Gold futures returns and realized moments : a forecasting experiment using a quantile-boosting approach

Show simple item record Bonato, Matteo Demirer, Riza Gupta, Rangan Pierdzioch, Christian 2018-04-17T11:46:30Z 2018-08
dc.description.abstract This paper proposes an iterative model-building approach known as quantile boosting to trace out the predictive value of realized volatility and skewness for gold futures returns. Controlling for several widely studied market- and sentiment-based variables, we examine the predictive value of realized moments across alternative forecast horizons and across the quantiles of the conditional distribution of gold futures returns. We find that the realized moments often significantly improve the predictive value of the estimated forecasting models at intermediate forecast horizons and across quantiles representing distressed market conditions. We argue that realized moments carry information that reflects investors’ tradeoff between diversification and skewed payoffs, particularly during periods of market stress, which may be especially relevant for gold as the traditional accepted safe haven. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2019-08-01
dc.description.librarian hj2018 en_ZA
dc.description.sponsorship The German Science Foundation (Project Macroeconomic Forecasting in Great Crises; Grant number: FR 2677/4-1). en_ZA
dc.description.uri en_ZA
dc.identifier.citation Bonato, M., Demirer, R., Gupta, R. & Pierdzioch, C. 2018, 'Gold futures returns and realized moments : a forecasting experiment using a quantile-boosting approach', Resources Policy, vol. 57, pp. 196-212. en_ZA
dc.identifier.issn 1873-7641 (online)
dc.identifier.issn 0301-4207 (print)
dc.identifier.other 10.1016/j.resourpol.2018.03.004
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2018 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. 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 Resources Policy, vol. 57, pp. 196-212, 2018. doi : 10.1016/j.resourpol.2018.03.004. en_ZA
dc.subject Quantile boosting en_ZA
dc.subject Forecasting en_ZA
dc.subject Realized skewness en_ZA
dc.subject Realized volatility en_ZA
dc.subject Gold futures returns en_ZA
dc.subject Predictive values en_ZA
dc.subject Market condition en_ZA
dc.subject Conditional distribution en_ZA
dc.subject Boosting approach en_ZA
dc.subject Investments en_ZA
dc.subject Higher order statistics en_ZA
dc.subject Gold en_ZA
dc.title Gold futures returns and realized moments : a forecasting experiment using a quantile-boosting approach en_ZA
dc.type Postprint Article en_ZA

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