• 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 (Elsevier, 2022-05)

  We examine the predictive value of tail risks of oil returns for the realized variance of oil returns using monthly data for the modern oil industry (1859:10–2020:10). The Conditional Autoregressive Value at Risk (CAViaR) ...
• Oil price shocks and yield curve dynamics in emerging markets 

  Cepni, Oguzhan; Gupta, Rangan (Elsevier, 2022-07)

  In a local projections framework, we study the impact of oil price shocks, based on a refined approach to disentangle oil price movements, on the dynamics of the entire yield curve in nineteen emerging economies with ...
• Global financial cycle and the predictability of oil market volatility : evidence from a GARCH-MIDAS model 

  Salisu, Afees A.; Gupta, Rangan; Demirer, Riza (Elsevier, 2022-04)

  This study examines the predictive power of the global financial cycle (GFCy) over oil market volatility using the GARCH-MIDAS framework. The GARCH-MIDAS model provides an appropriate setting to forecast high frequency oil ...
• How to wield regional power from afar : a conceptual discussion illustrated by the case of France in Central Africa 

  Mattheis, Frank (Springer, 2022)

  What does it take to belong to a region and exert power over it? The scholarship on regional powers has elaborated sophisticated indicators to establish nuances of power, but the depiction of the region has remained vague. ...
• Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS 

  Salisu, Afees A.; Cunado, Juncal; Gupta, Rangan (Elsevier, 2022-01)

  The predictability of geopolitical risks (GPR) for exchange rate volatility of the BRICS is examined using both historical and recent GPR data. Relying on the GARCH-MIDAS-X model based on available data frequencies, we ...

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