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Safe havens, machine learning, and the sources of geopolitical risk : a forecasting analysis using over a century of data
Gupta, Rangan; Karmakar, Sayar; Pierdzioch, Christian - 2022
Persistent link: https://www.econbiz.de/10012794059
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Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; … - In: The European journal of finance 24 (2018) 4/6, pp. 333-346
Persistent link: https://www.econbiz.de/10012244323
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Business cycle volatility in Germany
Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002
Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the...
Persistent link: https://www.econbiz.de/10011475861
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Nonlinear expectation formation in the U.S. stock market : empirical evidence from the Livingston survey
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015
recent returns change. We find that survey participants form stabilizing expectations in the long run. Short-run expectations …
Persistent link: https://www.econbiz.de/10011452463
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Does partisan conflict predict a reduction in US stock market (realized) volatility? : evidence from a quantile-on-quantile regression model
Gupta, Rangan; Pierdzioch, Christian; Selmi, Refk; … - In: The North American journal of economics and finance : a … 43 (2018), pp. 87-96
Persistent link: https://www.econbiz.de/10012036263
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Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467
Persistent link: https://www.econbiz.de/10012203261
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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
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Forecasting precious metal returns with multivariate random forests
Pierdzioch, Christian; Risse, Marian - In: Empirical economics : a journal of the Institute for … 58 (2020) 3, pp. 1167-1184
Persistent link: https://www.econbiz.de/10012219543
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Do terror attacks predict gold returns? : evidence from a quantile-predictive-regression approach
Gupta, Rangan; Majumdar, Anandamayee; Pierdzioch, Christian - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 276-284
Persistent link: https://www.econbiz.de/10011792493
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On the short-term predictability of stock returns : a quantile boosting approach
Demirer, Rıza; Pierdzioch, Christian; Zhang, Huacheng - In: Finance research letters 22 (2017), pp. 35-41
Persistent link: https://www.econbiz.de/10011807952