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Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: International Review of Finance 22 (2021) 3, pp. 540-550

We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR‐RV) model....

Persistent link: https://www.econbiz.de/10013382234

El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of Forecasting 42 (2022) 4, pp. 785-801

We examine the predictive value of El Niño and La Niña weather episodes for the subsequent realized variance of 16 agricultural commodity prices. To this end, we use high‐frequency data covering the period from 2009 to 2020 to estimate the realized variance along realized skewness, realized...

Persistent link: https://www.econbiz.de/10014503817

Climate risks and realized volatility of major commodity currency exchange rates

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - 2022

Persistent link: https://www.econbiz.de/10012820396

Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts : a note

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: International review of finance : the official journal … 22 (2022) 3, pp. 540-550

Persistent link: https://www.econbiz.de/10013413249

Climate risks and realized volatility of major commodity currency exchange rates

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of financial markets 62 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014226734

El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices : evidence from a machine learning approach

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of forecasting 42 (2023) 4, pp. 785-801

Persistent link: https://www.econbiz.de/10014292795

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