL method, stock market bubble, forecast, bubble indicators

2.

Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach

Economic Modelling, Forthcoming
Number of pages: 27 Posted: 25 Mar 2017
Eastern Mediterranean University, Université Saint Esprit de Kaslik (USEK), University of Pretoria - Department of Economics and Montpellier Business School
Downloads 407 (70,149)

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Bitcoin, Volume, Returns, Volatility, Nonparametric Quantile Causality

3.

The Effects of Brexit on the Pound: Towards a Currency Crisis?

Number of pages: 14 Posted: 24 Jul 2017
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 398 (72,217)

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Brexit, Economic Uncertainty, Machine Learning

4.

Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013

Energy Economics, May 2015
Number of pages: 35 Posted: 28 Sep 2014 Last Revised: 31 Aug 2016
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 252 (119,055)

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Markov switching, vector error correction, oil and stock prices

5.

On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-Scale Indicators

Quantitative Finance, Forthcoming.
Number of pages: 18 Posted: 28 Nov 2017 Last Revised: 23 Sep 2018
Southern Illinois University Edwardsville - Department of Economics & Finance, ETH Zurich, University of Pretoria - Department of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 242 (123,961)

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Financial bubble indicators, LPPL method, Markov switching, Predictability, Short interest

6.

Forecasting the U.S. Real House Price Index

Number of pages: 27 Posted: 02 May 2014
Democritus University of Thrace, University of Pretoria - Department of Economics, Democritus University of Thrace - Department of Economics and Department of Economics, Democritus University of Thrace
Downloads 170 (172,651)

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house prices, forecasting, machine learning, Support Vector Regression

7.

Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs

Akinsomi, Omokolade, Coskun, Yener, Gupta, Rangan and Lau, Chi Keung Marco. (2016). Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs, Working Paper. No. 2016-88. December 28. University of Pretoria.
Number of pages: 15 Posted: 01 Jan 2017
University of the Witwatersrand, Capital Markets Board of Turkey, University of Pretoria - Department of Economics and Northumbria University
Downloads 152 (189,877)

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8.

Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data

Contemporary Economics, Vol. 7, No. 1, pp. 19-32, 2013
Number of pages: 14 Posted: 18 Apr 2013
Riané de Bruyn, Rangan Gupta and Lardo Stander
University of Pretoria, University of Pretoria - Department of Economics and University of Pretoria
Downloads 143 (199,579)

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nominal exchange rate, monetary model, long-span data, forecasting

9.

Temporal Causality between House Prices and Output in the U.S.: A Bootstrap Rolling-Window Approach

North American Review of Economics and Finance, July 2015
Number of pages: 30 Posted: 02 Jul 2013 Last Revised: 31 Aug 2016
University of Pretoria, University of Nevada, Las Vegas - Department of Economics, Eastern Mediterranean University, CSIR and University of Pretoria - Department of Economics
Downloads 126 (220,635)

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real house price, real GDP per capita, Bootstrap, time-varying causality

10.

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Number of pages: 11 Posted: 04 Oct 2016 Last Revised: 12 Jan 2018
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 124 (223,345)

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economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility

11.

Forecasting the South African Economy: A DSGE-VAR Approach

CentER Discussion Paper No. 2008-32
Number of pages: 23 Posted: 25 Mar 2008
Guangling Liu, Rangan Gupta and Eric Schaling
University of Johannesburg - Department of Economics, University of Pretoria - Department of Economics and Rand Afrikaans University - Department of Economics
Downloads 122 (225,999)

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DSGE model, VAR and BVAR model, forecast accuracy, DSGE forecasts, VAR forecasts, BVAR forecasts

12.

Financial Market Liberalization, Monetary Policy, and Housing Price Dynamic

International Business & Economics Research Journal, 11(1), 2012
Number of pages: 27 Posted: 30 Mar 2010 Last Revised: 25 May 2015
Rangan Gupta, Stephen M. Miller and Dylan van Wyk
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and University of Pretoria - Department of Economics
Downloads 108 (246,952)

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Monetary policy, Housing price dynamics, Large-Scale BVAR model

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis

DIW Berlin Discussion Paper No. 1486
Number of pages: 35 Posted: 10 Jun 2015
Brunel University - Centre for Empirical Finance, affiliation not provided to SSRN, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 80 (302,378)

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Healthcare expenditure, income elasticity, US states, fractional integration, fractional cointegration

The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis

CESifo Working Paper Series No. 5407
Number of pages: 34 Posted: 06 Jul 2015
Brunel University - Centre for Empirical Finance, University of Navarra - Faculty of Economics, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 27 (486,542)

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healthcare expenditure, income elasticity, US states, fractional integration, fractional cointegration

14.

Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals

Economic Modelling, July 2011
Number of pages: 36 Posted: 29 Dec 2009 Last Revised: 08 Apr 2012
Rangan Gupta, Alain Kabundi and Stephen M. Miller
University of Pretoria - Department of Economics, University of Johannesburg - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 107 (248,591)

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US House prices, Forecasting, DSGE models, Factor Augmented Models, Large-Scale BVAR models

15.

Causality between Economic Policy Uncertainty Across Countries: Evidence from Linear and Nonlinear Tests

Frontiers in Finance and Economics, Vol. 11, No. 1, 73-102, 2014
Number of pages: 30 Posted: 02 Feb 2015
Ahdi Noomen Ajmi, Rangan Gupta and Patrick Kanda
BESTMOD (Business & Economic Statistics Modelling) - Statistics Department, University of Pretoria - Department of Economics and University of Pretoria - Department of Economics
Downloads 105 (251,912)

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economic policy uncertainty, causality, linear, nonlinear

16.

The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains

International Review of Economics & Finance, July 2015
Number of pages: 34 Posted: 30 Nov 2013 Last Revised: 31 Aug 2016
Feng Chia University - Finance, Wuhan University - School of Economics and Management, University of Nevada, Las Vegas - Department of Economics, Eastern Mediterranean University and University of Pretoria - Department of Economics
Downloads 103 (255,268)

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stock market, real estate market, wavelet analysis, frequency domain, time domain

17.

Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States

Journal of Housing Research, 20(2), 2011
Number of pages: 33 Posted: 22 May 2009 Last Revised: 08 Apr 2012
Rangan Gupta, Alain Kabundi and Stephen M. Miller
University of Pretoria - Department of Economics, University of Johannesburg - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 96 (267,469)

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housing prices, forecasting, factor augmented models, large-scale BVAR models

18.

The Relationship between the Inflation Rate and Inequality Across U.S. States: A Semiparametric Approach

Quantity and Quality, Forthcoming
Number of pages: 18 Posted: 03 Mar 2017 Last Revised: 26 May 2018
Eastern Mediterranean University, Univeristy of Pretoria, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 88 (282,703)

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Income inequality, Inflation rate, Semiparametric instrumental variable estimator

19.

Oil Price Forecastability and Economic Uncertainty

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 298
Number of pages: 12 Posted: 06 Apr 2015
European University Institute - Economics Department (ECO), University of Pretoria - Department of Economics and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 86 (286,760)

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Oil prices, economic policy uncertainty, forecasting

20.

A New-Keynesian DSGE Model for Forecasting the South African Economy

Journal of Forecasting, Vol. 28, pp. 387–404, 2009
Number of pages: 18 Posted: 20 Sep 2010
Rangan Gupta, Eric Schaling and Dave Liu
University of Pretoria - Department of Economics, Rand Afrikaans University - Department of Economics and Stellenbosch University
Downloads 85 (288,884)

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New-Keynesian DSGE Model, VAR and BVAR Model, Forecast Accuracy

21.

The Time-Series Linkages between US Fiscal Policy and Asset Prices

Number of pages: 21 Posted: 02 Apr 2015
University of Manouba, University of Pretoria - Department of Economics, Government of the Republic of South Africa - South Africa National Treasury and University of Nevada, Las Vegas - Department of Economics
Downloads 82 (295,213)

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TVP-VAR, countercyclical fiscal policy, stock prices, house prices

22.

Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors

Empirical Economics, December 2016
Number of pages: 25 Posted: 11 May 2014 Last Revised: 18 Jun 2017
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and Eastern Mediterranean University
Downloads 79 (301,808)

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Private residential investment, predictive regressions, factor-augmented models, Bayesian shrinkage, forecasting

23.

Time-Varying Effects of Housing and Stock Prices on U.S. Consumption

Journal of Real Estate Finance and Economics, April 2015
Number of pages: 22 Posted: 05 Jun 2013 Last Revised: 31 Aug 2016
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and University of Pretoria - Department of Economics
Downloads 76 (308,761)

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Asset Prices, Consumption, TVP-VAR

24.

A Time-Varying Approach of the US Welfare Cost of Inflation

Macroeconomic Dynamics, Forthcoming
Number of pages: 31 Posted: 30 May 2014 Last Revised: 18 Jun 2017
University of Nevada, Las Vegas - Department of Economics, University Institute of Lisbon (IUL) - School of Business and University of Pretoria - Department of Economics
Downloads 75 (311,111)

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Money Demand Function, Welfare cost of inflation, Time-varying cointegration

25.

The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US

Applied Economics, Published online 3 February 2015
Number of pages: 55 Posted: 31 Aug 2012 Last Revised: 18 Mar 2015
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 74 (313,568)

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Forecasting, Linear and non-linear models, US and Census housing price indexes

26.

A Small-Scale DSGE Model for Forecasting the South African Economy

South African Journal of Economics, Vol. 75, No. 2, June 2007
Number of pages: 15 Posted: 20 Sep 2010
Rangan Gupta and Dave Liu
University of Pretoria - Department of Economics and Stellenbosch University
Downloads 74 (313,568)

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DSGE Model, VAR and BVAR Model, Forecast Accuracy, DSGE Forecasts, VAR Forecasts, BVAR Forecasts

27.

Analysis of Herding in REITs of an Emerging Market: The Case of Turkey

Journal of Real Estate Portfolio Management. 24 (1): pp. 65-81, 2018, University of Pretoria, Department of Economics Working Paper Series, 2016-66, September, 2016
Number of pages: 18 Posted: 21 Sep 2016 Last Revised: 24 Apr 2018
Omokolade Akinsomi, Yener Coskun and Rangan Gupta
University of the Witwatersrand, Capital Markets Board of Turkey and University of Pretoria - Department of Economics
Downloads 73 (316,062)

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REIT, herd behavior, asymmetric herding, volatility, Turkey

28.

Time-Varying Persistence in US Inflation

Number of pages: 20 Posted: 09 Oct 2014
Massimiliano Caporin and Rangan Gupta
University of Padua - Department of Statistical Sciences and University of Pretoria - Department of Economics
Downloads 71 (320,869)

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Persistence, US Inflation Rate, Time-Varying Long Memory

29.

The Time-Series Properties on Housing Prices: A Case Study of the Southern California Market

Journal of Real Estate Finance and Economics, April 2012
Number of pages: 62 Posted: 10 Mar 2009 Last Revised: 29 Mar 2015
Rangan Gupta and Stephen M. Miller
University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 70 (323,333)

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Housing prices, Forecasting

30.

Income Inequality: A State-by-State Complex Network Analysis

Physica A: Statistical Mechanics and its Applications, September 2017
Number of pages: 27 Posted: 28 Jun 2015 Last Revised: 26 Nov 2017
Democritus University of Thrace - Department of Economics, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, Department of Economics, Democritus University of Thrace and Democritus University of Thrace - Department of Economics
Downloads 69 (325,833)

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Income inequality, graph theory, US states

31.

Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach

Number of pages: 32 Posted: 15 Jun 2016
University of Johannesburg - Department of Economics and Econometrics, 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 63 (341,846)

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Gold futures returns, Realized volatility, Realized skewness, Forecasting, Quantile

32.

Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model

International Journal of Strategic Property Management, April 2012
Number of pages: 25 Posted: 30 Jun 2009 Last Revised: 04 Feb 2013
University of Pretoria - Department of Economics, Norges Bank, University of Johannesburg - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 63 (341,846)

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monetary policy, housing sector dynamics, large-scale BVAR models

33.

Structural Breaks and Predictive Regressions Models of South African Equity Premium

Frontiers in Finance and Economics, Vol. 10, No. 1, 49-86, 2013
Number of pages: 38 Posted: 07 Sep 2013
Goodness Aye, Rangan Gupta and Mampho Modise
University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Pretoria - Department of Economics
Downloads 60 (350,179)

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predictive regression model, equity premium, structural breaks, South Africa

34.

Evolution of Monetary Mechanism in the U.S.: The Role of Asset Returns

Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 2016
Number of pages: 28 Posted: 21 Aug 2013 Last Revised: 07 Mar 2016
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and Eastern Mediterranean University
Downloads 57 (359,091)

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monetary policy, house prices, stock prices, TVP-VAR

35.

The Relationship between Population Growth and Standard-of-Living Growth Over 1870-2013: Evidence from a Bootstrapped Panel Granger Causality Test

Emprica, Journal of Applied Economics and Economic Policy, February 2017
Number of pages: 38 Posted: 25 Jul 2016 Last Revised: 18 Jun 2017
Feng Chia University - Finance, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 55 (365,220)

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Population Growth, Standard-of-Living Growth, Dependency and Heterogeneity, Bootstrap Panel Causality Test

36.

Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence

Empirical Economics, Forthcoming
Number of pages: 30 Posted: 27 Jul 2013 Last Revised: 26 Nov 2017
California State University, Los Angeles - Department of Economics & Statistics, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and TUI University
Downloads 53 (371,477)

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structural break tests, hysteresis, Great Recession, unit root, MSA unemployment rate, mean reversion

37.

Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach

Studies in Nonlinear Dynamics and Econometrics, September 2017
Number of pages: 38 Posted: 20 Aug 2016 Last Revised: 26 Nov 2017
IPAG Business School, California State University, Los Angeles - Department of Economics & Statistics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 52 (374,649)

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Time-varying long-memory, LSTAR model, MODWT algorithm, ILSE estimator

38.

Forecasting the South African Economy: A DSGE-VAR Approach

CentER Working Paper No. 2008-32
Number of pages: 23 Posted: 20 Sep 2010
Rangan Gupta, Eric Schaling and Dave Liu
University of Pretoria - Department of Economics, Rand Afrikaans University - Department of Economics and Stellenbosch University
Downloads 51 (377,809)

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DSGE Model, VAR and BVAR Model, Forecast Accuracy, DSGE Forecasts, VAR Forecasts, BVAR Forecasts

39.

Convergence in Income Inequality: Further Evidence from the Club Clustering Methodology Across the U.S. States

International Advances in Economic Research, online March 20, 2018
Number of pages: 36 Posted: 28 Jun 2015 Last Revised: 26 May 2018
Northumbria University - Economics Department, University of Piraeus, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 50 (381,111)

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Club convergence, Inequality measures, Panel data, US states

40.

Housing and the Great Depression

Applied Economics, Published online 13 May 2014
Number of pages: 38 Posted: 01 Feb 2013 Last Revised: 07 May 2015
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 50 (381,111)

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Great Depression, Real House Price, Real GDP per Capita, Structural change

41.

Using Large Data Sets to Forecast Sectoral Employment

Statistical Methods and Applications, June 2014
Number of pages: 57 Posted: 13 Jan 2011 Last Revised: 18 Mar 2015
University of Pretoria - Department of Economics, University of Johannesburg - Department of Economics, University of Nevada, Las Vegas - Department of Economics and University of Johannesburg
Downloads 50 (381,111)

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Sectoral Employment, Forecasting, Factor Augmented Models, Large-Scale BVAR models

42.

Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data

Number of pages: 28 Posted: 24 Jul 2017
Democritus University of Thrace, University of Navarra - Faculty of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 49 (384,399)

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Dynamic Probit Models, Support Vector Machines, U.S. Recessions

43.

DSGE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 259
Number of pages: 20 Posted: 04 Dec 2013
University of Pretoria - Department of Economics, affiliation not provided to SSRN, University of Pretoria - Department of Economics and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 49 (384,399)

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DSGE model, inflation, core variables, non-core variables

44.

Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches

Number of pages: 23 Posted: 18 Nov 2016
University of Nevada, Las Vegas, University of Navarra - Department of Economics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 48 (387,951)

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Persistence, Cyclicality, Chebyshev Polynomials, Gegenbauer Processes

45.

Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

Public Finance Review, June 2014
Number of pages: 33 Posted: 16 Sep 2012 Last Revised: 18 Mar 2015
University of Pretoria - Department of Economics, Eastern Mediterranean University, University of Pretoria - Department of Economics, Government of the Republic of South Africa - South Africa National Treasury, University of Nevada, Las Vegas - Department of Economics and Gazi University
Downloads 47 (391,328)

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Bayesian Sign-Restricted VAR, fiscal policy, housing prices, stock prices

46.

Is Wine a Good Choice for Investment?

Number of pages: 54 Posted: 01 Mar 2018 Last Revised: 16 Mar 2018
Université Saint Esprit de Kaslik (USEK), University of Pretoria - Department of Economics, Asia University, Department of Finance and Shandong University of Finance and Economics
Downloads 41 (412,780)

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Wine investment; mean-variance portfolio optimization; mean-risk criterion; stochastic dominance; asset classes

47.

Was the Recent Downturn in US GDP Predictable?

Applied Economics, Published online 16 February 2015
Number of pages: 38 Posted: 16 Nov 2012 Last Revised: 18 Mar 2015
Eastern Mediterranean University, University of Pretoria - Department of Economics, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Nevada, Las Vegas - Department of Economics
Downloads 41 (412,780)

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Forecasting, Linear and non-linear models, Great Recession

48.

'Ripple Effects' and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix

The Annals of Regional Science, 48(3), June 1012
Number of pages: 45 Posted: 23 Jan 2009 Last Revised: 19 Apr 2015
Rangan Gupta and Stephen M. Miller
University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 41 (412,780)

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Ripple effect, Housing prices, Forecasting

49.

Rise and Fall of Calendar Anomalies over a Century

University of Pretoria Department of Economics Working Paper Series (2019)
Number of pages: 45 Posted: 25 Apr 2019 Last Revised: 08 May 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 33 (444,972)

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Calendar Anomalies, Day of the Week Effect, Turn of the Month Effect, Turn of the Year Effect, Holiday Effect, Stock Market, Dow Jones Industrial Average Index

50.

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

Number of pages: 28 Posted: 28 Jun 2015
Gazi University, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and Cankaya University
Downloads 33 (444,972)

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Nonlinear, Panel Unit Root, Asymmetry, Cross-Sectional Dependence, Sieve Bootstrap

51.

Investor Sentiment and Crash Risk in Safe Havens

Number of pages: 19 Posted: 14 Feb 2018
Laboratoire BESTMOD, University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 32 (449,302)

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Investor Sentiment, Safe Haven Assets, Intraday Returns, Crash Risk

52.

A Note on the Technology Herd: Evidence from Large Institutional Investors

Review of Behavioral Finance, Forthcoming
Number of pages: 17 Posted: 20 Mar 2018
University of New Haven - Economics, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of Johannesburg
Downloads 30 (458,555)

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Herding, Institutional investors, Causality, Technology stocks

53.

Trust and Quality of Growth: A Note

Economics Bulletin, 36(3), A181, pp. 1854-1867 (September, 2016).
Number of pages: 9 Posted: 27 Jun 2015 Last Revised: 02 Oct 2016
Simplice Asongu and Rangan Gupta
African Governance and Development Institute and University of Pretoria - Department of Economics
Downloads 30 (458,555)

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Trust; Inclusive Growth; Conditional Effects

54.

Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes

Empirical Economics, April 2013
Number of pages: 46 Posted: 27 Dec 2010 Last Revised: 29 May 2014
Eastern Mediterranean University, University of Pretoria - Department of Economics, Arizona State University (ASU) - School of Mathematical and Statistical Sciences and University of Nevada, Las Vegas - Department of Economics
Downloads 30 (458,555)

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Forecasting, Linear and Non-Linear Models, Nevada Gross Gaming Revenue, Nevada Taxable Sales

55.

Macroeconomic Uncertainty, Growth and Inflation in the Eurozone: A Causal Approach

Number of pages: 12 Posted: 12 Oct 2017
Democritus University of Thrace, University of Pretoria - Department of Economics, Democritus University of Thrace - Department of Economics and Department of Economics, Democritus University of Thrace
Downloads 29 (463,318)

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output growth, inflation, uncertainty, causality

56.

Partisan Conflict and Income Distribution in the United States: A Nonparametric Causality-in-Quantiles Approach

Social Indicators Research, Forthcoming
Number of pages: 25 Posted: 19 Jun 2017 Last Revised: 26 May 2018
Eastern Mediterranean University, Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 27 (473,253)

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Partisan Conflict; Income Distribution; Quantile Causality

57.

Uncertainty and Crude Oil Returns

Energy Economics, Vol. 55, 2016
Number of pages: 20 Posted: 28 Jun 2015 Last Revised: 23 Jul 2016
Riadh Aloui, Rangan Gupta and Stephen M. Miller
University of Sousse, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 25 (483,891)

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Uncertainty, oil shocks, copulas

58.

U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict

International Review of Finance, Forthcoming
Number of pages: 19 Posted: 19 Jun 2017 Last Revised: 26 May 2018
University of Pretoria - Department of Economics, Northumbria University, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 23 (494,776)

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Quantile structural VAR, fiscal policy, stock prices, house prices, partisan conflict

59.

Presidential Cycles and Time-Varying Bond-Stock Market Correlations: Evidence from More than Two Centuries of Data

Economics Letters 167, 36-39, 2018.
Number of pages: 11 Posted: 15 Mar 2018 Last Revised: 23 Sep 2018
Riza Demirer and Rangan Gupta
Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
Downloads 19 (517,558)

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Conditional correlation, GARCH, Bond and Stock Returns Comovement, US Presidential Cycles

60.

Causality between Per Capita Real GDP and Income Inequality in the U.S.: Evidence from a Wavelet Analysis

Social Indicators Research, online November 12, 2016
Number of pages: 26 Posted: 20 Aug 2016 Last Revised: 26 May 2018
Shinhye Chang, Rangan Gupta and Stephen M. Miller
Univeristy of Pretoria, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 19 (517,558)

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Income, Inequality, Wavelet analysis, U.S.

61.

The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach

Number of pages: 25 Posted: 22 Jun 2017
Democritus University of Thrace - Department of Economics, Department of Economics, Democritus University of Thrace, Democritus University of Thrace and University of Pretoria - Department of Economics
Downloads 18 (523,324)

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U.S. Inflation, forecasting, Support Vector Regression, LASSO

62.

US Inflation Dynamics on Long Range Data

Number of pages: 26 Posted: 02 Jul 2015
Democritus University of Thrace, Democritus University of Thrace - Department of Economics, University of Pretoria - Department of Economics and Department of Economics, Democritus University of Thrace
Downloads 18 (523,324)

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Inflation, Persistence, Hurst exponent, Detrended Fluctuation Analysis, Lyapunov exponent

63.

Halloween Effect in Developed Stock Markets: A US Perspective

University of Pretoria, Department of Economics Working Paper Series, No. 2019-14
Number of pages: 49 Posted: 30 Apr 2019
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 16 (534,696)

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Calendar Anomalies, Halloween Effect, Stock Market, Efficient Market Hypothesis

64.

Persistence and Cyclical Dynamics of U.S. and U.K. House Prices: Evidence from Over 150 Years of Data

Number of pages: 46 Posted: 19 Jun 2018 Last Revised: 10 May 2019
California State University, Los Angeles - Department of Economics & Statistics, University of Navarra - Department of Economics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
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Persistence; house prices; fractional integration, cyclical behavior

65.

Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S.: Evidence from Historical Data

Number of pages: 27 Posted: 29 Jul 2016
Politehnica University of Timisoara, IFHE University (ICFAI) - Faculty of Management, University of Nevada, Las Vegas - Department of Economics and University of Pretoria - Department of Economics
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historical inflation rate, uncertainty, continuous wavelet transform, bounded series, U.S.

66.

Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from over 150 Years of Data

Empirical Economics, Forthcoming
Number of pages: 50 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics, Aristotle University of Thessaloniki - Department of Economics and University of Nebraska at Omaha
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time-varying VAR, house prices, macroeconomic shocks

67.

Growth Volatility and Inequality in the U.S.: A Wavelet Analysis

Number of pages: 43 Posted: 02 Jun 2018
Univeristy of Pretoria, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
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Growth Volatility, Income and Wealth Inequalities, Wavelet Analysis

68.

Dynamic Connectedness of Uncertainty Across Developed Economies: A Time-Varying Approach

Economics Letters, Forthcoming
Number of pages: 34 Posted: 26 Nov 2018
Johannes Kepler University, Democritus University of Thrace, University of Pretoria - Department of Economics and Vienna University of Economics and Business
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Economic Policy Uncertainty, Time-Varying Model, Connectedness Index

69.

An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data

Number of pages: 29 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
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Time-Varying VAR, Macroeconomic Shocks

70.

Are BRICS Exchange Rates Chaotic?

Applied Economics Letters, Forthcoming
Number of pages: 9 Posted: 26 Nov 2018
Democritus University of Thrace, University of Pretoria - Department of Economics, University of Navarra - Department of Economics and University of Nebraska at Omaha
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Exchange Rate, Chaos, Lyapunov Exponent

71.

Costly Tax Enforcement and Financial Repression

Economic Notes, Vol. 37, Issue 2, pp. 141-154, July 2008
Number of pages: 14 Posted: 02 Dec 2008
Rangan Gupta and Emmanuel Ziramba
University of Pretoria - Department of Economics and affiliation not provided to SSRN
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72.

Persistence, Mean Reversion and Nonlinearities in Inflation Rates of Developed and Developing Countries Using Over One Century of Data

The Manchester School, Vol. 87, Issue 1, pp. 24-36, 2019
Number of pages: 13 Posted: 11 Dec 2018
Luis Alberiko Gil‐Alana and Rangan Gupta
University of Navarra and University of Pretoria - Department of Economics
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73.

Social Status, Inflation and Endogenous Growth in a Cash‐In‐Advance Economy: A Reconsideration Using the Credit Channel

The Manchester School, Vol. 86, Issue 5, pp. 622-640, 2018
Number of pages: 19 Posted: 26 Sep 2018
Rangan Gupta and Lardo Stander
University of Pretoria - Department of Economics and University of Pretoria
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74.

The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Non‐Parametric Causality Tests

OPEC Energy Review, Vol. 42, Issue 2, pp. 93-106, 2018
Number of pages: 14 Posted: 18 Sep 2018
Matteo Bonato, Riza Demirer and Rangan Gupta
University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance and University of Pretoria - Department of Economics
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75.

Wealth‐To‐Income Ratio and Stock Market Movements: Evidence from a Nonparametric Causality Test

International Review of Finance, Vol. 18, Issue 3, pp. 495-506, 2018
Number of pages: 12 Posted: 17 Sep 2018
Eastern Mediterranean University, University of Pretoria - Department of Economics, University of Minho and University of Nebraska at Omaha
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76.

Testing the Efficiency of the Art Market Using Quantile‐Based Unit Root Tests with Sharp and Smooth Breaks

The Manchester School, Vol. 86, Issue 4, pp. 488-511, 2018
Number of pages: 24 Posted: 13 Jun 2018
University of Pretoria - Department of Economics, Feng Chia University, National Taichung University of Science and Technology, University of Pretoria - Department of Economics and University of Nebraska at Omaha
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77.

Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration Using a Nonparametric Causality‐In‐Quantiles Test

Bulletin of Economic Research, Vol. 70, Issue 1, pp. 74-87, 2018
Number of pages: 14 Posted: 11 Jan 2018
Mehmet Balcilar, Rangan Gupta and Clement Kyei
Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Pretoria
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causality‐in‐quantiles, investor sentiment, linear causality, nonlinear dependence, nonparametric causality, stock markets

78.

Electricity Demand in South Africa: Is it Asymmetric?

OPEC Energy Review, Vol. 41, Issue 3, pp. 226-238, 2017
Number of pages: 13 Posted: 27 Sep 2017
University of Pretoria - Department of Economics, University of Pretoria and University of Johannesburg
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79.

Evolution of the Monetary Transmission Mechanism in the US: The Role of Asset Returns

Journal of Real Estate Finance and Economics, Vol. 52, No. 3, 2016
Posted: 03 Mar 2016
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and Eastern Mediterranean University

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Monetary policy transmission; Housing return; Stock return; TVP-VAR

80.

Time-Varying Effects of Housing and Stock Returns on U.S. Consumption

Journal of Real Estate Finance and Economics, Vol. 50, No. 3, 2015
Posted: 28 Mar 2015
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and University of Pretoria - Department of Economics

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Asset returns; Consumption; Time-Varying parameter vector autoregressive

81.

The Time-Series Properties of House Prices: A Case Study of the Southern California Market

Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012
Posted: 29 Feb 2012
Rangan Gupta and Stephen M. Miller
University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics

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House prices, Cointegration, Temporal causality, Forecasting

82.

Financial Liberalization and the Effectiveness of Monetary Policy on House Prices in South Africa

The IUP Journal of Monetary Economics, Vol. VIII, No. 4, pp. 59-74, November 2010
Posted: 25 Jan 2011
Rangan Gupta and Ndahiriwe Kasai
University of Pretoria - Department of Economics and affiliation not provided to SSRN

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83.

Predicting Downturns in the US Housing Market: A Bayesian Approach

Journal of Real Estate Finance and Economics, Vol. 41, No. 3, 2010
Posted: 25 May 2010
Rangan Gupta and Sonali Das
University of Pretoria - Department of Economics and CSIR

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BVAR model, BVAR forecasts, forecast accuracy, SBVAR model, SBVAR forecasts, VAR model, VAR forecasts

84.

Exchange Rate Puzzles: A Review of the Recent Theoretical and Empirical Developments

The IUP Journal of Monetary Economics, Vol. 8, Nos. 1 & 2, pp. 77-112, February & May 2010
Posted: 09 Mar 2010
affiliation not provided to SSRN, University of Pretoria - Department of Economics and University of Pretoria

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85.

Market Microstructure Approach to the Exchange Rate Determination Puzzle

The IUP Journal of Monetary Economics, Vol. VII, Nos. 3 & 4, pp. 101-115, August & November 2009
Posted: 26 Aug 2009
affiliation not provided to SSRN, University of Pretoria - Department of Economics and University of Pretoria

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