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Forecasting the realized variance of oil-price returns using machine learning : is there a role for U.S. state-level uncertainty?

Çepni, Oğuzhan; Gupta, Rangan; Pienaar, Daniel; … - In: Energy economics 114 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013477404

Stock market bubbles and the realized volatility of oil price returns

Gupta, Rangan; Nielsen, Joshua; Pierdzioch, Christian - 2023

Persistent link: https://www.econbiz.de/10014329736

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

Demirer, Rıza; Gupta, Rangan; Pierdzioch, Christian; … - In: Applied economics letters 28 (2021) 21, pp. 1889-1897

Persistent link: https://www.econbiz.de/10012697706

Forecasting realized oil-price volatility : the role of financial stress and asymmetric loss

Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of international money and finance 104 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012395236

Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data

Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022

Persistent link: https://www.econbiz.de/10013166706

Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023

Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023

Persistent link: https://www.econbiz.de/10014304985

Do oil-price shocks predict the realized variance of U.S. REITs?

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Energy economics 104 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013364407

Predicting recessions in Germany with boosted regression trees

Döpke, Jörg; Fritsche, Ulrich; Pierdzioch, Christian - 2015 - First version: October 2015

We use a machine-learning approach known as Boosted Regression Trees (BRT) to reexamine the usefulness of selected leading indicators for predicting recessions. We estimate the BRT approach on German data and study the relative importance of the indicators and their marginal effects on the...

Persistent link: https://www.econbiz.de/10011381289

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

A boosting approach to forecasting gold and silver returns : economic and statistical forecast evaluation

Pierdzioch, Christian; Risse, Marian; Rohloff, Sebastian - In: Applied economics letters 23 (2016) 4/6, pp. 347-352

Persistent link: https://www.econbiz.de/10011430599

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