Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Majumdar, Anandamayee | |
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.author | Wohar, Mark E. | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2018-01-17T09:50:04Z | |
| dc.date.issued | 2017-08 | |
| dc.description.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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2018-08-30 | |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.uri | http:// www.elsevier.com/locate/qref | en_ZA |
| dc.identifier.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. | en_ZA |
| dc.identifier.issn | 1062-9769 | |
| dc.identifier.other | 10.1016/j.qref.2017.01.005 | |
| dc.identifier.uri | http://hdl.handle.net/2263/63582 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2017 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Quarterly Review of Economics and Finance. 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 Quarterly Review of Economics and Finance, vol. 65, pp. 276-284, 2017. doi : 10.1016/j.qref.2017.01.005. | en_ZA |
| dc.subject | Quantile-predictive-regression (QPR) | en_ZA |
| dc.subject | Gold returns | en_ZA |
| dc.subject | Terror attacks | en_ZA |
| dc.subject | Quantile regression | en_ZA |
| dc.subject | Forecasting model | en_ZA |
| dc.title | Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach | en_ZA |
| dc.type | Postprint Article | en_ZA |