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Realized correlations, betas and volatility spillover in the agricultural commodity market : what has changed?

Bonato, Matteo - In: Journal of international financial markets, … 62 (2019), pp. 184-202

Persistent link: https://www.econbiz.de/10012262524

Robust estimation of skewness and kurtosis in distributions with infinite higher moments

Bonato, Matteo - In: Finance research letters 8 (2011) 2, pp. 77-87

Persistent link: https://www.econbiz.de/10009301294

The predictive power of industrial electricity usage revisited: evidence from non-parametric causality tests

Bonato, Matteo; Demirer, Riza; Gupta, Rangan - In: OPEC Energy Review 42 (2018) 2, pp. 93-106

Persistent link: https://www.econbiz.de/10012095541

El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of Forecasting 42 (2022) 4, pp. 785-801

We examine the predictive value of El Niño and La Niña weather episodes for the subsequent realized variance of 16 agricultural commodity prices. To this end, we use high‐frequency data covering the period from 2009 to 2020 to estimate the realized variance along realized skewness, realized...

Persistent link: https://www.econbiz.de/10014503817

Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: International Review of Finance 22 (2021) 3, pp. 540-550

We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR‐RV) model....

Persistent link: https://www.econbiz.de/10013382234

Forecasting realized volatility of international REITs : The role of realized skewness and realized kurtosis

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of Forecasting 41 (2021) 2, pp. 303-315

Persistent link: https://www.econbiz.de/10012632578

Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts : A note

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: International Review of Finance 22 (2021) 3, pp. 540-550

Persistent link: https://www.econbiz.de/10012635392

Forecasting realized volatility of international REITs : the role of realized skewness and realized kurtosis

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 41 (2022) 2, pp. 303-315

Persistent link: https://www.econbiz.de/10012817752

Climate risks and realized volatility of major commodity currency exchange rates

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - 2022

Persistent link: https://www.econbiz.de/10012820396

A note on investor happiness and the predictability of realized volatility of gold

Bonato, Matteo; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012805333