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Browsing Research Articles (Economics) by Author "Majumdar, Anandamayee"
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Balcilar, Mehmet; Gupta, Rangan; Van Eyden, Renee; Thompson, Kirsten L.; Majumdar, Anandamayee
(Elsevier, 2018-08)
In this paper we test the forecasting ability of three estimated financial conditions indices (FCIs) with respect to key macroeconomic variables of output growth, inflation and interest rates. We do this by forecasting the ...
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Gupta, Rangan; Majumdar, Anandamayee; Pierdzioch, Christian; Wohar, Mark E.
(Elsevier, 2017-08)
Much significant research has been done to study how terror attacks affect financial markets. We contribute to this research by studying whether terror attacks, in addition to standard predictors considered in earlier ...
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Aye, Goodness Chioma; Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee
(Elsevier, 2015-02)
Forecasting aggregate retail sales may improve portfolio investors‟ ability to predict movements
in the stock prices of the retailing chains. Therefore, this paper uses 26 (23 single and 3
combination) forecasting models ...
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Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; Miller, Stephen M.
(Springer, 2013-04)
This article provides out-of-sample forecasts of Nevada gross gaming
revenue (GGR) and taxable sales using a battery of linear and non-linear forecasting
models and univariate and multivariate techniques. The linear ...
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Gupta, Rangan; Majumdar, Anandamayee
(Routledge, 2015-10)
Given the existence of non-normality and nonlinearity in the data generating process of real
house price returns over the period of 1831-2013, this paper compares the ability of various
univariate copula models, relative ...
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Gupta, Rangan; Majumdar, Anandamayee; Nel, Jacobus; Subramaniam, Sowmya
(World Scientific Publishing, 2021-11)
We use daily data for the period 25th November 1985 to 10th March 2020 to analyze the impact of newspapers-based measures of geopolitical risks (GPRs) on United States (US) Treasury securities by considering the level, ...
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Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee
(Elsevier, 2016-08)
Information on economic policy uncertainty does matter in predicting the US equity premium,
especially when accounting for structural instabilities and omitted nonlinearities in
their relationship, via a quantile predictive ...
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Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; Pierdzioch, Christian
(Elsevier, 2019-01)
Please read abstract in the article.
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Gupta, Rangan; Majumdar, Anandamayee
(Springer, 2014)
This paper, first, estimates the appropriate, log–log or semi-log, linear longrun
money-demand relationship capturing the behavior US money demand over the
period of 1980:Q1–2010:Q4, using the standard linear cointegration ...
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Gupta, Rangan; Majumdar, Anandamayee; Wohar, Mark E.
(Springer, 2017-02)
The purpose of this paper is to investigate whether the current account balance can help in
forecasting the quarterly S&P500-based equity premium out-of-sample. We consider an
out-of-sample period of 1970:Q3 to 2014:Q4, ...
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Bouri, Elie; Gupta, Rangan; Majumdar, Anandamayee; Subramaniam, Sowmya
(Elsevier, 2021-10)
We analyse the out-of-sample forecasting ability of a time-varying metric of risk aversion for the entire term structure of US Treasury securities as reflected by the three latent factors, level, slope and curvature. Daily ...
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Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; Miller, Stephen M.
(Routledge, 2015-10)
This article uses a small set of variables – real GDP, the inflation rate and
the short-term interest rate – and a rich set of models – atheoretical (time
series) and theoretical (structural), linear and nonlinear, as ...