Economic theory predicts that, in a small open economy, the dynamics of the real price of gold should be linked to real interest rates and the rate of change of the real exchange rate. Using data for Australia, we use a real-time forecasting approach to analyze whether real interest rates and...

We use a boosting approach to study the time-varying out-of-sample informational content of various financial and macroeconomic variables for forecasting the volatility of gold-price fluctuations. We use an out-of-sample R2 statistic to evaluate forecasts as a function of the shape of a...

We use a quantile-boosting approach to compute out-of-sample forecasts of gold returns. The approach accounts for model uncertainty and model instability, and it allows forecasts to be computed under asymmetric loss functions. Different asymmetric loss functions represent different types of...

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante...