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A Bayesian midas approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - 2014
Persistent link: https://www.econbiz.de/10010416812
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010409119
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Evolution of price effects after one-day abnormal returns in the US stock market
Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012822169
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Oil price uncertainty and movements in the US government bond risk premia
Balcilar, Mehmet; Gupta, Rangan; Wang, Shixuan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012654789
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Price gap anomaly in the US stock market : the whole story
Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012654967
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Linking U.S. state-level housing market returns, and the consumption-(dis)aggregate wealth ratio
Balcilar, Mehmet; Gupta, Rangan; Sousa, Ricardo M.; … - In: International review of economics & finance : IREF 71 (2021), pp. 779-810
Persistent link: https://www.econbiz.de/10012630699
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The dynamics of US REITs returns to uncertainty shocks : a proxy SVAR approach
Cepni, Oguzhan; Dul, Wiehan; Gupta, Rangan; Wohar, Mark E. - In: Research in international business and finance 58 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013286183
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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
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003814581
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News implied volatility and the stock-bond nexus : evidence from historical data for the USA and the UK markets
Gupta, Rangan; Kollias, Chrēstos; Papadamou, Stephanos; … - In: Journal of multinational financial management 47/48 (2018), pp. 76-90
Persistent link: https://www.econbiz.de/10012055815