, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is …The price of gold is influenced by a wide range of local and global factors such as commodity prices, interest rates … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically …

Gold is a globally traded asset and held in large quantities by investors and central banks. Since there is no … established model to assess if the price of gold is overvalued or undervalued, we propose a relative valuation framework based on … gold price ratios. We analyze gold prices relative to commodity prices, consumer prices, stock prices, dividend and bond …

Gold is a globally traded asset and held in large quantities by investors and central banks. Since there is no … established model to assess if the price of gold is overvalued or undervalued, we propose a relative valuation framework based on … gold price ratios and focus on potential drivers of resulting misalignments. This idea is not confined to gold but offers …

explanations for this phenomenon are leverage and a volatility feedback effect. This paper studies the volatility of gold and … volatility by more than negative shocks. The paper argues that this effect is related to the safe haven property of gold …. Investors interpret positive gold price changes as a signal for future adverse conditions and uncertainty in other asset markets …

The relationship between gold and the stock market has attracted considerable attention in both the academic literature … and financial media since gold is perceived a safe haven for equity. This describes the empirical phenomenon that gold … the role of gold as safe haven typically focus on returns, we also investigate the relationship between gold volatility …

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 …

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is …The price of gold is influenced by a wide range of local and global factors such as commodity prices, interest rates … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically …

assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …