Author
Rangan Gupta
Other affiliations: University of Connecticut, Eastern Mediterranean University, University of Cyprus ...read more
Bio: Rangan Gupta is an academic researcher from University of Pretoria. The author has contributed to research in topics: Volatility (finance) & Monetary policy. The author has an hindex of 57, co-authored 1098 publications receiving 16142 citations. Previous affiliations of Rangan Gupta include University of Connecticut & Eastern Mediterranean University.
Papers published on a yearly basis
Papers
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TL;DR: In this article, a non-parametric causality-in-quantiles test was employed to analyse the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective conditional distributions.
528 citations
TL;DR: In this article, the authors examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets, by decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails.
466 citations
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TL;DR: In this article, the authors analyse whether Bitcoin can hedge uncertainty using daily data for the period of 17th March, 2011, to 7th October, 2016, and find that Bitcoin does act as a hedge against uncertainty, that is, it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns.
Abstract: In this study, we analyse whether Bitcoin can hedge uncertainty using daily data for the period of 17th March, 2011, to 7th October, 2016. Global uncertainty is measured by the first principal component of the VIXs of 14 developed and developing equity markets. We first use wavelets to decompose Bitcoin returns into various frequencies, i.e., investment horizons. Then, we apply standard OLS regressions and observe that uncertainty negatively affects raw Bitcoin return and its longer-term movements. However, given the heavy tails of the variables, we rely on quantile methods and reveal much more nuanced and interesting results. Quantile regressions indicate that Bitcoin does act as a hedge against uncertainty, that is, it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Finally, when we use quantile-on-quantile regressions, we observe that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty.
422 citations
TL;DR: In this article, the causal link between electricity consumption, economic growth and CO 2 emissions in the BRICS countries (i.e., Brazil, Russia, India, China, and South Africa) for the period 1990-2010, using panel causality analysis.
340 citations
TL;DR: The authors investigated the role of oil prices in predicting stock returns and found that both positive and negative oil price changes are important predictors of US stock returns, with negative changes relatively more important.
312 citations
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TL;DR: A theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification.
Abstract: Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.
4,284 citations
01 Jan 2002
TL;DR: This article investigated whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997) with negative results.
Abstract: We investigate whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997), with negative results. We then investigate the evolution of income inequality over the same period and its correlation with growth. The dominating feature is inequality convergence across countries. This convergence has been significantly faster amongst developed countries. Growth does not appear to influence the evolution of inequality over time. Outline
3,770 citations
01 Jan 1990
TL;DR: An overview of the self-organizing map algorithm, on which the papers in this issue are based, is presented in this article, where the authors present an overview of their work.
Abstract: An overview of the self-organizing map algorithm, on which the papers in this issue are based, is presented in this article.
2,933 citations