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LPPLS bubble indicators over two centuries of the S&P 500 index

Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016

The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the S&P 500 index and the detection of End-of-Bubble signals with their corresponding confidence levels. We use monthly S&P 500 data covering the period from August 1791 to August...

Persistent link: https://www.econbiz.de/10011514490

Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach

Caporin, Massimiliano; Gupta, Rangan; Ravazzolo, Francesco - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012667335

The predictive value of inequality measures for stock returns : an analysis of long-span UK data using quantile random forests

Gupta, Rangan; Pierdzioch, Christian; Vivian, Andrew J.; … - In: Finance research letters 29 (2019), pp. 315-322

Persistent link: https://www.econbiz.de/10012419133

Approximating the growth optimal portfolio and stock price bubbles

Platen, Eckhard; Rendek, Renata - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33

Persistent link: https://www.econbiz.de/10012496905

Common business cycles and volatilities in US states and MSAs : the role of economic uncertainty

Gupta, Rangan; Ma, Jun; Risse, Marian; Wohar, Mark E. - In: Journal of macroeconomics 57 (2018), pp. 317-337

Persistent link: https://www.econbiz.de/10012127992

On economic uncertainty, stock market predictability and nonlinear spillover effects

Bekiros, Stelios; Gupta, Rangan; Kyeid, Clement - In: The North American journal of economics and finance : a … 36 (2016), pp. 184-191

Persistent link: https://www.econbiz.de/10011672656

Volatility jumps : the role of geopolitical risks

Gillas, Konstantinos Gkillas; Gupta, Rangan; Wohar, Mark E. - In: Finance research letters 27 (2018), pp. 247-258

Persistent link: https://www.econbiz.de/10012006874

Detecting money market bubbles

Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Journal of banking & finance 87 (2018), pp. 369-379

Persistent link: https://www.econbiz.de/10011962562

Impact of US uncertainties on emerging and mature markets : evidence from a quantile-vector autoregressive approach

Chuliá, Helena; Gupta, Rangan; Uribe, Jorge; Wohar, Mark E. - In: Journal of international financial markets, … 48 (2017), pp. 178-191

Persistent link: https://www.econbiz.de/10011892345

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261