dc.contributor.author |
Gkillas, Konstantinos
|
|
dc.contributor.author |
Gupta, Rangan
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|
dc.contributor.author |
Pierdzioch, Christian
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|
dc.date.accessioned |
2019-11-06T05:34:40Z |
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dc.date.issued |
2020-07 |
|
dc.description.abstract |
We use a quantile-regression heterogeneous autoregressive realized volatility (QR-HAR-RV) model to study whether geopolitical risks have predictive value in sample and out-of-sample for realized gold-returns volatility estimated from intradaily data. We consider overall geopolitical risks along with a decomposition into actual risks (i.e., acts) and threats, and we control for overall the impact of economic policy uncertainty (EPU). We find that, after controlling for EPU, the components of geopolitical risks have predictive power for realized volatility mainly at a longer forecast horizon when we account for the potential asymmetry of the loss function a forecaster uses to evaluate forecasts. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2021-07-01 |
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dc.description.librarian |
hj2019 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/frl |
en_ZA |
dc.identifier.citation |
Gkillas, K., Gupta, R. & Pierdzioch, C. 2020, 'Forecasting realized gold volatility: Is there a role of geopolitical risks?', Finance Research Letters, vol. 35, art. 101280, pp. 1-6. |
en_ZA |
dc.identifier.issn |
1544-6123 (print) |
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dc.identifier.issn |
1544-6131 (online) |
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dc.identifier.other |
10.1016/j.frl.2019.08.028 |
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dc.identifier.uri |
http://hdl.handle.net/2263/72137 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2019 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 35, art. 101280, pp. 1-6, 2020. doi : 10.1016/j.frl.2019.08.028. |
en_ZA |
dc.subject |
Quantile-regression heterogeneous autoregressive realized volatility (QR-HAR-RV) |
en_ZA |
dc.subject |
Economic policy uncertainty (EPU) |
en_ZA |
dc.subject |
Forecasting |
en_ZA |
dc.subject |
Geopolitical risks (GPRs) |
en_ZA |
dc.subject |
Realized volatility |
en_ZA |
dc.subject |
Gold-price returns |
en_ZA |
dc.title |
Forecasting realized gold volatility : is there a role of geopolitical risks? |
en_ZA |
dc.type |
Postprint Article |
en_ZA |