Andrews, D.W.K. (1993) Tests for parameter instability and structural change with unknown change point. Econometrica, 61, 821–856.
- Balcilar, M., Genç, İ.H., and Gupta, R. (2018). The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests. Recent Topics, In Time Series and Finance: Theory and Applications in Emerging Markets, Edited by: Semei Coronado, Omar Rojos, and Francisco Venegas-Martinez, Chapter 5, 121-161, Universidad de Guadalajara.
Paper not yet in RePEc: Add citation now
- Balcilar, M., Gupta, R., Jooste, C., and Wohar, M.E. (2016). Periodically collapsing bubbles in the South African stock market? Research in International Business and Finance, 38, 191– 201.
Paper not yet in RePEc: Add citation now
- Bańbura, M., Giannone, D., and Reichlin, L. (2011). Nowcasting. Oxford Handbook on Economic Forecasting, Edited by Michael P. Clements and David F. Hendry, pages 63–90. Oxford University Press.
Paper not yet in RePEc: Add citation now
Ben Nasr, A., Balcilar, M., Ajmi, A.N., Aye, G.C., Gupta, R., and van Eyden, R. (2015). Causality between inflation and inflation uncertainty in South Africa: evidence from a Markovswitching vector autoregressive model. Emerging Markets Review, 24, 46–68.
Bhattacharyya, I., and Sensarma, R. (2008). How effective are monetary policy signals in India? Journal of Policy Modeling, 30(1), 169–183.
- Biswas, S., Hanson, A., and Phan, T. (2020). Bubbly Recessions. American Economic Journal: Macroeconomics, 12(4), 33–70.
Paper not yet in RePEc: Add citation now
- Brock, W., Dechert, D., Scheinkman, J., and LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews, 15, 197–235.
Paper not yet in RePEc: Add citation now
Caraiani, P., and Călin, A.C. (2018). The effects of monetary policy on stock market bubbles at zero lower bound: Revisiting the evidence. Economics Letters, 169, 55–58.
Caraiani, P., Gupta, R., Nel, J., and Nielsen, J. (2023). Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development. Economic Analysis and Policy, 78, 133–155.
Cepni, O., and Gupta, R. (2021). Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment. The North American Journal of Economics and Finance, 58, 101550.
Cepni, O., Gupta, R., and Ji, Q. (2021). Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries.
Chang, T., Gil-Alana, L., Aye, G.C., Gupta, R., and Ranjbar, O. (2016). Testing for bubbles in the BRICS stock markets. Journal of Economic Studies, 43(4), 646–660.
Demirer, R., Demos, G., Gupta, R., and Sornette, D. (2019). On the predictability of stock market bubbles: Evidence from LPPLS confidence multi-scale indicators. Quantitative Finance, 19(5), 843–858.
- Diks, C.G.H., and Panchenko, V. (2005). A note on the Hiemstra–Jones test for Granger noncausality. Studies in Nonlinear Dynamics and Econometrics, 9(2), 1–7.
Paper not yet in RePEc: Add citation now
Diks, C.G.H., and Panchenko, V. (2006). A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics and Control, 30(9– 10), 1647–1669.
Filimonov, V., and Sornette, D. (2013). A stable and robust calibration scheme of the logperiodic power law model. Physica A: Statistical Mechanics and its Applications, 392(17), 3698–3707.
Galí, J. (2014). Monetary policy and rational asset price bubbles. American Economic Review, 104(3), 721–52.
Galí, J., and Gambetti, L. (2015). The effects of monetary policy on stock market bubbles: Some evidence. American Economic Journal: Macroeconomics, 7, 233–257.
Gupta, R., Nel, J., and Nielsen, J. (2023). US monetary policy and BRICS stock market bubbles. Finance Research Letters, 51, 103435.
Hiemstra, C., and Jones, J.D. (1994). Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance, 49(5), 1639–1664.
Huang, D., and Kilic, M. (2019). Gold, platinum, and expected stock returns. Journal of Financial Economics, 132, 50–75.
Jeong, K., Härdle, W.K., and Song, S. (2012). A consistent nonparametric test for causality in quantile. Econometric Theory, 28(4), 861–887.
Johansen, A., Ledoit, O., and Sornette, D. (2000). Crashes as critical points. International Journal of Theoretical and Applied Finance, 2, 219–255.
- Johansen, A., Sornette, D., and Ledoit, O. (1999). Predicting Financial Crashes using discrete scale invariance. Journal of Risk, 1(4), 5–32.
Paper not yet in RePEc: Add citation now
- Jordà, Ò., Schularick, M., and Taylor, A.M. (2015). Leveraged Bubbles. Journal of Monetary Economics, 76, S1–S20.
Paper not yet in RePEc: Add citation now
- Journal of Behavioral Finance. DOI: https://doi.org/10.1080/15427560.2021.1983576.
Paper not yet in RePEc: Add citation now
Khuntia, S., and Hiremath, G.S. (2019). Monetary Policy Announcements and Stock Returns: Some Further Evidence from India. Journal of Quantitative Economics, 17(2), 801–827.
- Kraft, D. (1988). A software package for sequential quadratic programming. Technical Report DFVLR-FB 88-28, Institut für Dynamik der Flugsysteme, Oberpfaffenhofen.
Paper not yet in RePEc: Add citation now
Lakdawala, A. (2021). The growing impact of US monetary policy on emerging financial markets: Evidence from India. Journal of International Money and Finance, 119, 102478.
Lakdawala, A., and Schaffer, M. (2019). Federal reserve private information and the stock market. Journal of Banking & Finance, 106, 34–49. Lakdawala, A., and Sengupta, R. (Forthcoming). Measuring monetary policy shocks in emerging economies: Evidence from India. Journal of Money, Credit and Banking.
Ma, L. and R. Koenker (2006). Quantile regression methods for recursive structural equation models, Journal of Econometrics, 134, 471–506.
Müller, U.A., Dacorogna, M.M., Davé, R.D., Olsen, R.B., and Pictet, O.V. (1997). Volatilities of different time resolutions: Analyzing the dynamics of market components. Journal of Empirical Finance, 4, 213–239.
Nakamura, E., and Steinsson, J. (2018a). High-frequency identification of monetary nonneutrality: the information effect. The Quarterly Journal of Economics, 133(3), 1283–1330.
Nakamura, E., and Steinsson, J. (2018b). Identification in Macroeconomics. Journal of Economic Perspectives, 32, 59–86.
Narayan, P.K., Sharma, S.S., and Phan, D.H.B. (2016). Asset price bubbles and economic welfare. International Review of Financial Analysis, 44(C), 139–148.
Nishiyama, Y., Hitomi, K., Kawasaki, Y., and Jeong, K. (2011). A consistent nonparametric test for nonlinear causality - Specification in time series regression. Journal of Econometrics, 165, 112–127.
Pal, K., and Mittal, R. (2011). Impact of macroeconomic indicators on Indian capital markets. The Journal of Risk Finance, 12(2), 84–97.
Pan, L., and Mishra, V. (2022). International portfolio diversification possibilities: Can BRICS become a destination for US investors? Applied Economics, 54(20), 2302–2319.
Pan, W-F. (2020). Does Investor Sentiment Drive Stock Market Bubbles? Beware of Excessive Optimism!, Journal of Behavioral Finance, 21(1), 27–41.
Prabu, A.E., Bhattacharyya, I., and Ray, P. (2016). Is the stock market impervious to monetary policy announcements: Evidence from emerging India. International Review of Economics & Finance, 46(C), 166–179.
Prabu, A.E., Bhattacharyya, I., and Ray, P. (2020). Impact of monetary policy on the Indian stock market: Does the devil lie in the detail? Indian Economic Review, 55, 27–50.
Rajan, R. (2015). Competitive Monetary Easing: Is it Yesterday Once More?, Macroeconomics and Finance in Emerging Market Economies, 8(1-2), 5–16.
Reinhart, C. M., and Rogoff, K.S. (2009). This Time is Different: Eight Centuries of Financial Folly. Princeton: Princeton University Press.
Sim, N., and Zhou, A. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1–8.
Singh, B., and Pattanaik, S. (2012). Monetary policy and asset price interactions in India: Should financial stability concerns from asset prices be addressed through monetary policy? Journal of Economic Integration, 27(1), 167–194.
- Sornette, D. (2003). Why stock markets crash: Critical events in complex Financial systems. Princeton University Press, New Jersey.
Paper not yet in RePEc: Add citation now
- Sornette, D., Cauwels, P., and Smilyanov, G. (2018). Can we use volatility to diagnose financial bubbles? Lessons from 40 historical bubbles. Quantitative Finance and Economics, 2(1), 486–590.
Paper not yet in RePEc: Add citation now
Sornette, D., Demos, G., Zhang, Q., Cauwels, P., Filimonov, V., and Zhang, Q. (2015). Realtime prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash. Journal of Investment Strategies, 4, 77–95.
van Eyden, R., Gupta, R., Nielsen, J., and Bouri, E. (2023). Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries. Journal of Behavioral and Experimental Finance, 38, 100804.
- Zhang, Q., Sornette, D., Balcilar, M., Gupta, R., Ozdemir, Z.A., and Yetkiner, H. (2016). LPPLS bubble indicators over two centuries of the S&P 500 index. Physica A: Statistical Mechanics and its Applications, 458(C), 126–139.
Paper not yet in RePEc: Add citation now