Gold has also been a store of value and hedge against economic shocks for citizens and even nations for centuries. This paper explores the unpredictable nature of exchange rate volatility and if any relationship or influence exists, on the price of gold on the world market. Using GARCH models we...

This study investigates the intraday realized volatility (RV) forecasting of gold futures in China. To predict the RV in the last half an hour before the day trading close (LH), we decompose the whole trading period into several intervals. RVs in day trading intervals can predict the RV in LH,...

Analyzing all publicly traded U.S. stocks for 2014-2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ, using daily data from CRSP, Compustat, CRSP-Compustat Merged Database, and FRED, I find that abnormal reactions are systemically all out of the system within two hours after a...

This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and...

This paper studies the relationship between industry diversity and economic stability. The economic stability has been estimated using a panel-GARCH model. Our sample consists of US county-level data for the period 2003 to 2017. The results suggest that industry diversity improves economic...

Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the...

The stock markets in developing countries are highly responsive to breaking news and events. Our research explores the impact of economic conditions, financial policies, and politics on the KSE-100 index through daily market news signals. Utilizing simple OLS regression and ARCH/GARCH regression...