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On the efficiency of the gold market: Results of a real-time forecasting approach
16 references·13 citing·40 second hop
On the efficiency of the gold market: Results of a real-time forecasting approach (2014)On the efficiency of the gold market: Res…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…Is gold a safe haven? International evidence (2010)Is gold a safe haven? Interna…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Causes and Consequences of the Oil Shock of 2007–08 (2009)Causes and Consequences of th…Causes and Consequences of the Oil Shock of 2007-08 (2009)Causes and Consequences of th…Instability of return prediction models (2006)Instability of return predict…Do Precious Metals Shine? An Investment Perspective (2006)Do Precious Metals Shine? An …Gold as a hedge against the dollar (2005)Gold as a hedge against the d…Firm Size and Cyclical Variations in Stock Returns (2000)Firm Size and Cyclical Variat…Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? (1999)Implementing Statistical Crit…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…The Excess Co-Movement of Commodity Prices (1990)The Excess Co-Movement of Com…Mutual Fund Performance (1966)Mutual Fund PerformanceCryptocurrencies and precious metals: A closer look from diversification perspective (2020)Cryptocurrencies and precious…Predictability of precious metals and adaptive market hypothesis (2019)Predictability of precious me…Combining wavelet decomposition with machine learning to forecast gold returns (2019)Combining wavelet decompositi…Forecasting precious metal returns with multivariate random forests (2018)Forecasting precious metal re…Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests (2018)Determining the predictive po…Can economic policy uncertainty and investors sentiment predict commodities returns and volatility? (2017)Can economic policy uncertain…How predictable are precious metal returns? (2016)How predictable are precious …Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy (2016)Fluctuations of the real exch…A melting pot — Gold price forecasts under model and parameter uncertainty (2016)A melting pot — Gold price fo…A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss (2016)A boosting approach to foreca…On the efficiency of the global gold markets (2015)On the efficiency of the glob…Forecasting the price of gold (2015)Forecasting the price of goldGold and exchange rates: Downside risk and hedging at different investment horizons (2014)Gold and exchange rates: Down…Specification Tests in Econometrics (1978)Forecasting tourism demand: A review of empirical research (1995)Introductory Econometrics for Finance (2008)The Economics of Exhaustible Resources (1931)Oil and the Macroeconomy since World War II (1983)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Oil Price Uncertainty (2010)Oil prices, exchange rates and emerging stock markets (2011)Speculators, commodities and cross-market linkages (2013)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Conditioning Variables and the Cross Section of Stock Returns (1999)International evidence on ethical mutual fund performance and investment style (2004)Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis (2006)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Trading Volume and Serial Correlation in Stock Returns (1993)Comparing Predictive Accuracy (1994)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Manager sentiment and stock returns (2018)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A CNN–LSTM model for gold price time-series forecasting (2020)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Financialization of Commodity Markets (2013)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Financialization, crisis and commodity correlation dynamics (2012)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1966Mutual Fund Performance3,932 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2010Is gold a safe haven? International evidence1,944 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2009Causes and Consequences of the Oil Shock of 2007–081,101 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2009Causes and Consequences of the Oil Shock of 2007-081,006 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 1990The Excess Co-Movement of Commodity Prices769 cited
  • 2000Firm Size and Cyclical Variations in Stock Returns656 cited
  • 2005Gold as a hedge against the dollar572 cited
  • 1999Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?533 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2006Do Precious Metals Shine? An Investment Perspective479 cited

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  • 2006Instability of return prediction models476 cited
  • Cited by

    • 2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?148 cited
    • 2019Combining wavelet decomposition with machine learning to forecast gold returns103 cited
    • 2018Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests81 cited
    • 2015Forecasting the price of gold79 cited
    • 2020Cryptocurrencies and precious metals: A closer look from diversification perspective78 cited
    • 2014Gold and exchange rates: Downside risk and hedging at different investment horizons76 cited
    • 2018Forecasting precious metal returns with multivariate random forests58 cited
    • 2015On the efficiency of the global gold markets47 cited
    • 2016A melting pot — Gold price forecasts under model and parameter uncertainty41 cited
    • 2016How predictable are precious metal returns?33 cited
    • 2019Predictability of precious metals and adaptive market hypothesis30 cited
    • 2016A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss28 cited
    • 2016Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy22 cited