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South African stock return predictability in the context data mining : the role of financial variables and international stock returns

Gupta, Rangan; Modise, Mampho P. - In: Economic modelling 29 (2012) 3, pp. 908-916

Persistent link: https://www.econbiz.de/10009545495

Macroeconomic surprises and stock returns in South Africa

Gupta, Rangan; Reid, Monique - In: Studies in economics and finance 30 (2013) 3, pp. 266-282

Persistent link: https://www.econbiz.de/10009772954

Macroeconomic variables and South African stock return predictability

Gupta, Rangan; Modise, Mampho P. - In: Economic modelling 30 (2013), pp. 612-622

Persistent link: https://www.econbiz.de/10009708826

Does the source of oil price shocks matter for South African stock returns? : a structural VAR approach

Gupta, Rangan; Modise, Mampho P. - In: Energy economics 40 (2013), pp. 825-831

Persistent link: https://www.econbiz.de/10010355560

Structural breaks and GARCH models of stock return volatility : the case of South Africa

Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - In: Economic modelling 29 (2012) 6, pp. 2435-2443

Persistent link: https://www.econbiz.de/10009673703

Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns : The Role of Skewness Over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023

We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from 1859:11 to 2023:04. We utilize a quantile predictive regression model, which is able to accommodate nonlinearity and structural breaks. In-sample results show that the...

Persistent link: https://www.econbiz.de/10014353168