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Exchange rate returns and volatility : the role of time-varying rare disaster risks

Gupta, Rangan; Suleman, Tahir; Wohar, Mark E. - In: The European journal of finance 25 (2019) 2, pp. 190-203

Persistent link: https://www.econbiz.de/10012206968

Geopolitical risks, returns, and volatility in emerging stock markets : evidence from a panel GARCH model

Bouras, Christos; Christou, Christina; Gupta, Rangan; … - In: Emerging markets, finance and trade : EMFT 55 (2019) 8, pp. 1841-1856

Persistent link: https://www.econbiz.de/10012210912

Impact of Volatility and Equity Market Uncertainty on Herd Behavior : Evidence from UK REITs

Akinsomi, Omokolade - 2017

Employing static/dynamic models that capture herding under different market regimes, we provide novel evidence on the herding behaviour of UK-listed Real Estate Investment Trusts (REITs). Our sample is extensive and covers the period from 30/6/2004 to 5/4/2016. Estimates of herding behaviour are...

Persistent link: https://www.econbiz.de/10012966709

Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach

Bekiros, Stelios; Gupta, Rangan - In: Economics letters 131 (2015), pp. 83-85

Persistent link: https://www.econbiz.de/10011422667

Tail risks and forecastability of stock returns of advanced economies : evidence from centuries of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula Ephraim - In: The European journal of finance 29 (2023) 4, pp. 466-481

Persistent link: https://www.econbiz.de/10014322538

Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models

Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014448138

Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data

Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022

Persistent link: https://www.econbiz.de/10013166706

Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?

Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023

Persistent link: https://www.econbiz.de/10013482253

Forecasting stock-market tail risk and connectedness in advanced economies over a century : the role of gold-to-silver and gold-to-platinum price ratios

Salisu, Afees A.; Pierdzioch, Christian; Gupta, Rangan; … - In: International review of financial analysis 83 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013461648

Large dynamic covariance matrices : enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013461761

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