کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7387539 | 1480746 | 2018 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
ترجمه فارسی عنوان
معاملات آتی طلا باز می گردد و لحظات تحقق می یابد: یک آزمایش پیش بینی شده با استفاده از یک رویکرد تقویت کیفی
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موضوعات مرتبط
مهندسی و علوم پایه
علوم زمین و سیارات
زمین شناسی اقتصادی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Resources Policy - Volume 57, August 2018, Pages 196-212
Journal: Resources Policy - Volume 57, August 2018, Pages 196-212
نویسندگان
Matteo Bonato, Riza Demirer, Rangan Gupta, Christian Pierdzioch,