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Regime switching model of US crude oil and stock market prices : 1859 to 2013

Balcilar, Mehmet; Gupta, Rangan; Miller, Stephen M. - In: Energy economics 49 (2015), pp. 317-327

Persistent link: https://www.econbiz.de/10011537104

Do oil-price shocks predict the realized variance of U.S. REITs?

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Energy economics 104 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013364407

Forecasting the realized variance of oil-price returns using machine learning : is there a role for U.S. state-level uncertainty?

Çepni, Oğuzhan; Gupta, Rangan; Pienaar, Daniel; … - In: Energy economics 114 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013477404

Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...

Persistent link: https://www.econbiz.de/10011296114

Common cycles and common trends in the stock and oil markets : evidence from more than 150 years of data

Balcilar, Mehmet; Gupta, Rangan; Wohar, Mark E. - In: Energy economics 61 (2017), pp. 72-86

Persistent link: https://www.econbiz.de/10011737672