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Date stamping historical periods of oil price explosivity: 1876-2014

Caspi, Itamar; Katzke, Nico; Gupta, Rangan - In: Energy economics 70 (2018), pp. 582-587

Persistent link: https://www.econbiz.de/10011942891

Commodity prices and forecastability of international stock returns over a century : sentiments versus fundamentals with focus on South Africa

Salisu, Afees A.; Gupta, Rangan - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 9, pp. 2620-2636

Persistent link: https://www.econbiz.de/10013354984

Multi-task forecasting of the realized volatilities of agricultural commodity prices

Gupta, Rangan; Pierdzioch, Christian - 2024

Persistent link: https://www.econbiz.de/10014553246

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

Balcilar, Mehmet - 2016

This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil...

Persistent link: https://www.econbiz.de/10013005873

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080

The role of economic and financial uncertainties in predicting commodity futures returns and volatility : evidence from a nonparametric causality-in-quantiles test

Bahloul, Walid; Balcilar, Mehmet; Cuñado Eizaguirre, Juncal - In: Journal of multinational financial management 45 (2018), pp. 52-71

Persistent link: https://www.econbiz.de/10012055774

Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures

Bahloul, Walid; Gupta, Rangan - In: International economics : a journal published by CEPII … 156 (2018), pp. 247-253

Persistent link: https://www.econbiz.de/10012027286

Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin?

Fang, Libing; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: International review of financial analysis 61 (2019), pp. 29-36

Persistent link: https://www.econbiz.de/10012206699