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The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis

Antonakakis, Nikolaos; Chang, Tsangyao; Cuñado … - In: Finance research letters 24 (2018), pp. 1-9

Persistent link: https://www.econbiz.de/10011982439

Date stamping historical periods of oil price explosivity: 1876-2014

Caspi, Itamar; Katzke, Nico; Gupta, Rangan - In: Energy economics 70 (2018), pp. 582-587

Persistent link: https://www.econbiz.de/10011942891

The relationship between oil and agricultural commodity prices in South Africa : a quantile causality approach

Balcilar, Mehmet; Chang, Shinhye; Gupta, Rangan; … - In: The journal of developing areas 50 (2016) 2, pp. 137-152

Persistent link: https://www.econbiz.de/10011609663

The relationship between oil and agricultural commodity prices in South Africa : a quantile causality approach

Balcilar, Mehmet; Chang, Shinhye; Gupta, Rangan; … - In: The journal of developing areas 50 (2016) 3, pp. 93-107

Persistent link: https://www.econbiz.de/10011612028

Time-varying causality between oil and commodity prices in the presence of structural breaks and nonlinearity

Gupta, Rangan; Kean, Gbeada Josiane Seu Epse; Tsebe, … - In: Economia internazionale 68 (2015) 4, pp. 469-491

Persistent link: https://www.econbiz.de/10011428286

Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures

Bahloul, Walid; Gupta, Rangan - In: International economics : a journal published by CEPII … 156 (2018), pp. 247-253

Persistent link: https://www.econbiz.de/10012027286

Regime Switching Model of US Crude Oil and Stock Market Prices : 1859 to 2013

Balcilar, Mehmet - 2016

This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil...

Persistent link: https://www.econbiz.de/10013005873

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080