Rangan Gupta

University of Pretoria - Department of Economics

Senior Lecturer

Lynnwood Road

Hillcrest

Pretoria, 0002

South Africa

  • University of Pretoria - Department of Economics

SCHOLARLY PAPERS

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Scholarly Papers (77)

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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
Qunzhi Zhang, Didier Sornette, Mehmet Balcilar, Rangan Gupta, Zeynel Abidin Ozdemir and Hakan Yetkiner
ETH Zürich, Risks-X, Southern University of Science and Technology (SUSTech), University of New Haven, University of Pretoria - Department of Economics, Economic Research Forum (ERF) and Izmir University of Economics
Downloads 871 (53,983)
Citation 6

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

2.

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

Number of pages: 14 Posted: 24 Jul 2017
Vasilios Plakandaras, Rangan Gupta and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 786 (62,100)

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Brexit, Economic Uncertainty, Machine Learning

3.

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
Riza Demirer, Guilherme Demos, Rangan Gupta and Didier Sornette
Southern Illinois University Edwardsville - Department of Economics & Finance, ETH Zürich, University of Pretoria - Department of Economics and Risks-X, Southern University of Science and Technology (SUSTech)
Downloads 755 (65,468)
Citation 7

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

4.

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

Economic Modelling, Forthcoming
Number of pages: 27 Posted: 25 Mar 2017
Mehmet Balcilar, Elie Bouri, Rangan Gupta and David Roubaud
University of New Haven, Lebanese American University, University of Pretoria - Department of Economics and Montpellier Business School
Downloads 651 (79,143)
Citation 22

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Bitcoin, Volume, Returns, Volatility, Nonparametric Quantile Causality

5.

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

Quantity and Quality, September 2018
Number of pages: 18 Posted: 03 Mar 2017 Last Revised: 27 Jul 2020
Mehmet Balcilar, Shinhye Chang, Rangan Gupta and Stephen M. Miller
University of New Haven, Univeristy of Pretoria, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 417 (136,244)
Citation 1

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Income inequality, Inflation rate, Semiparametric instrumental variable estimator

6.

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
Mehmet Balcilar, Rangan Gupta and Stephen M. Miller
University of New Haven, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 374 (154,211)
Citation 2

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Markov switching, vector error correction, oil and stock prices

7.

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 287 (204,595)

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

8.

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
Omokolade Akinsomi, Yener Coskun, Rangan Gupta and Chi Keung Lau
University of the Witwatersrand, Capital Markets Board of Turkey, University of Pretoria - Department of Economics and University of Huddersfield
Downloads 256 (229,688)

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9.

Forecasting the U.S. Real House Price Index

Number of pages: 27 Posted: 02 May 2014
Vasilios Plakandaras, Rangan Gupta, Periklis Gogas and Theophilos Papadimitriou
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 237 (247,769)
Citation 3

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house prices, forecasting, machine learning, Support Vector Regression

10.

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

Empirical Economics, online November 2018
Number of pages: 23 Posted: 18 Nov 2016 Last Revised: 27 Jul 2020
Giorgio Canarella, Luis A. Gil-Alana, Rangan Gupta and Stephen M. Miller
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 235 (249,744)
Citation 1

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Persistence, Cyclicality, Chebyshev Polynomials, Gegenbauer Processes

11.

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 227 (258,226)

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economic policy uncertainty, causality, linear, nonlinear

12.

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
Wendy Nyakabawo, Stephen M. Miller, Mehmet Balcilar, Sonali Das and Rangan Gupta
University of Pretoria, University of Nevada, Las Vegas - Department of Economics, University of New Haven, CSIR and University of Pretoria - Department of Economics
Downloads 220 (265,992)
Citation 3

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

13.

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

Number of pages: 58 Posted: 04 Oct 2016 Last Revised: 29 Jun 2020
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 216 (270,459)
Citation 1

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

14.

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
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark E. Wohar
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 206 (282,668)
Citation 2

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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

15.

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 203 (286,539)
Citation 5

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

16.

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

Downloads 186 (310,059)
Citation 1

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
Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta
Brunel University London - Department of Economics and Finance, affiliation not provided to SSRN, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 138 (399,612)
Citation 2

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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
Guglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-Alana and Rangan Gupta
Brunel University London - Department of Economics and Finance, University of Navarra - Faculty of Economics, University of Navarra - Department of Economics and University of Pretoria - Department of Economics
Downloads 48 (766,889)
Citation 1

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

17.

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
Tsangyao Chang, Xiao-Lin Li, Stephen M. Miller, Mehmet Balcilar and Rangan Gupta
Feng Chia University - Finance, Wuhan University - School of Economics and Management, University of Nevada, Las Vegas - Department of Economics, University of New Haven and University of Pretoria - Department of Economics
Downloads 182 (316,158)
Citation 5

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

18.

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 182 (316,158)

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

19.

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 181 (317,742)
Citation 4

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

20.

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

Physica A: Statistical Mechanics and its Applications, October 2017
Number of pages: 27 Posted: 28 Jun 2015 Last Revised: 27 Jul 2020
Periklis Gogas, Rangan Gupta, Stephen M. Miller, Theophilos Papadimitriou and Georgios Sarantitis
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 165 (344,750)
Citation 2

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Income inequality, graph theory, US states

21.

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

Public Finance Review, May 2020
Number of pages: 21 Posted: 02 Apr 2015 Last Revised: 27 Jul 2020
Ghassen El Montasser, Rangan Gupta, Charl Jooste and Stephen M. Miller
University of Manouba, University of Pretoria - Department of Economics, World Bank and University of Nevada, Las Vegas - Department of Economics
Downloads 161 (352,031)
Citation 4

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

22.

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 157 (359,456)

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

23.

Is Wine a Good Choice for Investment?

Number of pages: 54 Posted: 01 Mar 2018 Last Revised: 16 Mar 2018
Elie Bouri, Rangan Gupta, Wing-Keung Wong and Zhenzhen Zhu
Lebanese American University, University of Pretoria - Department of Economics, Asia University, Department of Finance and Shandong University of Finance and Economics
Downloads 156 (361,417)
Citation 1

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

24.

Investor Sentiment and Crash Risk in Safe Havens

Number of pages: 19 Posted: 14 Feb 2018
Adnen Ben Nasr, Matteo Bonato, Riza Demirer and Rangan Gupta
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 156 (361,417)
Citation 1

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

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
Mehmet Balcilar, Rangan Gupta and Stephen M. Miller
University of New Haven, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 145 (383,520)
Citation 7

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

26.

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
Beatrice Simo-Kengne, Stephen M. Miller, Rangan Gupta and Goodness Aye
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 134 (408,068)
Citation 1

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Asset Prices, Consumption, TVP-VAR

27.

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
Alex Plastun, Xolani Sibande, Rangan Gupta and Mark E. Wohar
Sumy State University, University of Pretoria - Department of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 133 (410,523)

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

28.

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

International Advances in Economic Research, May 2018
Number of pages: 36 Posted: 28 Jun 2015 Last Revised: 27 Jul 2020
Nicholas Apergis, Christina Christou, Rangan Gupta and Stephen M. Miller
Northumbria University - Economics Department, University of Piraeus, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 133 (410,523)

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Club convergence, Inequality measures, Panel data, US states

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 132 (412,905)
Citation 6

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Housing prices, Forecasting

30.

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
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen M. Miller
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 131 (415,320)
Citation 2

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

31.

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 128 (425,240)

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Persistence, US Inflation Rate, Time-Varying Long Memory

32.

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
Tsangyao Chang, Hsiao-Ping Chu, Frederick Deale, Rangan Gupta and Stephen M. Miller
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 125 (430,424)

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

33.

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

Number of pages: 32 Posted: 15 Jun 2016
Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch
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 121 (441,260)

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

34.

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 121 (441,260)
Citation 1

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

35.

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

Macroeconomic Dynamics, March 2019
Number of pages: 31 Posted: 30 May 2014 Last Revised: 27 Jul 2020
Stephen M. Miller, Luis Filipe Martins and Rangan Gupta
University of Nevada, Las Vegas - Department of Economics, University Institute of Lisbon (IUL) - School of Business and University of Pretoria - Department of Economics
Downloads 119 (446,811)
Citation 2

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

36.

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
Stelios Bekiros, Rangan Gupta and Alessia Paccagnini
European University Institute - Economics Department (ECO), University of Pretoria - Department of Economics and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Downloads 116 (455,458)
Citation 4

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Oil prices, economic policy uncertainty, forecasting

37.

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
Goodness Aye, Stephen M. Miller, Rangan Gupta and Mehmet Balcilar
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and University of New Haven
Downloads 115 (458,502)
Citation 1

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

38.

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
Rangan Gupta, Alain Kabundi, Stephen M. Miller and Josine Uwilingiye
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 115 (458,502)

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

39.

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

Number of pages: 28 Posted: 28 Jun 2015
Furkan Emirmahmutoglu, Furkan Emirmahmutoglu, Rangan Gupta, Stephen M. Miller and Tolga Omay
Gazi UniversityGazi University, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and Cankaya University
Downloads 114 (461,474)

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

40.

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 109 (476,956)
Citation 4

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REIT, herd behavior, asymmetric herding, volatility, Turkey

41.

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 107 (483,288)
Citation 1

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

42.

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

Social Indicators Research, January 2018
Number of pages: 26 Posted: 20 Aug 2016 Last Revised: 27 Jul 2020
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 106 (486,614)
Citation 1

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Income, Inequality, Wavelet analysis, U.S.

43.

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

Economics Letters, Forthcoming
Number of pages: 34 Posted: 26 Nov 2018
David Gabauer, Vasilios Plakandaras, Rangan Gupta and Nikolaos Antonakakis
Johannes Kepler University, Democritus University of Thrace, University of Pretoria - Department of Economics and Vienna University of Economics and Business
Downloads 101 (503,560)
Citation 6

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Economic Policy Uncertainty, Time-Varying Model, Connectedness Index

44.

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 101 (503,560)

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

45.

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
Rangan Gupta, Marius Jurgilas, Alain Kabundi and Stephen M. Miller
University of Pretoria - Department of Economics, Norges Bank, University of Johannesburg - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 100 (506,920)

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

46.

'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 98 (513,758)
Citation 4

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Ripple effect, Housing prices, Forecasting

47.

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
Rangan Gupta, Chi Keung Lau, Stephen M. Miller and Mark E. Wohar
University of Pretoria - Department of Economics, University of Huddersfield, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 97 (517,166)

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

48.

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
Mehmet Balcilar, Rangan Gupta, Anandamayee Majumdar and Stephen M. Miller
University of New Haven, 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 95 (524,390)

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

49.

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

Number of pages: 28 Posted: 24 Jul 2017
Vasilios Plakandaras, Juncal Cunado, Rangan Gupta and Mark E. Wohar
Democritus University of Thrace, University of Navarra - Faculty of Economics, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 93 (531,541)

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

50.

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

Review of Behavioral Finance, Forthcoming
Number of pages: 17 Posted: 20 Mar 2018
Esin Cakan, Riza Demirer, Rangan Gupta and Josine Uwilingiye
University of New Haven - Economics, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of Johannesburg
Downloads 89 (546,558)

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Herding, Institutional investors, Causality, Technology stocks

51.

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

Social Indicators Research, February 2019
Number of pages: 25 Posted: 19 Jun 2017 Last Revised: 27 Jul 2020
Mehmet Balcilar, Seyi Akadiri, Rangan Gupta and Stephen M. Miller
University of New Haven, Eastern Mediterranean University, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 89 (546,558)

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Partisan Conflict; Income Distribution; Quantile Causality

52.

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 88 (550,374)
Citation 15

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Uncertainty, oil shocks, copulas

53.

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

Empirical Economics, January 2019
Number of pages: 30 Posted: 27 Jul 2013 Last Revised: 27 Jul 2020
Giorgio Canarella, Rangan Gupta, Stephen M. Miller and Stephen K. Pollard
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 87 (554,203)
Citation 2

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

54.

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

Journal of Policy Modeling, online October 2019
Number of pages: 46 Posted: 19 Jun 2018 Last Revised: 27 Jul 2020
Giorgio Canarella, Luis A. Gil-Alana, Rangan Gupta and Stephen M. Miller
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
Downloads 86 (558,234)
Citation 1

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Persistence; house prices; fractional integration, cyclical behavior

55.

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 85 (562,217)
Citation 16

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Trust; Inclusive Growth; Conditional Effects

56.

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

Physica A: Statistical Mechanics and its Applications, May 2019
Number of pages: 43 Posted: 02 Jun 2018 Last Revised: 27 Jul 2020
Shinhye Chang, Rangan Gupta, Stephen M. Miller and Mark E. Wohar
Univeristy of Pretoria, University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Downloads 84 (566,179)

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Growth Volatility, Income and Wealth Inequalities, Wavelet Analysis

57.

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
Mehmet Balcilar, Rangan Gupta and Stephen M. Miller
University of New Haven, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Downloads 81 (578,521)
Citation 3

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

58.

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
Beatrice Simo-Kengne, Stephen M. Miller, Rangan Gupta and Mehmet Balcilar
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and University of New Haven
Downloads 80 (582,705)
Citation 2

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

59.

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
Goodness Aye, Mehmet Balcilar, Rangan Gupta, Charl Jooste, Stephen M. Miller and Zeynel Abidin Ozdemir
University of Pretoria - Department of Economics, University of New Haven, University of Pretoria - Department of Economics, World Bank, University of Nevada, Las Vegas - Department of Economics and Economic Research Forum (ERF)
Downloads 79 (586,995)
Citation 3

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

60.

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
Vasilios Plakandaras, Rangan Gupta, Constantinos Katrakilidis and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics, Aristotle University of Thessaloniki - Department of Economics and University of Nebraska at Omaha
Downloads 78 (591,295)

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time-varying VAR, house prices, macroeconomic shocks

61.

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 76 (599,775)

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

62.

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
Rangan Gupta, Patrick Kanda, Mampho Modise and Alessia Paccagnini
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 76 (599,775)

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

63.

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
Mehmet Balcilar, Rangan Gupta, Anandamayee Majumdar and Stephen M. Miller
University of New Haven, 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 76 (599,775)
Citation 1

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Forecasting, Linear and non-linear models, Great Recession

64.

Are BRICS Exchange Rates Chaotic?

Applied Economics Letters, Forthcoming
Number of pages: 9 Posted: 26 Nov 2018
Vasilios Plakandaras, Rangan Gupta, Luis A. Gil-Alana and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics, University of Navarra - Department of Economics and University of Nebraska at Omaha
Downloads 75 (604,202)

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Exchange Rate, Chaos, Lyapunov Exponent

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
§ Claudiu Albulescu, Aviral Kumar Tiwari, Stephen M. Miller and Rangan Gupta
Management Department, Politehnica University of Timisoara, Indian Institute of Management Bodh Gaya, University of Nevada, Las Vegas - Department of Economics and University of Pretoria - Department of Economics
Downloads 75 (604,202)
Citation 2

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historical inflation rate, uncertainty, continuous wavelet transform, bounded series, U.S.

66.

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 74 (608,744)
Citation 1

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

67.

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
Periklis Gogas, Theophilos Papadimitriou, Vasilios Plakandaras and Rangan Gupta
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 73 (613,405)

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

68.

US Inflation Dynamics on Long Range Data

Number of pages: 26 Posted: 02 Jul 2015
Vasilios Plakandaras, Periklis Gogas, Rangan Gupta and Theophilos Papadimitriou
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 72 (618,077)

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

69.

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

Number of pages: 12 Posted: 12 Oct 2017
Vasilios Plakandaras, Rangan Gupta, Periklis Gogas and Theophilos Papadimitriou
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 54 (712,126)

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output growth, inflation, uncertainty, causality

70.

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

Number of pages: 29 Posted: 26 Nov 2018
Vasilios Plakandaras, Rangan Gupta and Mark E. Wohar
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 41 (797,622)

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Time-Varying VAR, Macroeconomic Shocks

71.

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
Beatrice Simo-Kengne, Stephen M. Miller, Rangan Gupta and Mehmet Balcilar
University of Pretoria - Department of Economics, University of Nevada, Las Vegas - Department of Economics, University of Pretoria - Department of Economics and University of New Haven

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

72.

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
Beatrice Simo-Kengne, Stephen M. Miller, Rangan Gupta and Goodness Aye
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

73.

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

74.

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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75.

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

76.

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
Thabo Mokoena, Rangan Gupta and Renee Koekemoer Van Eyden
affiliation not provided to SSRN, University of Pretoria - Department of Economics and University of Pretoria

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77.

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
Thabo Mokoena, Rangan Gupta and Renee Koekemoer Van Eyden
affiliation not provided to SSRN, University of Pretoria - Department of Economics and University of Pretoria

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