Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5103564 | The Quarterly Review of Economics and Finance | 2017 | 9 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Rangan Gupta, Anandamayee Majumdar, Christian Pierdzioch, Mark E. Wohar,