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

  Luo, Jiawen; Cepni, Oguzhan; Demirer, Riza; Gupta, Rangan (Elsevier, 2025-03)

  We propose a procedure to forecast the realized covariance matrix for a given set of assets within a multivariate heterogeneous autoregressive (MHAR) framework. Utilizing high-frequency data for the U.S. aggregate and ...
• Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country : the case of India 

  Cepni, Oguzhan; Gupta, Rangan; Nel, Jacobus A.; Nielsen, Joshua (SpringerOpen, 2025-01)

  We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using ...
• Multi-task forecasting of the realized volatilities of agricultural commodity prices 

  Gupta, Rangan; Pierdzioch, Christian (MDPI, 2024-09-23)

  Motivated by the comovement of realized volatilities (RVs) of agricultural commodity prices, we study whether multi-task forecasting algorithms improve the accuracy of out-of-sample forecasts of 15 agricultural commodities ...
• Digital tools for boosting the impact of fiscal decentralization in Africa's local economies 

  Monkam, Nara F.; Mangwanya, Maonei Gladys (F1000Research, 2024)

  BACKGROUND: Fiscal decentralization offers potential for stimulating local economic development in Africa, empowering subnational governments to control revenue and spending. However, challenges such as urbanization, ...
• Financial uncertainty and gold market volatility : evidence from a generalized autoregressive conditional heteroskedasticity variant of the mixed-data sampling (GARCH-MIDAS) approach with variable selection 

  Chuang, O-Chia; Gupta, Rangan; Pierdzioch, Christian; Shu, Buliao (MDPI, 2024-12)

  We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized ...
• Climate risks and real gold returns over 750 years 

  Gupta, Rangan; Majumdar, Anandamayee; Pierdzioch, Christian; Polat, Onur (MDPI, 2024-12)

  Using data that cover the annual period from 1258 to 2023, we studied the link between real gold returns and climate risks. We documented a positive contemporaneous link and a negative predictive link. Our findings further ...
• Effect of temperature on the spread of contagious diseases : evidence from over 2000 years of data 

  Balcilar, Mehmet; Mukherjee, Zinnia; Gupta, Rangan; Das, Sonali (MDPI, 2024-12)

  The COVID-19 pandemic led to a surge in interest among scholars and public health professionals in identifying the predictors of health shocks and their transmission in the population. With temperature increases becoming ...
• Slave trades, kinship structures and women's political participation in Africa 

  Walters, Leone; Chisadza, Carolyn; Clance, M.W. (Matthew) (Wiley, 2024-08)

  We study whether present-day women's political participation in sub-Saharan Africa is associated to the temporary gender ratio imbalances caused by the transatlantic and Indian Ocean slave trades, taking into account ...
• Economic conditions and predictability of US stock returns volatility : local factor versus national factor in a GARCH-MIDAS model 

  Salisu, Afees A.; Liao, Wenting; Gupta, Rangan; Cepni, Oguzhan (Wiley, 2025)

  The aim of this paper is to utilize the generalized autoregressive conditional heteroscedasticity–mixed data sampling (GARCH-MIDAS) framework to predict the daily volatility of state-level stock returns in the United States ...
• Oil price shocks and the connectedness of US state-level financial markets 

  Polat, Onur; Cunado, Juncal; Cepni, Oguzhan; Gupta, Rangan (Elsevier, 2025-01)

  This paper investigates the impact of oil supply, demand, and risk shocks on U.S. state-level stock and bond returns, utilizing daily data from February 1994 to March 2024. It examines the individual effects of oil price ...
• On the detection of structural breaks : the case of the Covid shock 

  Hall, Stephen George; Tavlas, George S.; Trapani, Lorenzo; Wang, Yongli (Wiley, 2025)

  Both the Federal Reserve (Fed) and the European Central Bank (ECB) have been criticized for not having perceived that the outbreak of Covid at the beginning of 2020 would lead to a structural change in inflation in the ...
• Socio-spatial features of neighbourhoods supporting social interaction between locals and migrants in peri-urban China 

  Dai, Linyan; Sheng, Xin; Gupta, Rangan (Elsevier, 2024-12)

  Western literature shows evidence of a positive relationship between socio-spatial features of neighbourhoods and social interaction. However, there is little research exploring this relationship in the Chinese context, ...
• Long-span multi-layer spillovers between moments of advanced equity markets : the role of climate risks 

  Foglia, Matteo; Plakandaras, Vasilios; Gupta, Rangan; Ji, Qiang (Elsevier, 2025-02)

  In this paper, we examine the potential spillovers between returns, volatility, skewness and kurtosis of developed stock markets under the lenses of rare disaster events, proxied by climate risks. The aforementioned moments ...
• Supply chain constraints and the predictability of the conditional distribution of international stock market returns and volatility 

  Bouri, Elie; Cepni, Oguzhan; Gupta, Rangan; Liu, Ruipeng (Elsevier, 2025-02)

  This paper analyses the effect of supply constraints on international stock market volatility, while also considering its effect on stock returns. Using a higher-order nonparametric causality-in-quantiles test and daily ...
• India and the rest of the world : analyses of international monetary policy spillovers 

  Salisu, Afees A. (Bank Indonesia Institute, 2024)

  The US is India’s largest trading partner, followed by the European Union. Our study, using the GVAR model, shows that a US Monetary Policy (MP) shock results in a depreciation of the Indian currency vis-a-vis the dollar. ...
• Strategic analyses on the South African grid supply and consumption inefficiencies by market segments 

  Ateba, Benedict B.; Issock, Paul B.I.; Struweg, Ilse; Meyer-Heydenrych, Christine De; Inglesi-Lotz, Roula (Taylor and Francis, 2024-12)

  The surging energy demand from residential and industrial sectors necessitates effective performance from the energy sector. The efficiency of energy generation, supply, and distribution is a crucial global agenda, as ...
• Green finance, green innovation, and industrial development in Africa 

  Nchofoung, Tii N.; Edoh, Ofeh Marilyn; Monkam, Nara F. (Elsevier, 2024-12)

  The issue of promoting green industrial productivity has emerged as a pivotal concern in economic development, attracting substantial attention from scholars and policy makers alike. This study aims to scrutinize the ...
• Possible welfare benefits of basic income support : evidence from a benefit incidence analysis in South Africa 

  Chisadza, Carolyn; Chitiga-Mabugu, Margaret; Mabugu, Ramos Emmanuel; Nicholls, Nicky; Omotoso, Kehinde Oluwaseun; Yitbarek, Eleni (Wiley, 2024)

  The study investigates the potential welfare effect of basic income support (BIS) in reducing poverty and inequality in South Africa. Using the 2017 labour force survey and a benefit incidence analysis, we consider three ...
• Asymmetric effects of economic policy uncertainty on food security in Nigeria 

  Kotur, Lydia N.; Aye, Goodness Chioma; Ayoola, Josephine B. (MDPI, 2024-03-11)

  This study investigates the asymmetric effects of economic policy uncertainty (EPU) on food security in Nigeria, utilizing annual time series data from 1970 to 2021. The study used descriptive statistics, unit root tests, ...
• The determinants of office yields in European cities 

  Akinsomi, Omokolade; Duah, Samuel; Clance, M.W. (Matthew) (Taylor and Francis, 2024)

  This paper examines the drivers of prime office yields in Europe. Specifically, the paper uses 16 European cities across 8 European countries including United Kingdom, France, Germany, Italy, Spain, Belgium, Netherlands, ...

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