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Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period

Yousaf, Imran; Plakandaras, Vasilios; Bouri, Elie; … - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014246762

Out-of-sample predictability of gold market volatility : the role of US Nonfarm Payroll

Salisu, Afees A.; Bouri, Elie; Gupta, Rangan - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 482-488

Persistent link: https://www.econbiz.de/10014249177

The effect of US uncertainty shock on international equity markets : the role of the global financial cycle

Salisu, Afees A.; Gupta, Rangan; Adediran, Idris A. - In: Review of Economic Analysis : REA 15 (2023) 2, pp. 139-159

We contribute to the literature on the international propagation of uncertainty shocks with a Global Vector Autoregressive (GVAR) model that quantifies the spillover effects of uncertainty shocks in the US on to real equity prices of 32 advanced and emerging countries (besides the US). In this...

Persistent link: https://www.econbiz.de/10014310354

The predictive power of Bitcoin prices for the realized volatility of US stock sector returns

Bouri, Elie; Salisu, Afees A.; Gupta, Rangan - In: Financial innovation : FIN 9 (2023) 1, pp. 1-22

This paper is motivated by Bitcoin's rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets. It is also motivated by a lack of empirical studies on whether Bitcoin prices contain useful information for the volatility of US stock...

Persistent link: https://www.econbiz.de/10014289060

Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach

Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014288917

Realized stock market volatility of the United States : the role of employee sentiment

Gupta, Rangan; Hall, Savanah; Pierdzioch, Christian - 2023

Persistent link: https://www.econbiz.de/10014317308

Forecasting national recessions of the United States with state-level climate risks : evidence from model averaging in Markov-switching models

Cepni, Oguzhan; Christou, Christina; Gupta, Rangan - In: Economics letters 227 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014335747

High-frequency contagion between aggregate and regional housing markets of the united states with financial assets : evidence from multichannel tests

Aye, Goodness C.; Christou, Christina; Gupta, Rangan; … - In: The journal of real estate finance and economics 69 (2024) 2, pp. 253-276

Persistent link: https://www.econbiz.de/10015080942

Inflation-inequality puzzle : is it still apparent?

Berisha, Edmond; Gupta, Rangan; Gharehgozli, Orkideh - In: Journal of economic studies 51 (2024) 7, pp. 1461-1480

Persistent link: https://www.econbiz.de/10015052351

Time-varying risk aversion and forecastability of the US term structure of interest rates

Bouri, Elie; Gupta, Rangan; Majumdar, Anandamayee; … - In: Finance research letters 42 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10014582612