Browsing Research Articles (Economics) by Subject "Rare disaster risks"

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Rare disaster risks and gold over 700 years : evidence from nonparametric quantile regressions

Balcilar, Mehmet; Gupta, Rangan; Nel, Jacobus (Elsevier, 2022-12)

Using annual data on real gold returns and measures of rare disaster risks over the period of 1280–2016, we show the existence of nonlinearity and regime changes in the relationship between the two variables of concern, ...
Rare disaster risks and volatility of the term-structure of US Treasury Securities : the role of El Niño and La Niña events

Van Eyden, Renee; Gupta, Rangan; Nel, Jacobus; Bouri, Elie (Springer, 2022-04)

The purpose of this paper is to determine the impact of rare disaster risks, captured by the El Niño-Southern Oscillation (ENSO) cycle, on the volatility of Treasury securities of the United States (US) involving 1- to ...
The role of time‐varying rare disaster risks in predicting bond returns and volatility

Gupta, Rangan; Suleman, Tahir; Wohar, Mark E. (Wiley, 2019-07)

This paper aims to provide empirical evidence to the theoretical claim that rare disaster risks affect government bond market movements. Using a nonparametric quantiles‐based methodology, we show that rare disaster‐risks ...

Now showing items 1-3 of 3

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