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Labor market volatility, skills, and financial globalization

Buch, Claudia M.; Pierdzioch, Christian - In: Macroeconomic dynamics 18 (2014) 5, pp. 1018-1047

Persistent link: https://www.econbiz.de/10010467617

Does partisan conflict predict a reduction in US stock market (realized) volatility? : evidence from a quantile-on-quantile regression model

Gupta, Rangan; Pierdzioch, Christian; Selmi, Refk; … - In: The North American journal of economics and finance : a … 43 (2018), pp. 87-96

Persistent link: https://www.econbiz.de/10012036263

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

Persistent link: https://www.econbiz.de/10012204443

Stock returns, exchange rate movements and central bank interventions

Hartmann, Daniel; Pierdzioch, Christian - In: Applied financial economics letters 3 (2007) 3, pp. 191-195

Persistent link: https://www.econbiz.de/10003540380

Forecasting the Conditional Distribution of Realized Volatility of Oil Price Returns : The Role of Skewness Over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023

We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from 1859:11 to 2023:04. We utilize a quantile predictive regression model, which is able to accommodate nonlinearity and structural breaks. In-sample results show that the...

Persistent link: https://www.econbiz.de/10014353168

Climate risks and state-level stock market realized volatility

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of financial markets 66 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014473150

Business applications and state-level stock market realized volatility : a forecasting experiment

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 43 (2024) 2, pp. 456-472

Persistent link: https://www.econbiz.de/10014475351

On the predictive value of the (shadow) real interest rate for the realized volatility of gold-price returns

Pierdzioch, Christian; Rohloff, Sebastian; Campe, Roland von - In: Annals of financial economics 18 (2023) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10014442354

A note on investor happiness and the predictability of realized volatility of gold

Bonato, Matteo; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012805333