Search Results - "Gupta, Rangan"

On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach by Gabauer, David, Gupta, Rangan

“…We investigate the internal and external categorical economic policy uncertainty (EPU) spillovers between the US and Japan using a novel extension of the…”
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Return connectedness across asset classes around the COVID-19 outbreak by Bouri, Elie, Cepni, Oguzhan, Gabauer, David, Gupta, Rangan

“…In this paper, we show evidence of a dramatic change in the structure and time-varying patterns of return connectedness across various assets (gold, crude oil,…”
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Dynamic connectedness of uncertainty across developed economies: A time-varying approach by Antonakakis, Nikolaos, Gabauer, David, Gupta, Rangan, Plakandaras, Vasilios

“…Economic uncertainty has attracted a significant part of the modern research in economics, proving to be a significant factor for every economy. In this study,…”
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The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method by Balcilar, Mehmet, Bekiros, Stelios, Gupta, Rangan

“…A recent strand in the literature emphasizes the role of news-based economic policy uncertainty (EPU) and equity market uncertainty (EMU) as drivers of oil…”
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Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks by Asai, Manabu, Gupta, Rangan, McAleer, Michael

“…To forecast the covariance matrix for the returns of crude oil and gold futures, this paper examines the effects of leverage, jumps, spillovers, and…”
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Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? by Fang, Libing, Bouri, Elie, Gupta, Rangan, Roubaud, David

“…We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical…”
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Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss by Gkillas, Konstantinos, Gupta, Rangan, Pierdzioch, Christian

“…•We analyze the role of financial stress in forecasting oil-price volatility.•We use various variants of the Heterogenous Autoregressive model of realized…”
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Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions by Bouri, Elie, Gupta, Rangan, Tiwari, Aviral Kumar, Roubaud, David

“…We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets…”
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Geopolitical risks and the oil-stock nexus over 1899–2016 by Antonakakis, Nikolaos, Gupta, Rangan, Kollias, Christos, Papadamou, Stephanos

“…•This study examines the interrelation among stock markets, oil markets and geopolitical risk.•Uses historical data and a newly developed geopolitical risk…”
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Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test by Balcilar, Mehmet, Gupta, Rangan, Pierdzioch, Christian

“…Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high…”
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Geopolitical risks and stock market dynamics of the BRICS by Balcilar, Mehmet, Bonato, Matteo, Demirer, Riza, Gupta, Rangan

“…•BRICS stock markets do not react to geopolitical risks (GPRs) in a uniform way.•GPRs generally drive stock market volatility rather than returns.•The effect…”
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Infectious Diseases, Market Uncertainty and Oil Market Volatility by Bouri, Elie, Demirer, Riza, Gupta, Rangan, Pierdzioch, Christian

“…We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using…”
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Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities by Gupta, Rangan, Subramaniam, Sowmya, Bouri, Elie, Ji, Qiang

“…This paper analyses the impact of a newspaper-based uncertainty associated with infectious diseases (EMVID) on the level, slope and curvature factors derived…”
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Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach by Gabauer, David, Gupta, Rangan

“…•Spillovers of financial, macroeconomic and real estate uncertainties analyzed.•TVP-VAR model is used.•Spillovers vary over time.•In general, financial…”
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The nexus of electricity consumption, economic growth and CO2 emissions in the BRICS countries by Cowan, Wendy N., Chang, Tsangyao, Inglesi-Lotz, Roula, Gupta, Rangan

“…This study reexamines the causal link between electricity consumption, economic growth and CO2 emissions in the BRICS countries (i.e., Brazil, Russia, India,…”
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International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression by Antonakakis, Nikolaos, Gabauer, David, Gupta, Rangan

“…This study examines the transmission of international monetary policy spillovers across developed economies based on a Bayesian time-varying parameter vector…”
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Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment by Gupta, Rangan, Pierdzioch, Christian

“…We extend the widely-studied Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample forecasting value of climate-risk…”
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Time-Varying Impact of Geopolitical Risks on Oil Prices by Cunado, Juncal, Gupta, Rangan, Lau, Chi Keung Marco, Sheng, Xin

“…This paper analyses the dynamic impact of geopolitical risks (GPRs) on real oil returns for the period February 1974 to August 2017, using a time-varying…”
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El Niño and forecastability of oil-price realized volatility by Bouri, Elie, Gupta, Rangan, Pierdzioch, Christian, Salisu, Afees A.

“…We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates the role of the…”
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Point and density forecasts of oil returns: The role of geopolitical risks by Plakandaras, Vasilios, Gupta, Rangan, Wong, Wing-Keung

“…We examine the dynamic relationship between oil prices and news-based indices of global geopolitical risks (GPRs), as well as a composite measure of the same…”
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