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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

Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model

Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004

Persistent link: https://www.econbiz.de/10010415355

Infectious diseases-related uncertainty and the predictability of foreign exchange and bitcoin futures realized volatility

Shiba, Sisa; Cuñado Eizaguirre, Juncal; Gupta, Rangan; … - In: Annals of financial economics 18 (2023) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10014442581

Forecasting the Artificial Intelligence index returns : a hybrid approach

Zhang, Yue-jun; Zhang, Han; Gupta, Rangan - 2021

Persistent link: https://www.econbiz.de/10012692569

Conventional and unconventional monetary policy rate uncertainty and stock market volatility : a forecasting perspective

Liu, Ruipeng; Gupta, Rangan - 2021

Persistent link: https://www.econbiz.de/10012665261

High-frequency volatility forecasting of US housing markets

Segnon, Mawuli; Gupta, Rangan; Lesame, Keagile; Wohar, … - In: The journal of real estate finance and economics 62 (2021) 2, pp. 283-317

Persistent link: https://www.econbiz.de/10012428404

Monetary policy uncertainty and jumps in advanced equity markets

Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112

Persistent link: https://www.econbiz.de/10012500112

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

Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies

Luo, Jiawen; Ҫepni, Oğuzhan; Demirer, Rıza; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10013469716

A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting

Zhang, Yue-jun; Zhang, Han; Gupta, Rangan - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23

Forecasting returns for the Artificial Intelligence and Robotics Index is of great significance for financial market stability, and the development of the artificial intelligence industry. To provide investors with a more reliable reference in terms of artificial intelligence index investment,...

Persistent link: https://www.econbiz.de/10014289091