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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Pierdzioch, Christian![]() |
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dc.date.accessioned | 2022-09-15T12:20:52Z | |
dc.date.available | 2022-09-15T12:20:52Z | |
dc.date.issued | 2021-09 | |
dc.description.abstract | Using data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad) counterparts. We go beyond earlier research in that we do not focus exclusively on U.S.-based measures of uncertainty, and in that we account for international spillovers of uncertainty. Our results, based on the Lasso estimator, show that, across the various model configurations that we study, uncertainty has a more systematic effect on out-of-sample forecast accuracy than spillovers. Our results have important implications for investors in terms of, for example, pricing of related derivative securities and the development of portfolio-allocation strategies. | en_US |
dc.description.department | Economics | en_US |
dc.description.librarian | am2022 | en_US |
dc.description.uri | https://www.mdpi.com/journal/mca | en_US |
dc.identifier.citation | Gupta, R.; Pierdzioch, C. Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns. Mathematical and Computational Applications 2021, 26, 49. https://DOI.org/10.3390/mca26030049. | en_US |
dc.identifier.issn | 1300-686X | |
dc.identifier.other | 10.3390/mca26030049 | |
dc.identifier.uri | https://repository.up.ac.za/handle/2263/87208 | |
dc.language.iso | en | en_US |
dc.publisher | MDPI | en_US |
dc.rights | 2021 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license. | en_US |
dc.subject | Uncertainty | en_US |
dc.subject | Spillovers | en_US |
dc.subject | Realized variance | en_US |
dc.subject | Gold | en_US |
dc.subject | Forecasting | en_US |
dc.title | Uncertainty, spillovers, and forecasts of the realized variance of gold returns | en_US |
dc.type | Article | en_US |