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A melting pot : gold price forecasts under model and parameter uncertainty

Baur, Dirk G.; Beckmann, Joscha; Czudaj, Robert - In: International review of financial analysis 48 (2016), pp. 282-291

Persistent link: https://www.econbiz.de/10011624523

Baur, Dirk G. - In: Research in International Business and Finance 27 (2013) 1, pp. 1-11

This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold … statistically significant gold price changes. This “autumn effect” holds unconditionally and conditional on several risk factors. We … stock market, wedding season gold jewelery demand in India and negative investor sentiment due to shorter daylight time. The …

Persistent link: https://www.econbiz.de/10011043142

Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - In: Energy Economics 40 (2013) C, pp. 665-678

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10010868790

Do professional forecasters apply the Phillips curve and Okun's law? Evidence from six Asian-Pacific countries

Rülke, Jan-Christoph - In: Japan and the World Economy 24 (2012) 4, pp. 317-324

curve, the price Phillips curve, and Okun's law when forecasting macroeconomic variables. This result is robust when using …

Persistent link: https://www.econbiz.de/10011056226

Investing in gold: Individual asset risk in the long run

Michis, Antonis A. - In: Finance Research Letters 11 (2014) 4, pp. 369-374

This study examines gold’s contribution to portfolio risk over different time scales. The analysis is based on wavelet … decompositions of the variances and covariances associated with a portfolio that includes gold, stocks, 10-year government bonds and … three-month Treasury bills. The results suggest that gold provides the lowest contribution to portfolio risk only when …

Persistent link: https://www.econbiz.de/10011118180

Is gold a safe haven against equity market investment in emerging and developing countries?

Gürgün, Gözde; Ünalmış, İbrahim - In: Finance Research Letters 11 (2014) 4, pp. 341-348

The hedge and safe haven properties of gold in advanced economies’ financial markets are well documented in the … aims to fill this gap by empirically analyzing the hedge and safe haven properties of gold against equity market investment … also check whether our findings differ in the post-global crisis period. Our results show that for domestic investors, gold …

Persistent link: https://www.econbiz.de/10011118183

A utility based approach to energy hedging

Cotter, John; Hanly, Jim - In: Energy Economics 34 (2012) 3, pp. 817-827

A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses...

Persistent link: https://www.econbiz.de/10010571697

Time-varying performance of international mutual funds

Turtle, H.J.; Zhang, Chengping - In: Journal of Empirical Finance 19 (2012) 3, pp. 334-348

We examine the ability of one- and two-factor regime switching models to describe US, developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns without the need to model...

Persistent link: https://www.econbiz.de/10010572320

Cryptocurrency policy uncertainty and gold return forecasting : a dynamic Occam's window approach

Shang, Yue; Wei, Yu; Chen, Yongfei - In: Finance research letters 50 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014239966

Oil price risk exposure: The case of the U.S. Travel and Leisure Industry

Mohanty, Sunil; Nandha, Mohan; Habis, Essam; Juhabi, Eid - In: Energy Economics 41 (2014) C, pp. 117-124

We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price sensitivities vary...

Persistent link: https://www.econbiz.de/10010729341

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