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The autumn effect of gold
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
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Department of Economics, Adam Smith Business School
We use factor augmented vector autoregressive models with time-varying coe¢ cients to construct a …nancial conditions index. The time-variation in the parameters allows for the weights attached to each …nancial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011019232
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each .financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10010678559
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A New Index of Financial Conditions
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
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Forecasting the Price of Gold Using Dynamic Model Averaging
Aye, Goodness; Gupta, Rangan; Hammoudeh, Shawkat; Kim, … - Institut de Préparation à l'Administration et à la … - 2014
We develop models for examining possible predictors of the return on gold that embrace six global factors (business … return of gold. The DMS is the best overall across all forecast horizons. Generally, all the predictors show strong …’s financial stress index appear to be strong at almost all horizons and sub-periods. However, the forecasting prowess of the …
Persistent link: https://www.econbiz.de/10010891025
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Gold, Oil, and Stocks
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - Institut für Volkswirtschaftslehre, … - 2014
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 …
Persistent link: https://www.econbiz.de/10010986556
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Gold, Oil, and Stocks: Dynamic Correlations
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
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 …
Persistent link: https://www.econbiz.de/10011272625
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Multifractal Models in Finance: Their Origin, Propterties, and Applications
Segnon, Mawuli; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2013
forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …
Persistent link: https://www.econbiz.de/10010886985
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Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns
Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010
Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a...
Persistent link: https://www.econbiz.de/10008462030
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European and Non-European Emerging Market Currencies: Forward Premium Puzzle and Fundamentals
Backé, Peter; Schardax, Franz - In: Focus on European Economic Integration (2009) 2, pp. 56-66
The empirical literature has consistently rejected that the uncovered interest parity (UIP) theorem holds in practice, thus posing the well-known forward premium puzzle. In this study, we examine this issue for a sample of 18 emerging market currencies and, in addition, for a subsample of 6...
Persistent link: https://www.econbiz.de/10008543855