Chai, Jian; Zhao, Chenyu; Hu, Yi; Zhang, Zhe George - In: Journal of management science and engineering 6 (2021) 2, pp. 135-145
relationship between the gold price returns and its affecting factors. Then we use the STL-ETS, neural network and Bayesian … structural time series model to predict the gold price returns, and compare their performance with the benchmark models. The … results show that the shocks of crude oil returns and VIX have the positive effect on gold price returns, the shocks of the US …