Stock market bubbles and the forecastability of gold returns and volatility
Sign Up to like & getrecommendations! Published in 2024 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2887
Abstract: In this article, multi‐scale LPPLS confidence indicator approach is used to detect both positive and negative bubbles at short‐, medium‐, and long‐term horizons for the stock markets of the G7 and the BRICS countries. This… read more here.
Keywords: positive negative; returns volatility; gold returns; stock markets ... See more keywords
Forecasting Gold Returns Volatility Over 1258–2023: The Role of Moments
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DOI: 10.1002/asmb.70042
Abstract: We analyze the role of leverage, lower and upper tail risks, skewness, and kurtosis of real gold returns in forecasting its volatility over the annual data sample from 1258 to 2023. To conduct our forecasting… read more here.
Keywords: 1258 2023; role moments; gold returns; volatility ... See more keywords
Measuring the response of gold prices to uncertainty: An analysis beyond the mean
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DOI: 10.1016/j.econmod.2018.06.010
Abstract: This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty… read more here.
Keywords: gold prices; uncertainty; measuring response; gold ... See more keywords