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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

We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from 1859:11 to 2023:04. We utilize a quantile predictive regression model, which is able to accommodate nonlinearity and structural breaks. In-sample results show that the...

Persistent link: https://www.econbiz.de/10014353168

Financial uncertainty and gold market volatility : evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) approach with variable selection

Chuang, O-Chia; Gupta, Rangan; Pierdzioch, Christian; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-17

We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selection. Based on data over the period of July 1992 to May...

Persistent link: https://www.econbiz.de/10015272706

Do banks' buy and sell recommendations influence stock market volatility? : evidence from the German DAX30

Hendriks, Torben W.; Kempa, Bernd; Pierdzioch, Christian - In: The European journal of finance 18 (2012) 1/2, pp. 29-39

Persistent link: https://www.econbiz.de/10009565257

Business-cycle fluctuations and international equity correlations

Kizys, Renatas; Pierdzioch, Christian - In: Global finance journal 17 (2006) 2, pp. 252-270

Persistent link: https://www.econbiz.de/10003395948

Forecasting realized oil-price volatility : the role of financial stress and asymmetric loss

Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of international money and finance 104 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012395236

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

Financial uncertainty and gold market volatility : evidence from a GARCHMIDAS approach with variable selection

Chuang, O-Chia; Gupta, Rangan; Pierdzioch, Christian - 2024

Persistent link: https://www.econbiz.de/10015066787

Forecasting stock returns volatility of the G7 over centuries : the role of climate risks

Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024

Persistent link: https://www.econbiz.de/10014553267

Climate risk and the volatility of agricultural commodity price fluctuations : a prediction experiment

Gupta, Rangan; Pierdzioch, Christian - In: Behavioral Finance and Asset Prices : The Influence of …, (pp. 23-44). 2023

Persistent link: https://www.econbiz.de/10014282545

Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach

Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014288917