A note on oil price shocks and the forecastability of gold realized volatility-Reference-Cited by-同舟云学术

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A note on oil price shocks and the forecastability of gold realized volatility

Published:2020-12-07 Issue:21 Volume:28 Page:1889-1897
ISSN:1350-4851
Container-title:Applied Economics Letters
language:en
Short-container-title:Applied Economics Letters

Author:

Demirer Riza¹^ORCID,Gupta Rangan²^ORCID,Pierdzioch Christian³,Hussain Shahzad Syed Jawad⁴⁵

Affiliation:

1. Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL, USA

2. Department of Economics, University of Pretoria, Pretoria, South Africa

3. Department of Economics, Helmut Schmidt University, Hamburg, Germany

4. Montpellier Business School, France

5. South Ural State University, Russia

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/13504851.2020.1854658

Reference31 articles.

1. Jump-robust volatility estimation using nearest neighbor truncation

2. Dynamic spillovers of oil price shocks and economic policy uncertainty

3. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures

4. Computation and analysis of multiple structural change models

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Gold market volatility and REITs' returns during tranquil and turbulent episodes;International Review of Financial Analysis;2024-10

2. Extreme dependence between structural oil shocks and stock markets in GCC countries;Resources Policy;2022-06

3. Forecasting output growth of advanced economies over eight centuries: The role of gold market volatility as a proxy of global uncertainty;Resources Policy;2022-03

4. Do oil-price shocks predict the realized variance of U.S. REITs?;Energy Economics;2021-12

5. Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns;Mathematical and Computational Applications;2021-07-02

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