Rangan Gupta - University of Pretoria

Rangan Gupta
                            E-mail: Rangan.Gupta@up.ac.za
Postal Address:
Department of Economics
University of Pretoria
0002, Pretoria
South Africa
Phone: +27 12 420 3460

Current Position:
Professor, Department of Economics,
University of Pretoria, South Africa.
Personal Website: https://sites.google.com/site/ranganguptaeconomics/

Research Interests:
Monetary Theory and Policy, Business Cycles, and Time Series Econometrics.

Education:
     2000 - 2005:
     Ph.D. in Economics, University of Connecticut.
     Dissertation Title:“Essays on Financial Repression."
     Major Field: Monetary Theory and Policy.
     Minor Fields: International Finance, Time Series Econometrics.
     Advisors: Prof. Christian Zimmermann (Principal ), Prof. Dhammika Dharmapala, Prof.
     Olivier F. Morand.

     1997 - 1999:
     Master of Science (M. Sc.) in Economics, University of Calcutta, India
     Specialization: Monetary Theory and Policy and Environmental Economics.

     1994 - 1997:
     Bachelor of Science (B. Sc.) with Honors, Narendrapur R. K. M. R College, Calcutta,
     University of Calcutta, India.
     Major: Economics. Minors: Mathematics, Political Science.

                                              1

Work Experience:
    July 2009 –: Professor, Department of Economics, University of Pretoria.
    July 2007 –June 2009: Associate Professor, Department of Economics, University of Pretoria.
    August 2005 –June 2007: Senior Lecturer, Department of Economics, University of Pretoria.
    August 2000 –May 2005: Graduate Assistant, Department of Economics, University of Con-
    necticut.

Teaching Experience:
    Second Semester, 2020; Second Semester, 2019; Second Semester, 2018; First Semester, 2017:
    Instructor, Time Series Econometrics (Masters Level). University of Pretoria, Pretoria, South
    Africa.
    First Semester, 2019; First Semester, 2018; Second Semester, 2017; First Semester, 2016;
    Second Semester, 2014; Second Semester, 2013; Second Semester, 2012; Second Semester,
    2011; Second Semester, 2010; First Semester, 2009; Second Semester 2007; First Semester,
    2007; Second Semester, 2006; First Semester, 2006:
    Instructor, Macroeconomics (M.Phil. and Ph. D. Levels). University of Pretoria, Pretoria,
    South Africa.
    First Semester, 2020; First Semester, 2019; First Semester, 2018; First Semester, 2017; First
    Semester, 2016; First Semester, 2014; First Semester, 2013; First Semester, 2012; First
    Semester, 2011; First Semester, 2010; Second Semester, 2009; Second Semester, 2008; First
    Semester, 2007; Second Semester, 2006; First Semester, 2006:
    Instructor, Macroeconomics (Masters Level). University of Pretoria, Pretoria, South Africa.
    First Semester, 2020; First Semester, 2009:
    Instructor, Monetary Economics (Masters Level). University of Pretoria, Pretoria, South
    Africa.
    First Semester, 2012; First Semester, 2007:
    Co-instructor, Boot Camp (Masters, M.Phil. and Ph.D. Levels). University of Pretoria,
    Pretoria, South Africa.
    Second Semester, 2006; Second Semester, 2005:
    Co-instructor, Advanced Trade and Investment (Masters Level). University of Pretoria, Pre-
    toria, South Africa.
    Second Semester, 2005:
    Co-instructor, International Trade (Honors Level). University of Pretoria, Pretoria, South
    Africa.
    Spring, 2003 –Spring, 2005:
    Instructor, Intermediate Macroeconomics. University of Connecticut, Storrs, CT, USA.
    Fall, 2002:
    Teaching Assistant, Graduate Level Courses in Macroeconomics and Econometrics.
    University of Connecticut, Storrs, CT, USA.

                                               2

Spring, 2001 –Spring, 2002:
    Teaching Assistant, Principles of Macroeconomics, Tutor for undergraduate courses in Eco-
    nomics. University of Connecticut, Storrs, CT, USA.

    Fall, 2000:
    Research Assistant. University of Connecticut, Storrs, CT, USA.

    Fall, 2000; Spring, 2001; Spring, 2004:
    Tutor for undergraduate courses in Economics. University of Connecticut, Storrs, CT, USA.

Publications:
    "The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets:
    A Mixed-Frequency Granger Causality Approach." (with Mehmet Balcilar and George Ike)
    (Forthcoming in Emerging Markets Finance and Trade.)

    “Uncertainty and Tourism in Africa." (with Carolyn Chisadza, Matthew W. Clance and
    Peter Wanke) (Forthcoming in Tourism Economics.)

    “Investor Happiness and Predictability of the Realized Volatility of Oil Price." (with Matteo
    Bonato, Konstantinos Gkillas and Christian Pierdzioch) (Forthcoming in Sustainability.)

    “A Note on Investor Happiness and the Predictability of Realized Volatility of Gold." (with
    Matteo Bonato, Konstantinos Gkillas and Christian Pierdzioch) (Forthcoming in Finance
    Research Letters.)

    "Housing Market Returns and the Consumption-Dis(Aggregate) Wealth Ratio: Evidence from
    U.S. State-Level Data." (with Mehmet Balcilar, Ricardo M. Sousa and Mark E. Wohar)
    (Forthcoming in International Review of Economics and Finance.)

    “Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains." (with Chi Ke-
    ung Marco Lau, Jacobus Nel and Xin Sheng) (Forthcoming in Journal of Economic Struc-
    tures.)

    "Analysing the Impact of Brexit on Global Uncertainty Using Functional Linear Regression
    with Point of Impact: The Role of Currency and Equity Markets." (with Siphumlile Mangisa
    and Sonali Das) (Forthcoming in Singapore Economic Review.)

    "E¤ ects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in
    the United States: The Role of Sentiment." (with Petre Caraiani, Chi Keung Marco Lau and
    Hardik A. Marfatia) (Forthcoming in Empirical Economics.)

    "Price and Volatility Linkages between International REITs and Oil Markets." (with Saban
    Nazlioglu, N. Alper Gormus and Ugur Soytas) (Forthcoming in Energy Economics.)

    "The Bene…ts of Diversi…cation between Bitcoin, Bonds, Equities and the US Dollar: A
    Matter of Portfolio Construction." (with Abdulnasser Hatemi-J, Mohamed A. Hajji and Elie
    Bouri) (Forthcoming in Asia-Pac…c Journal of Operational Research.)

    "Trade Uncertainties and the Hedging Abilities of Bitcoin." (with Elie Bouri and Konstantinos
    Gkillas) (Forthcoming in Economic Notes.)

                                               3

"Income Inequality and Economic Growth: A Re-Examination of Theory and Evidence."
(with Mehmet Balcilar, Wei Ma and Philton Makena) (Forthcoming in Review of Development
Economics.)

"Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach." (with
Afees A. Salisu) (Forthcoming in Global Finance Journal.)

“Investor Sentiment and the Dollar-Pound Exchange Rate Returns: Evidence from Over a
Century of Data Using a Cross-Quantilogram Approach." (with Syed Jawad Hussain Shahzad,
Clement Kweku Kyei and Eric Olson) (Forthcoming in Finance Research Letters.)

"A Reconsideration of Kuznets Curve across Countries: Evidence from the Co-summability
Approach." (with Shinhye Chang, Matthew Clance and Giray Gozgor) (Forthcoming in Jour-
nal of Developing Areas.)

"The Relationship between Economic Uncertainty and Corporate Tax Rates." (with Matthew
W. Clance, Giray Gozgor and Chi Keung Marco Lau) (Forthcoming in Annals of FInancial
Economics.)

"Mortgage Default Risks and High-Frequency Predictability of the US Housing Market: A
Reconsideration." (with Mehmet Balcilar, Elie Bouri and Mark E. Wohar) (Forthcoming in
Journal of Real Estate Portfolio Management.)

"Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States."
(with Aviral Kumar Tiwari, Juncal Cunado and Xin Sheng) (Forthcoming in Economics and
Business Letters.)

"Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries?" (with
Christina Christou and Fredj Jawadi) (Forthcoming in The North American Journal of Eco-
nomics and Finance.)

“Predicting Firm-Level Volatility in the United States: The Role of Monetary Policy Un-
certainty." (with Matthew W. Clance, Riza Demirer and Clement Kyei) (Forthcoming in
Economics and Business Letters.)

"Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-
Country Macro-Financial Linkages." (with Oguzhan Cepni, I. Ethem Guney and M. Hasan
Yilmaz) (Forthcoming in Journal of Forecasting.)

"The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Ev-
idence from Time- and Frequency-Domains." (with Semih Emre Cekin, Besma Hkiri and
Aviral Kumar Tiwari) (Forthcoming in The Quarterly Review of Economics and Finance.)

"Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains."
(with Aviral Kumar Tiwari and Christophe Andre) (Forthcoming in Journal of Property
Investment and Finance.)

"The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel
Approach." (with Mehmet Balcilar, Riza Demirer and Mark E. Wohar) (Forthcoming in
Structural Change and Economic Dynamics.)

                                          4

"Moments-Based Spillovers across Gold and Oil Markets." (with Matteo Bonato, Chi Keung
Marco Lau and Shixuan Wang) (Forthcoming in Energy Economics.)

"Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE
Approach." (with Francis Leni Anguyo and Kevin Kotze) (Forthcoming in Economic Re-
search.)

"The Predictability between Bitcoin and US Technology Stock Returns: Granger Causality in
Mean, Variance and Quantile." (with Elie Bouri, Chi Keung Marco Lau and David Roubaud)
(Forthcoming in Alternative Investments, Volume: Blockchain and Cryptocurrencies, Edited
by Andrew Urquhart and Larisa Yarovaya.)

"High-Frequency Volatility Forecasting of US Housing Markets." (with Mawuli Segnon, Keag-
ile Lesame and Mark E. Wohar) (Forthcoming in Journal of Real Estate Finance and Eco-
nomics.)

"Threshold E¤ ects of Inequality on Economic Growth in the US States: The Role of Human
Capital to Physical Capital Ratio." (with Oguzhan Cepni and Zhihui Lv) (Forthcoming in
Applied Economics Letters.)

"Gold, Platinum and the Predictability of Bond Risk Premia." (with Elie Bouri, Riza Demirer
and Mark E.Wohar) (Forthcoming in Finance Research Letters.)

"Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets." (with Elie
Bouri, Konstantinos Gkillas and Clement Kyei) (Forthcoming in Journal of Risk.)

"Credit Ratings and Predictability of Stock Returns and Volatility of the BRICS and the PI-
IGS: Evidence from a Nonparametric Causality-in-Quantiles Approach." (with Mehmet Bal-
cilar, Deven Bathia and Riza Demirer) (Forthcoming in The Quarterly Review of Economics
and Finance.)

"125 Years of Time-Varying E¤ ects of Fiscal Policy on Financial Markets." (with Hardik
A. Marfatia and Stephen M. Miller) (Forthcoming in International Review of Economics and
Finance.)

"Time-Varying Impact ofUncertainty Shocks on Macroeconomic Variables of the United King-
dom: Evidence fromOver 150 Years of Montly Data." (with Christina Christou and David
Gabauer) (Forthcoming in Finance Research Letters.)

"Historical Evolution of Monthly Anomalies in International Stock Markets." (with Alex
Plastun, Xolani Sibande and Mark E. Wohar) (Forthcoming in Research in International
Business and Finance.)

"The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the
United States." (with Oguzhan Cepni, I. Ethem Guney and Mark E. Wohar) (Forthcoming
in Journal of Financial Markets.)

"How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch."
(with Afees A. Salisu) (Forthcoming in Emerging Markets Finance and Trade.)

                                          5

"Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based
Measures of Uncertainty." (with Elie Bouri) (Forthcoming in Finance Research Letters.)

"Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of In-
‡ation." (with Heni Boubaker, Giorgio Canarella and Stephen M. Miller) (Forthcoming in
Studies in Nonlinear Dynamics and Econometrics.)

"Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative
Roles of Equity and Debt Flows." (with Deven Bathia, Christos Bouras and Riza Demirer)
(Forthcoming in Journal of International Money and Finance.)

"Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is there a Role for
Economic Inequality?" (with Hossein Hassani, Mohammad Reza Yeganegi and Riza Demirer)
(Forthcoming in International Journal of Finance and Economics.)

"On the Transmission Mechanism of Asia-Paci…c Yield Curve Characteristics." (with Sowmya
Subramaniam and David Gabauer) (Forthcoming in International Journal of Finance and
Economics.)

"The Predictability of Stock Market Volatility in Emerging Economies: Relative Roles of Local,
Regional and Global Business Cycles." (with Elie Bouri, Riza Demirer and Xiaojin (Aaron)
Sun) (Forthcoming in Journal of Forecasting.)

"Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from
Australian Intraday Data." (with Mawuli Segnon, Chi Keung Marco Lau and Bernd Wil‡ing)
(Forthcoming in Studies in Nonlinear Dynamics and Econometrics.)

"Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: E¤ ects of Lever-
age, Jumps, Spillovers, and Geopolitical Risks." (with Manabu Asai and Michael McAleer)
(Forthcoming in International Journal of Forecasting.)

"Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?" (with Konstanti-
nos Gkillas and Christian Pierdzioch) (Forthcoming in Finance Research Letters.)

"E¤ ect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years
of High-Frequency Data." (with Hardik A. Marfatia and Eric Olson) (Forthcoming in Applied
Economics Letters.)

"Is the Housing Market in the United States Really Weakly-E¢ cient?" (with Aviral Kumar
Tiwari and Mark E. Wohar) (Forthcoming in Applied Economics Letters.)

"What can Fifty-Two Collateralizable Wealth Measures Tell us about Future Housing Market
Returns? Evidence from U.S. State-Level Data." (with Mehmet Balcilar, Ricardo M. Sousa
and Mark E. Wohar) (Forthcoming in Journal of Real Estate Finance and Economics.)

"Historical Volatility of Advanced Equity Markets: The Role of Local and Global Crises."
(with Samrat Goswami and Mark E. Wohar) (Forthcoming in Finance Research Letters.)

"Why must it always be so Real with Tax Evasion?" (with Philton Makena) (Forthcoming in
The Quarterly Review of Economics and Finance.)

                                           6

"Fisher Variables and Income Inequality in the BRICS." (with Edmond Berisha and John
Meszaros) (Forthcoming in Economic Modelling.)

"The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies:
The Role of Exchange Rate, Trade and Financial Channels." (with Godwin Olasehinde-
Williams and Mark E. Wohar) (Forthcoming in Journal of International Trade and Economic
Development.)

"Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-
Switching Time-Varying Copula Model." (with Aviral Kumar Tiwari, Goodness C.Aye and
Konstantinos Gkillas) (Forthcoming in Energy Economics.)

"Forecasting Changes of Economic Inequality: A Boosting Approach." (with Christian Pierdzioch,
Hossein Hassani and Emmanuel Silva) (Forthcoming in The Social Science Journal.)

"Bayesian Spatial Modeling for Housing Data in South Africa." (with Bingling Wang and
Sudipto Banerjee) (Forthcoming in Sankhya B.)

"Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonpara-
metric Functional Data Analysis." (with Joao F. Caldeira, Tahir Suleman and Hudson S.
Torrent) (Forthcoming in Emerging Markets Finance and Trade.)

"Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy
Uncertainty." (with Christina Christou) (Forthcoming in The Quarterly Review of Economics
and Finance.)

"Monetary Policy and Bubbles in US REITs." (with Petre Caraiani and Adrian Cantemir
Calin) (Forthcoming in International Review of Finance.)

"Time-Varying Risk Aversion and the Predictability of Bond Premia." (with Oguzhan Cepni,
Riza Demirer and Christian Pierdzioch) (Forthcoming in Finance Research Letters.)

"Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and
Stock Market Movements." (with Konstantinos Gkillas, Chi Keung Marco Lau and Tahir
Suleman) (Forthcoming in Journal of Applied Statistics.)

"Variants of Consumption-Wealth Ratios and Predictaility of U.S. Government Bond Risk
Premia: Old is still Gold." (with Oguzhan Cepni and Mark E. Wohar) (Forthcoming in
International Review of Finance.)

"Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries
using Vine Copulas." (with Semih Emre Cekin, Ashis Kumar Pradhan and Aviral Kumar
Tiwari) (Forthcoming in The Quarterly Review of Economics and Finance.)

"Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global
Factors." (with Oguzhan Cepni and Selcuk Gul) (Forthcoming in Finance Research Letters.)

"Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150
Years of Data." (with Giorgio Canarella, Luis A. Gil-Alana and Stephen M. Miller) (Forth-
coming in Urban Studies.)

                                         7

"Forecasting Interest Rate Volatility of the United Kingdom: Evidence from over 150 Years of
Data." (with Hossein Hassani, Mohammad Reza Yeganegi and Juncal Cunado) (Forthcoming
in Journal of Applied Statistics.)

"Asymmetric E¤ ects of Inequality on Per Capita Real GDP of the United States." (with Ad-
nen Ben Nasr, Mehmet Balcilar, and Seyi Saint Akadiri) (Forthcoming in Eurasian Economic
Review.)

"In‡ation Dynamics in Uganda: A Quantile Regression Approach." (with Francis Leni An-
guyo and Kevin Kotze) (Forthcoming in Macroeconomics and Finance in Emerging Market
Economies.)

"Forecasting with Second-Order Approximations and Markov Switching DSGE Models." (with
Sergey Ivashchenko, Semih Emre Cekin and Kevin Kotze) (Forthcoming in Computational
Economics.)

"Uncertainty and Forecasts of U.S. Recessions." (with Christian Pierdzioch) (Forthcoming
in Studies in Nonlinear Dynamics and Econometrics.)

"Frequency-Dependent Real-Time E¤ ects of Uncertainty in the United States: Evidence from
Daily Data." (with Yanele Nyamela and Vasilios Plakandaras) (Forthcoming in Applied Eco-
nomics Letters.)

"Forecasting Core In‡ation: The Case of South Africa." (with Franz Ruch, Mehmet Balcilar
and Mampho P. Modise) (Forthcoming in Applied Economics.)

"Time-Varying Impact of Geopolitical Risks on Oil Prices." (with Juncal Cunado, Chi Keung
Marco Lau and Xin Sheng) (Forthcoming in Defense and Peace Economics.)

"Predicting Stock Market Movements in the United States: The Role of Presidential Approval
Ratings." (with Patrick T. Kanda and Mark E. Wohar) (Forthcoming in International Review
of Finance.)

"Conventional and Unconventional Monetary Policy Reaction to Uncertainty in Advanced
Economies: Evidence from Quantile Regressions." (with Christina Christou and Ruthira
Naraidoo) (Forthcoming in Studies in Nonlinear Dynamics and Econometrics.)

"Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda."
(with Francis Leni Anguyo and Kevin Kotze) (Forthcoming in Empirical Economics.)

"Insurance-Growth Nexus in Africa." (with Mehmet Balcilar, Chien-Chiang Lee and Godwin
Olasehinde-Williams) (Forthcoming in The Geneva Papers on Risk and Insurance - Issues
and Practice.)

"Causality between Output and Income Inequality across US States: Evidence from a Het-
erogeneous Mixed Panel Approach." (with Shinhye Chang, Hsiao-Ping Chu and Stephen M.
Miller) (Forthcoming in Journal of Income Distribution.)

"The Stock-Bond Nexus and Investors’ Behavior in Mature and Emerging Markets: Evi-
dence from Long-Term Historical Data." (with Refk Selmi, Christos Kollias and Stephanos
Papadamou) (Forthcoming in Studies in Economics and Finance.)

                                          8

"Spillover of Sentiment in the European Union: Evidence from Time- and Frequency-Domains."
(with Vasilios Plakandaras, Aviral Kumar Tiwari and Qiang Ji) (Published in International
Review of Economics and Finance, Vol. 68(1), 2020, 105-130.)

"Housing Market Spillovers in South Africa: Evidence from an Estimated Small Open Econ-
omy DSGE Model." (with Xiaojin Sun) (Published in Empirical Economics, Vol. 58(5), 2020,
2309-2332.)

"Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence
from Over 150 Years of Data." (with Vasilios Plakandaras, Constantinos Katrakilidis and
Mark E. Wohar) (Published in Empirical Economics, Vol. 58(5), 2020, 2249-2285.)

"The Time-Series Linkages between US Fiscal Poliy and Asset Prices." (with Ghassen El
Montasser, Charl Jooste and Stephen M. Miller) (Published in Public Finance Review, Vol.
48(3), 2020, 303-339.)

"Movements in International Bond Markets: The Role of Oil Prices." (with Saban Nazlioglu
and Elie Bouri) (Published in International Review of Economics and Finance, Vol. 68(1),
2020, 47-58.)

"Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric
Loss." (with Konstantinos Gkillas and Christian Pierdzioch) (Published in Journal of In-
ternational Money and Finance, Vol. 104(1), 2020, 102137.)

"Modeling U.S. Historical Time-Series Prices and In‡ation Using Various Linear and Non-
linear Long-Memory Approaches." (with Giorgio Canarella, Luis A. Gil-Alana and Stephen
M. Miller) (Published in Empirical Economics, Vol. 58(4), 2020, 1491-1511.)

"Are Uncertainties across the World Convergent?" (with Christina Christou, Giray Gozgor
and Chi Keung Marco Lau) (Published in Economics Bulletin, Vol. 40(1), 2020, 855-862.)

“Jumps in Energy and Non-Energy Commodities." (with Elie Bouri) (Published in OPEC
Energy Review, Vol 44(1), 2020, 91-111.)

"Growth Dynamics, Multiple Equilibria, and Local Indeterminancy in an Endogenous Growth
Model of Money, Banking and In‡ation Targeting." (with Philton Makena) (Published in
Economies, Vol. 8(1), 2020, 22.)

"Halloween E¤ ect in Developed Stock Markets: A US Perspective." (with Alex Plastun,
Xolani Sibande and Mark E. Wohar) (Published in International Economics, Vol. 161(1),
2020, 130-138.)

"Price Gap Anomaly in the US Stock Market: The Whole Story." (with Alex Plastun, Xolani
Sibande and Mark E. Wohar) (Published in The North American Journal of Economics and
Finance, Vol. 52(1), 2020, 101177.)

"Time-Varying Risk Aversion and the Pro…tability of Carry Trades: Evidence from the Cross-
Quantilogram." (with Riza Demirer, Hossein Hassani and Xu Huang) (Published in Economies,
Vol. 8(1), 2020, 18.)

                                         9

"Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the
United Kingdom." (with Goodness C. Aye and Giray Gozgor) (Published in Social Indicators
Research, Vol. 147(3), 2020, 747-762.)
"Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment."
(with Chi Keung Marco Lau and Wendy Nyakabawo) (Published in Journal of Reviews on
Global Economics, Vol. 9(1), 2020, 30-46.)
"Oil Price Uncertainty and Movements in the US Government Bond Risk Premia." (with
Mehmet Balcilar, Shixuan Wang and Mark E.Wohar) (Published in North American Journal
of Economics and Finance, Vol. 52(1), 2020, 101147.)
"Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series?
An Application to Foreign Exchange and Stock Markets." (with Ruipeng Liu, Riza Demirer
and Mark E. Wohar) (Published in Journal of Forecasting, Vol. 39(2), 2020, 155-167.)
"Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector
Autoregressive Models." (with Florian Huber and Philipp Piribauer) (Published in Interna-
tional Review of Financial Analysis, Vol. 68(1), 2020, 101456.)
"Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?"
(with Petre Caraiani) (Published in Journal of Macroeconomics, Vol. 63(1), 2020, 103187.)
"Global Crises and Gold as a Safe Haven: Evidence from Over Seven and a Half Centuries of
Data." (with Heni Boubaker, Juncal Cunado and Luis A. Gil-Alana) (Published in Physica
A: Statistical Mechanics and its Applications, Vol. 540(1), 2020, 123093.)
"Forecasting Output Growth using a DSGE-Based Decomposition of the South African Yield
Curve." (with Hylton Hollander and Rudi Steinbach) (Published in Empirical Economics,
Special Issue: Economic Forecasting, Vol. 58(1), 2020, 351-378.)
"Oil Shocks and Volatility Jumps." (with Konstantinos Gkillas and Mark E. Wohar) (Pub-
lished in Review of Quantitative Finance and Accounting, Vol. 54(1), 2020, 247-272.)
"Does U.K.’s Real GDP have a Unit Root? Evidence from a Multi-Century Perspective."
(with Giorgio Canarella, Stephen M. Miller and Tolga Omay) (Published in Applied Eco-
nomics, Vol. 52(10), 2020, 1070-1087.)
"Forecasting Economics Policy Uncertainty of BRIC Countries Using Bayesian VARs." (with
Xiaojin Sun) (Published in Economics Letters, Vol. 186(1), 2020, 108677.)
"The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a
Quantiles-Based Bayesian Model Averaging Approach." (with Oguzhan Cepni and Mark E.
Wohar) (Published in Applied Economics, Vol. 52(5), 2020, 528-536.)
"Does Trading Behaviour Converge across Commodity Markets? Evidence from the Perspec-
tive of Hedgers’ Sentiment." (with Qiang Ji, Walid Bahloul and Jiang-bo Geng) (Published
in Research in International Business and Finance, Vol. 52(1), 2020, 101114.)
"Graph Theory-Based Network Analysis of Regional Uncertainties of the US Economy." (with
Chi Keung Marco Lau and Xin Sheng) (Published in Physica A: Statistical Mechanics and
its Applications, Vol. 540(1), 2020, 123064.)

                                         10

"Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying
Approach." (with David Gabauer) (Published in Structural Change and Economic Dynamics,
Vol. 52(1), 2020, 167-173.)

"Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-
Data Evidence." (with Furkan Emirmahmutoglu, Stephen M. Miller and Tolga Omay) (Pub-
lished in Bulletin of Economic Research, Vol. 72(1), 2020, 50-62.)

"The E¤ ectiveness of Monetary Policy in South Africa under In‡ation Targeting: Evidence
from a Time-Varying Factor-Augmented Vector Autoregressive Model." (with Goodness C.
Aye and Mehmet Balcilar) (Published in Journal of Developing Areas, Vol. 54(4), 2020,
55-74.)

"Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying
Copulas with Markov Switching: Evidence from Over a Century of Data." (with Qiang Ji,
Bing-Yue Liu and Juncal Cunado) (Published in North American Journal of Economics and
Finance, Vol. 51(1), 2020, 100846.)

"U.S. Fiscal Policy and Asset Prices: The Role of Partisan Con‡ict." (with Chi Keung
Marco Lau, Stephen M. Miller and Mark E. Wohar) (Published in International Review of
Finance, Vol. 19(4), 2019, 851-862.)

"E¤ ects of Geopolitical Risks on Trade Flows: Evidence from the Gravity Model." (with Ender
Demir, Giray Gozgor and Huseyin Kaya) (Published in Eurasian Economic Review, Vol. 9(4),
2019, 515-530.)

"Asymmetric Dynamics of Insurance Premium: The Impacts of Output and Economic Policy
Uncertainty." (with Amine Lahiani, Chi-Chuan Lee and Chien-Chiang Lee) (Published in
Empirical Economics, Vol. 57(6), 2019, 1951-1978.)

"Does Financial Development A¤ ect Income Inequality in the U.S. States? A Panel Data
Analysis." (with Manoel Bittencourt, Shinhye Chang and Stephen M. Miller) (Published in
Journal of Policy Modeling, Vol. 41(6), 2019, 1043-1056.)

"OPEC News Announcement E¤ ect on Volatility in the Crude Oil Market: A Reconsidera-
tion." (with Chi Keung Marco Lau and Seong-Min Yoon) (Published in Advances in Decision
Sciences, Vol. 23(4), 2019, 1-22.)

"Greek Economic Policy Uncertainty: Does it Matter for the European Union?" (with Niko-
laos Antonakakis and David Gabauer) (Published in Physica A: Statistical Mechanics and its
Applications, Vol. 535(1), 2019, 122280.)

"In‡ation Aversion and the Growth-In‡ation Relationship." (with Philton Makena) (Pub-
lished in Annals of Economics and Finance, Vol. 20(2), 2019, 803-815.)

"The Term Premium as a Leading Macroeconomic Indicator." (with Vasilios Plakandaras,
Perikilis Gogas and Theophilos Papadimitriou) (Published in International Review of Eco-
nomics and Finance, Vol. 64(1), 2019, 476-492.)

                                          11

"Time-Frequency Relationship between In‡ation and In‡ation Uncertainty for the U.S.: Ev-
idence from Historical Data." (with Claudiu T. Albulescu, Aviral K. Tiwari and Stephen M.
Miller) (Published in Scottish Journal of Political Economy, Vol. 66(5), 2019, 673-702.)

"Time-Varying Risk Aversion and Realized Gold Volatility." (with Riza Demirer, Konstanti-
nos Gkillas and Christian Pierdzioch) (Published in North American Journal of Economics
and Finance, Vol. 50(1), 2019, 101048.)

"Forecasting (Downside and Upside) Realized Exchange-Rate Volatility: Is there a Role for Re-
alized Skewness and Kurtosis?" (with Konstantinos Gkillas and Christian Pierdzioch) (Pub-
lished in Physica A: Statistical Mechanics and its Applications, Vol. 532(1), 2019, 121867.)

"Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role
of US Financial Stress." (with Patrick T. Kanda, Aviral Kumar Tiwari and Mark E. Wohar)
(Published in North American Journal of Economics and Finance, Vol. 50(1), 2019, 100994.)

"International Monetary Policy Spillovers: Evidence from a TVP-VAR." (with Nikolaos An-
tonakakis and David Gabauer) (Published in International Review of Financial Ananlysis,
Vol. 65(1), 2019, 101382.)

"Does Inequality Really Matter in Forecasting Real Housing Returns of the United King-
dom?" (with Hossein Hassani and Mohammad Reza Yeganegi) (Published in International
Economics, Vol. 159(1), 2019, 18-25.)

"A Note on the Technology Herd: Evidence from Large Institutional Investors." (with Josine
Uwilingiye, Esin Cakan and Riza Demirer) (Published in Review of Behavioral Finance, Vol.
11(3), 2019, 294-308.)

"The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures."
(with Manabu Asai and Michael McAleer) (Published in Energies, Vol. 12(17), 2019, 3379.)

"On REIT Returns and (Un-)Expected In‡ation: Empirical Evidence Based on Bayesian
Additive Regression Trees." (with Christian Pierdzioch, Marian Risse and Wendy Nyakabawo)
(Published in Finance Research Letters, Vol. 30(1), 2019, 160-169.)

"Are there Really Long-Run Diversi…cation Bene…ts from Sustainable Investments?" (with
Nicholas Apergis, Vassilios Babalos and Christina Christou) (Published in International Jour-
nal of Business and Economics, Vol. 18(2), 2019, 141-163.)

"Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility." (with Riza
Demirer, Qiang Ji and Aviral Kumar Tiwari) (Published in OPEC Energy Review, Vol. 43(3),
342-361.)

"Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies."
(with Wilson Donzwa and Mark E. Wohar) (Published in Journal of Central Banking Theory
and Practice, Vol. 8(3), 39-50.)

"Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United
States." (with Goodness C. Aye) (Published in Advances in Decision Sciences, Vol. 23(3),
2019, 1-28.)

                                          12

"The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United
Kingdom: Evidence from over 150 Years of Data." (with Mark E. Wohar) (Published in
Economics and Business Letters, Vol. 8(3), 2019, 138-146.)

"The E¤ ect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions
via Functional Data Analysis." (with Sonali Das, Riza Demirer and Siphumlile Mangisa)
(Forthcoming in Structural Change and Economic Dynamics, Vol. 50(1), 2019, 132-147.)

"Oil Price-In‡ation Pass-Through in the United States over 1871 to 2018: A Wavelet Co-
herency Analysis." (with Aviral Kumar Tiwari, Juncal Cunado and Abdulnasser Hatemi-J)
(Published in Structural Change and Economic Dynamics, Vol. 50(1), 2019, 51-55.)

"The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a
Bayesian Compressed Vector Autoregressive Model." (with Chi Keung Marco Lau, Vasilios
Plakandaras and Wing-Keung Wong) (Published in Economic Research, Vol. 32(1), 2019,
2554-2567.)

"Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel
Causality Tests." (with Abdulnasser Hatemi-J, Chi-Chuan Lee and Chien-Chiang Lee) (Pub-
lished in International Finance, Vol. 22(2), 2019, 221-240.)

"Persistence of Economic Uncertainty: A Comprehensive Analysis." (with Vasilios Plakan-
daras and Mark E. Wohar) (Published in Applied Economics, Vol. 51(41), 2019, 4477-4498.)

"Geopolitical Risks and Recessions in a Panel of Advanced Economies: Evidence from Over
a Century of Data." (with Matthew W. Clance and Mark E. Wohar) (Published in Applied
Economics Letters, Vol. 26(16), 2019, 1317-1321.)

"Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel
GARCH Model." (with Christos Bouras, Christina Christou and Tahir Suleman) (Published
in Emerging Markets Finance and Trade, Vol. 55(8), 2019, 1841-1856.)

"Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks." (with Vasilios
Plakandaras and Wing-Keung Wong) (Published in Resources Policy, Vol. 62(1), 2019, 580-
587.)

"Are BRICS Exchange Rates Chaotic?" (with Vasilios Plakandaras, Luis A. Gil-Alana and
Mark E. Wohar) (Published in Applied Economics Letters, Vol. 26(13), 2019, 1104-1110.)

"The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility."
(with Tahir Suleman and Mark E. Wohar) (Published in Review of Financial Economics, Vol.
37(3), 2019, 327-340.)

"Rise and Fall of Calendar Anomalies over a Century." (with Alex Plastun, Xolani Sibande
and Mark E. Wohar) (Published in North American Journal of Economics and Finance, Vol.
49(1), 2019, 181-205.)

"Time-Varying Impact of Uncertainty Shocks on the US Housing Market." (with Christina
Christou and Wendy Nyakabawo) (Published in Economics Letters, Vol. 180(1), 2019, 15-20.)

                                          13

"Is There a Role for Uncertainty in Forecasting Output Growth in OECD Countries? Evidence
from a Time Varying Parameter-Panel Vector Autoregressive Model." (with Goodness C. Aye,
Chi Keung Marco Lau and Xin Sheng) (Published in Applied Economics, Vol. 51(33), 2019,
3624-3631.)
"Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note." (with Elie
Bouri, Riza Demirer and Hardik A. Marfatia) (Published in Defence and Peace Economics,
Vol. 30(3), 2019, 367-379.)
"The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span
UK Data Using Quantile Random Forests." (with Christian Pierdzioch, Andrew J. Vivian
and Mark E. Wohar) (Published in Finance Research Letters, Vol. 29(1), 2019, 315-322.)
"Herding Behaviour in the Cryptocurrency Market." (with Elie Bouri and David Roubaud)
(Published in Finance Research Letters, Vol. 29(1), 2019, 216-221.)
"Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence
from over Two Centuries of Data." (with Mark E. Wohar) (Published in Advances in Decision
Sciences, Vol. 23(2), 2019, 1-12.)
"Price Convergence Patterns across U.S. States." (with Christina Christou and Juncal Cu-
nado) (Published in Panoeconomicus, Vol. 66(2), 2019, 187-201.)
"Are Stock Returns an In‡ation Hedge for the UK? Evidence from a Wavelet Analysis Using
Over Three Centuries of Data." (with Aviral Kumar Tiwari, Juncal Cunado and Mark E.
Wohar) (Published in Studies in Nonlinear Dynamics and Econometrics, Vol. 23(3), 2019,
20170049.)
"The E¤ ectiveness of Monetary and Fiscal Policy Shocks on U.S. Inequality: The Role of
Uncertainty." (with Goodness C. Aye and Matthew W. Clance) (Published in Quality and
Quantity, Vol. 53(1), 2019, 283-295.)
"Productive E¢ ciency of Connecticut Long Island Lobster Fishery Using a Finite Mixture
Model." (with Zinnia Mukherjee, Mike G. Tsionas and Peter Wanke) (Published in Marine
Resource Economics, Vol. 34(3), 2019, 267–285.)
"Kuznets Curve for the US: A Reconsideration Using Cosummability." (with Adnen Ben
Nasr, Mehmet Balcilar and Seyi Saint Akadiri) (Published in Social Indicators Research, Vol.
142(1), 2019, 827-843.)
"The E¤ ect of Economic Uncertainty on the Housing Market Cycle." (with Goodness C. Aye
and Matthew W. Clance) (Published in Journal of Real Estate Portfolio Management, Vol.
25(1), 2019, 67-75.)
"Revisiting the Twin De…cits Hypothesis: A Quantile Cointegration Analysis over the Pe-
riod of 1791-2013." (with Nikolaos Antonakakis, Juncal Cunado and Mawuli K. Segnon)
(Published in Journal of Applied Economics, Vol. 22(1), 2019, 116-130.)
"Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector." (with Zhihui Lv
and Wing-Keung Wong) (Published in Sustainability, Special Issue: Sustainability of the The-
ories Developed by Mathematical Finance and Mathematical Economics with Applications,
Vol. 11, 2019, 2776.)

                                          14

"On the Predictability of Stock Market Bubbles: Evidence from LPPLS Con…dence TM Multi-
scale Indicators." (with Riza Demirer, Guilherme Demos and Didier Sornette) (Forthcoming
in Quantitative Finance, Vol. 19(5), 2019, 843-858.)

"The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a
Quantile Structural Vector Autoregressive Model." (with Chi Keung Marco Lau and Mark E.
Wohar) (Published in Empirica, Vol. 46(2), 2019, 353-368.)

"The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic
General Equilibrium Model for South Africa." (with Hylton Hollander and Mark E. Wohar)
(Published in Emerging Markets Finance and Trade, Vol. 55(7), 2019, 1593-1618.)

"Price Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meet-
ings." (with Chi Keung Marco Lau, Ruipeng Liu and Hardik A. Marfatia) (Published in
Journal of Economics and Finance, Vol. 43(2), 2019, 298-312.)

"Economic Policy Uncertainty and Herding Behavior: Evidence from the South African Hous-
ing Market." (with Esin Cakan, Riza Demirer and Josine Uwilingiye) (Published in Advances
in Decision Sciences, Vol. 23(1), 2019, 1-25.)

"A Time-Varying Approach of the US Welfare Cost of In‡ation." (with Stephen M. Miller
and Luis F. Martins) (Published in Macroeconomic Dynamics, Vol. 23(2), 2019, 775-797.)

"Growth Volatility and Inequality in the U.S.: A Wavelet Analysis." (with Shinhye Chang,
Stephen M. Miller and Mark E. Wohar) (Published in Physica A: Statistical Mechanics and
its Applications, Vol. 521(1), 2019, 48-73.)

"Stock Market E¢ ciency Analysis using Long Spans of Data: A Multifractal Detrended Fluc-
tuation Approach." (with Aviral Kumar Tiwari and Goodness C. Aye) (Published in Finance
Research Letters, Vol. 28(1), 2019, 398-411.)

"E¢ ciency in BRICS Currency Markets using Long-Spans of Data: Evidence from Model-
Free Tests of Directional Predictability." (with Vasilios Plakandaras) (Published in Journal
of Economics and Behavioral Studies, Vol. 11(1), 2019, 152-165.)

"Long-Run Movement and Predictability of Bond Spread for BRICS and PIIGS: The Role
of Economic, Financial and Political Risks." (with Sheung-Chi Chow, Tahir Suleman and
Wing-Keung Wong) (Published in Journal of Reviews on Global Economics, Vol. 8(1), 2019,
239-257.)

"Partisan Con‡ict and Income Distribution in the United States: A Nonparametric Causality-
in-Quantiles Approach." (with Mehmet Balcilar, Seyi Saint Akadiri and Stephen M. Miller)
(Published in Social Indicators Research, Vol. 142(1), 2019, 65-82.)

"Spillover of Mortgage Default Risks in the United States: Evidence from Metropolitan Statis-
tical Areas and States." (with Qiang Ji, Festus Victor Bekun and Mehmet Balcilar) (Published
in Journal of Economic Asymmetries, Vol. 19(1), 2019, e00114.)

"Time-Varying Causal Relationship between Stock Market and Unemployment in the United
Kingdom: Historical Evidence from 1855 to 2017." (with Xolani Sibande and Mark E. Wohar)
(Published in Journal of Multinational Financial Management, Vol. 49(1), 2019, 81-88.)

                                          15

"A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices." (with Aviral
Kumar Tiwari, Zinnia Mukherjee and Mehmet Balcilar) (Published in Resources Policy, Vol.
60(1), 2019, 118-124.)

"Modelling Long Memory Volatility in the Bitcoin Market: Evidence of Persistence and Struc-
tural Breaks." (with Elie Bouri, Luis A. Gil-Alana and David Roubaud) (Published in Inter-
national Journal of Finance and Economics, Vol. 24(1), 2019, 412-426.)

"Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evi-
dence." (with Giorgio Canarella, Stephen M. Miller and Stephen K. Pollard) (Published in
Empirical Economics, Vol. 56(1), 2019, 61-79.)

"Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Lin-
ear and Nonlinear Causality Tests." (with Riza Demirer, Zhihui Lv and Wing-Keung Wong)
(Published in Sustainability, Special Issue: Sustainability of the Theories Developed by Math-
ematical Finance and Mathematical Economics with Applications, Vol. 11, 2019, 351.)

"Manager Sentiment and Stock Market Volatility." (Published in Journal of Management
Information and Decision Sciences, Vol. 22(1), 2019, 10-20.)

"The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of
the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over
250 Years of Data." (with Marian Risse, David A. Volkman and Mark E. Wohar) (Published
in North American Journal of Economics and Finance, Vol. 47(1), 2019, 391-405.)

"Does Global Economic Uncertainty Matter for the Volatility and Hedging E¤ ectiveness of
Bitcoin?" (with Libing Fang, Elie Bouri and David Roubaud) (Published in International
Review of Financial Analysis, Vol. 61(1), 2019, 29-36.)

"Chaos in G7 Stock Markets using Over One Century of Data: A Note." (with Aviral Kumar
Tiwari) (Published in Research in International Business and Finance, Vol. 47(1), 2019, 304-
310.)

"Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth
Ratio." (with Tsangyao Chang, Anandamayee Majumdar and Christian Pierdzioch) (Pub-
lished in International Review of Economics and Finance, Vol. 59(1), 2019, 458-467.)

"The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns
and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparamet-
ric Causality-in-Quantiles Approach." (with Mehmet Balcilar, Won Joong Kim and Clement
Kyei) (Published in International Review of Economics and Finance, Vol. 59(1), 2019, 150-
163.)

"Oil Price Volatility and Economic Growth: Evidence from Advanced OECD Countries using
over One Century of Data." (with Mamothoana Difeto, Renee van Eyden and Mark E.
Wohar) (Published in Applied Energy, Vol. 233-234(1), 2019, 612-621.)

"Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data."
(with Juncal Cunado and Luis A. Gil-Alana) (Published in Physica A: Statistical Mechanics
and its Applications, Vol. 514(1), 2019, 345-354.)

                                          16

"Exchange Rate Returns and Volatility: The Role of Time-Varying Rare Disaster Risks."
(with Tahir Suleman and Mark E. Wohar) (Published in The European Journal of Finance,
Vol. 25(2), 2019, 190-203.)

"The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on
Returns and Volatility of Oil Futures." (with Walid Bahloul) (Published in International
Economics, Vol. 156(1), 2019, 247-253.)

"Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-
Spread and Economic Policy Uncertainty." (with Goodness C. Aye, Christina Christou and
Luis A. Gil-Alana) (Published in The Journal of International Development, Vol. 31(1), 2019,
101-116.)

"Oil Speculation and Herding Behavior in Emerging Stock Markets." (with Esin Cakan, Riza
Demirer and Hardik A. Marfatia) (Published in Journal of Economics and Finance, Vol.
43(1), 2019, 44-56.)

"Persistence, Mean Reversion and Nonlinearities in In‡ation Rates of Developed and Devel-
oping Countries Using Over One Century of Data." (with Luis A. Gil-Alana) (Published in
The Manchester School, Vol. 87(1), 2019, 24-36.)

"Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan
Areas." (with Christophe Andre and John W. Muteba Mwamba) (Published in International
Journal of Strategic Property Management, Vol. 23(1), 2019, 1-22.)

"Political Cycles in the United States and Stock Market Volatility in other Advanced Economies:
An EGARCH Approach." (with Akhona Myataza) (Published in Journal of Applied Economic
Sciences, Vol. XIII(7(61)), 2018, 2122-2132.)

"Monetary Policy Reaction Functions of the TICKs: A Quantile Regression Approach." (with
Christina Christou, Ruthira Naraidoo and Won Joong Kim) (Published in Emerging Markets
Finance and Trade, Vol. 54(15), 2018, 3552-3565.)

"High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and
Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach." (with Wendy
Nyakabawo and Hardik A. Marfatia) (Published in Advances in Decision Sciences, 22nd An-
niversary Special Issue, Vol. 22(A), 2018, 1-25.)

"Is Wine a Safe-Haven? Evidence from a Nonparametric Causality-in-Quantiles Test." (with
Nikolaos Antonakakis, Mehmet Balcilar and Elie Bouri) (Published in Advances in Decision
Sciences, 22nd Anniversary Special Issue, Vol. 22(A), 2018, 1-19.)

"Investor Sentiment and Crash Risk in Safe Havens." (with Adnen Ben Nasr, Matteo Bonato
and Riza Demirer) (Published in Journal of Economics and Behavioral Studies, Vol. 10(6A),
2018, 97-108.)

"Volatility Jumps: The Role of Geopolitical Risks." (with Konstantinos Gkillas and Mark E.
Wohar) (Published in Finance Research Letters, Vol. 27(1), 2018, 247-258.)

                                          17

"The Synergistic E¤ ect of Insurance and Banking Sector Activities on Economic Growth
in Africa." (with Mehmet Balcilar, Chien-Chiang Lee and Godwin Olasehinde-Williams)
(Published in Economic Systems, Vol. 42(4), 2018, 637-648.)
"News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Date for the
USA and the UK Markets." (with Christos Kollias, Stephanos Papadamou and Mark E.
Wohar) (Published in Journal of Multinational Financial Management, Vol. 47-48(1), 2018,
76-90.)
"Market E¢ ciency of Baltic Stock Markets: A Fractional Integration Approach." (with Luis
A. Gil-Alana, Olanrewaju I. Shittu and OlaOluwa S. Yaya) (Published in Physica A: Statis-
tical Mechanics and its Applications, Vol. 511(1), 2018, 251-262.)
"Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies?
Evidence from a Nonparametric Approach." (with Nicholas Apergis, Matteo Bonato and
Clement Kyei) (Published in Defense and Peace Economics, Vol. 29(6), 2018, 684-696.)
"Spillovers between Bitcoin and other Assets during Bear and Bull Markets." (with Elie Bouri,
Mahamitra Das and David Roubaud) (Published in Applied Economics, Vol. 50(55), 2018,
5935-5949.)
"Causal E¤ ects of the United States and Japan on Paci…c-Rim Stock Markets: Nonparametric
Quantile Causality Approach." (with Mehmet Balcilar, Duc K. Nguyen and Mark E. Wohar)
(Published in Applied Economics, Vol. 50(53), 2018, 5712-5727.)
"Firm-Level Political Risk and Asymmetric Volatility." (with Goodness C. Aye, Mehmet
Balcilar and Riza Demirer) (Published in Journal of Economic Asymmetries, Vol. 18(1),
2018, e00110.)
"The Role of Economic Uncertainty in Forecasting Exchange Rate Returns and Realized
Volatility: Evidence from Quantile Predictive Regressions." (with Christina Christou, Chris-
tis Hassapis and Tahir Suleman) (Published in Journal of Forecasting, Vol. 37(7), 2018,
705-719.)
"Information Spillover across International Real Estate Investment Trusts: Evidence from
an Entropy-Based Network Analysis." (with Qiang Ji and Hardik A. Marfatia) (Published in
North American Journal of Economics and Finance, Vol. 46(1), 2018, 103-113.)
"The Relationship between Healthcare Expenditures and Disposable Personal Income in the
US States: A Fractional Integration and Cointegration Analysis." (with Guglielmo Maria
Caporale, Juncal Cunado and Luis A. Gil-Alana) (Published in Empirical Economics, Vol.
55(3), 2018, 913-935.)
"Predicting Global Temperature Anomaly: A De…nitive Investigation Using an Ensemble of
Twelve Forecasting Models." (with Hossein Hassani, Emmanuel Sirimal Silva and Sonali Das)
(Published in Physica A: Statistical Mechanics and its Applications, Vol. 509(1), 2018, 121-
139.)
"Time-Varying Correlations between Trade Balance and Stock Prices in the United States
over the Period 1792 to 2013." (with Nikolaos Antonakakis and Aviral K. Tiwari) (Published
in Journal of Economics and Finance, Vol. 42(4), 2018, 795-806.)

                                          18

"On the Transmission Mechanism of Country-Speci…c and International Economic Uncer-
tainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition." (with David
Gabauer) (Published in Economics Letters, Vol. 171(1), 2018, 63-71.)

"Is Wine a Good Choice for Investment?" (with Elie Bouri, Wing-Keung Wong and Zhenzhen
Zhu) (Published in Paci…c-Basin Finance Journal, Vol. 51(1), 2018, 171-183.)

"The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil
Returns and Risk." (with Giovanni Bonaccolto and Massimiliano Caporin) (Published in
Physica A: Statistical Mechanics and its Applications, Vol. 507(1), 2018, 446-469.)

"Time-Varying Causality between Equity and Currency Returns in the United Kingdom: Ev-
idence from Over Two Centuries of Data." (with Patrick T. Kanda and Michael Burke)
(Published in Physica A: Statistical Mechanics and its Applications, Vol. 506(1), 2018, 1060-
1080.)

"Time-Varying E¢ ciency of Developed and Emerging Bond Markets: Evidence from Long-
Spans of Historical Data." (with Lanouar Charfeddine, Karim Ben Khediri and Goodness C.
Aye) (Published in Physica A: Statistical Mechanics and its Applications, Vol. 505(1), 2018,
632-647.)

“Social Status, In‡ation and Endogenous Growth in a Cash-in-Advance Economy: A Recon-
sideration." (with Lardo Stander) (Published in The Manchester School, Vol. 86(5), 2018,
622-640.)

"Time-Varying Rare Disaster Risks, Oil Returns and Volatility." (with Riza Demirer, Tahir
Suleman and Mark E. Wohar) (Published in Energy Economics, Vol. 75(1), 2018, 239-248.)

"Wealth-to-Income Ratio and Stock Market Movements: Evidence from a Nonparametric
Causality Test." (with Mehmet Balcilar, Ricardo M. Sousa and Mark E. Wohar) (Published
in International Review of Finance, Vol. 18(3), 2018, 495-506.)

"Does Liquidity Risk Explain the Time-Variation in Asset Correlations? Evidence from
Stocks, Bonds and Commodities." (with Zintle Twala and Riza Demirer) (Published in Jour-
nal of Economics and Behavioral Studies, Vol. 10(2J), 2018, 120-132.)

"Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Do-
mains." (with Aviral Kumar Tiwari, Juncal Cunado and Mark E. Wohar) (Published in The
Quarterly Review of Economics and Finance, Vol. 70(1), 2018, 194-202.)

"Network Causality Structures among Bitcoin and other Financial Assets: A Directed Acyclic
Graph Approach." (with Qiang Ji, Elie Bouri and David Roubaud) (Published in The Quar-
terly Review of Economics and Finance, Vol. 70(1), 2018, 203-213.)

"Macroeconomic Uncertainty, Growth and In‡ation in the Eurozone: A Causal Approach."
(with Vasilios Plakandaras, Periklis Gogas and Theophilos Papadimitriou) (Published in Ap-
plied Economics Letters, Vol. 25(14), 2018, 1029-1033.)

"E¢ ciency in South African Agriculture: A Two-Stage Fuzzy Approach." (with Goodness C.
Aye and Peter Wanke) (Published in Benchmarking: An International Journal, Vol. 25(8),
2018, 2723-2759.)

                                          19

"Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK
REITs." (with Omokolade Akinsomi, Yener Coskun and Chi Keung Marco Lau) (Published
in Journal of European Real Estate Research, Vol. 11(2), 2018, 169–186.)

"Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model
with Structural Breaks." (with Christophe Andre, Mehmet Balcilar, Tsangyao Chang and
Luis A. Gil-Alana) (Published in Journal of International Trade and Economic Development,
Vol. 27(6), 2018, 638-654.)

"Country Risk Ratings and Stock Market Returns in BRICS countries: A Nonlinear Dynamic
Approach." (with with Adnen Ben Nasr, Juncal Cunado and Riza Demirer) (Published in
Risks, Vol. 6(3), 2018, 94.)

"Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic
Uncertainty." (with Jun Ma, Marian Risse and Mark E. Wohar) (Published in Journal of
Macroeconomics, Vol. 57(1), 2018, 317-337.)

"Energy E¢ ciency Drivers in South Africa: 1965-2014." (with Goodness C. Aye and Peter
Wanke) (Published in Energy E¢ ciency, Vol. 11(6), 2018, 1465-1482.)

"Forecasting US GNP Growth: The Role of Uncertainty." (with Mawuli K. Segnon, Stelios
Bekiros and Mark E. Wohar) (Published in Journal of Forecasting, Vol. 37(5), 2018, 541-559.)

"The Relationship between the In‡ation Rate and Inequality across US States: A Semipara-
metric Approach." (with Mehmet Balcilar, Shinhye Chang and Stephen M. Miller) (Published
in Quality and Quantity, Vol. 52(5), 2018, 2413–2425.)

"Testing for Asymmetric Nonlinear Short- and Long-Run Relationships between Bitcoin, Ag-
gregate Commodity and Gold Prices." (with Elie Bouri, Amine Lahiani and Muhammad
Shahbaz) (Published in Resources Policy, Vol. 57(1), 2018, 224-235.)

"Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-
Boosting Approach." (with Matteo Bonato, Riza Demirer and Christian Pierdzioch) (Pub-
lished in Resources Policy, Vol. 57(1), 2018, 196-212.)

"Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-
in-Quantiles." (with Elie Bouri, Chi Keung Marco Lau, David Roubaud, Shixuan Wang)
(Published in The Quarterly Review of Economics and Finance, Vol. 69(1), 2018, 297-307.)

"Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South
Africa." (with Mehmet Balcilar, Renee van Eyden, Kirsten Thompson and Anandamayee
Majumdar) (Published in The Quarterly Review of Economics and Finance, Vol. 69(1),
2018, 245-259.)

"An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven
Centuries of Data." (with Vasilios Plakandaras and Mark E. Wohar) (Published in Journal
of Policy Modeling, Vol. 40(4), 2018, 767-789.)

"Endogenous Fluctuations in an Endogenous Growth Model with In‡ation Targeting." (with
Lardo Stander) (Published in The Quarterly Review of Economics and Finance, Vol. 69(1),
2018, 1-8.)

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