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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

Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

Persistent link: https://www.econbiz.de/10012204443

Stock market bubbles and the realized volatility of oil price returns

Gupta, Rangan; Nielsen, Joshua; Pierdzioch, Christian - In: Energy economics 132 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10015047521

On the predictive value of the (shadow) real interest rate for the realized volatility of gold-price returns

Pierdzioch, Christian; Rohloff, Sebastian; Campe, Roland von - In: Annals of financial economics 18 (2023) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10014442354

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data

Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan - In: Finance research letters 46 (2022) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10013341577

Forecasting power of infectious diseases-related uncertainty for gold realized variance

Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Finance research letters 42 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10014581420

Forecasting Realized Stock-Market Volatility : Do Industry Returns Have Predictive Value?

Demirer, Riza; Gupta, Rangan; Pierdzioch, Christian - 2021

bad) stock market volatility, we show that incorporating the information in lagged industry returns can help improve out …-of sample forecasts of aggregate stock market volatility. While the predictive contribution of industry level returns is not … crisis, highlighting the informational value of real economic activity on stock market volatility dynamics. Finally, we show …

Persistent link: https://www.econbiz.de/10013249490

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

Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data

Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022

Persistent link: https://www.econbiz.de/10013166706

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