Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach
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Date
Authors
Gupta, Rangan
Majumdar, Anandamayee
Pierdzioch, Christian
Wohar, Mark E.
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
Much significant research has been done to study how terror attacks affect financial markets. We contribute to this research by studying whether terror attacks, in addition to standard predictors considered in earlier research, help to predict gold returns. To this end, we use a quantile-predictive-regression (QPR) approach that accounts for model uncertainty and model instability. We find that terror attacks have predictive value for the lower and especially for the upper quantiles of the conditional distribution of gold returns.
Description
Keywords
Quantile-predictive-regression (QPR), Gold returns, Terror attacks, Quantile regression, Forecasting model
Sustainable Development Goals
Citation
Gupta, R., Majumdar, A., Pierdzioch, C. & Wohar, M.E. 2017, 'Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach',
Quarterly Review of Economics and Finance, vol. 65, pp. 276-284.