• Investors’ uncertainty and forecasting stock market volatility 

  Liu, Ruipeng; Gupta, Rangan (Routledge, 2022)

  This article examines whether incorporating investors’ uncertainty, as captured by the conditional volatility of sentiment, can help forecasting volatility of stock markets. In this regard, using the Markov-switching ...
• Investor confidence and forecastability of US stock market realized volatility : evidence from machine learning 

  Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian (Routledge, 2022)

  Using a machine-learning technique known as random forests, we analyze the role of investor confidence in forecasting monthly aggregate realized stock-market volatility of the United States (US), over and above a wide-array ...
• High-frequency predictability of housing market movements of the United States : the role of economic sentiment 

  Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Kyei, Clement Kweku (Routledge, 2021)

  We analyze the ability of a newspaper-based economic sentiment index of the United States to predict housing market movements using daily data from 2nd August, 2007 to 19th June, 2020. For this purpose, we use a nonparametric ...
• Forecasting realized volatility of international REITs : the role of realized skewness and realized kurtosis 

  Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian (Wiley, 2022-03)

  We use an international dataset on 5-min interval intraday data covering nine leading markets and regions to construct measures of realized volatility, realized jumps, realized skewness, and realized kurtosis of returns ...
• Effects of conventional and unconventional monetary policy shocks on housing prices in the United States : the role of sentiment 

  Caraiani, Petre; Gupta, Rangan; Lau, Chi Keung Marco; Marfatia, Hardik A. (Routledge, 2022)

  In this paper, we use a Quantile Structural Vector Autoregressive (QSVAR) model, estimated over the quarterly period of 1975:Q3 to 2017:Q3, to analyze whether the impact of monetary policy shocks on growth rate of real ...

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