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Financial uncertainty and gold market volatility : evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) approach with variable selection
Chuang, O-Chia; Gupta, Rangan; Pierdzioch, Christian; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-17
We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selection. Based on data over the period of July 1992 to May...
Persistent link: https://www.econbiz.de/10015272706
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Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach
Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014288917