Forecasting power of infectious diseases-related uncertainty for gold realized variance
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.101936
Abstract: Abstract We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for gold market returns volatility via the heterogeneous autoregressive realized variance (HAR-RV) model. Our results show that… read more here.
Keywords: variance; forecasting power; uncertainty; infectious diseases ... See more keywords
El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements
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DOI: 10.3390/su13147987
Abstract: We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include… read more here.
Keywords: variance; price movements; realized variance; model ... See more keywords