Bonato, MatteoDemirer, RizaGupta, RanganPierdzioch, Christian2018-04-172018-08Bonato, 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. 196-212.1873-7641 (online)0301-4207 (print)10.1016/j.resourpol.2018.03.004http://hdl.handle.net/2263/64595This 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© 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.Quantile boostingForecastingRealized skewnessRealized volatilityGold futures returnsPredictive valuesMarket conditionConditional distributionBoosting approachInvestmentsHigher order statisticsGoldPostprint Article