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Forecasting Realized Stock-Market Volatility : Do Industry Returns Have Predictive Value?

Demirer, Riza; Gupta, Rangan; Pierdzioch, Christian - 2021

bad) stock market volatility, we show that incorporating the information in lagged industry returns can help improve out …-of sample forecasts of aggregate stock market volatility. While the predictive contribution of industry level returns is not … crisis, highlighting the informational value of real economic activity on stock market volatility dynamics. Finally, we show …

Persistent link: https://www.econbiz.de/10013249490

A note on investor happiness and the predictability of realized volatility of gold

Bonato, Matteo; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012805333

Forecasting realized volatility of bitcoin returns : tail events and asymmetric loss

Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: The European journal of finance 27 (2021) 16, pp. 1626-1644

Persistent link: https://www.econbiz.de/10012872908

Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data

Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244

Persistent link: https://www.econbiz.de/10014326299

Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data

Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022

Persistent link: https://www.econbiz.de/10013166706

Climate risks and state-level stock-market realized volatility

Bonato, Matteo; Ҫepni, Oğuzhan; Gupta, Rangan; … - 2022

Persistent link: https://www.econbiz.de/10013448268

Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023

Persistent link: https://www.econbiz.de/10014304985

Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

Persistent link: https://www.econbiz.de/10012204443

Forecasting gold-price fluctuations : a real-time boosting approach

Pierdzioch, Christian; Risse, Marian; Rohloff, Sebastian - In: Applied economics letters 22 (2015) 1/3, pp. 46-50

Persistent link: https://www.econbiz.de/10010482090

Forecasting power of infectious diseases-related uncertainty for gold realized variance

Bouri, Elie; Gkillas, Konstantinos; Gupta, Rangan; … - In: Finance research letters 42 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10014581420

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