Article ID Journal Published Year Pages File Type
5103564 The Quarterly Review of Economics and Finance 2017 9 Pages PDF
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
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