Gold, Platinum and the Predictability of Bond Risk Premia
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- Bouri, Elie & Demirer, Riza & Gupta, Rangan & Wohar, Mark E., 2021. "Gold, platinum and the predictability of bond risk premia," Finance Research Letters, Elsevier, vol. 38(C).
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- Rangan Gupta & Christian Pierdzioch & Wing-Keung Wong, 2021. "A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202158, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022.
"Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios,"
International Review of Financial Analysis, Elsevier, vol. 83(C).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021. "Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202161, University of Pretoria, Department of Economics.
- Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen, 2023. "Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets," Working Papers 202317, University of Pretoria, Department of Economics.
- Jixiang, Zhang & Feng, Ma, 2024. "Video apps user engagement and stock market volatility: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
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- Wang, Jiashun & Wang, Jiqian & Ma, Feng, 2024. "International commodity market and stock volatility predictability: Evidence from G7 countries," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 62-71.
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More about this item
Keywords
Bond Premia; Predictability; Gold-Platinum Price Ratio; Out-of-Sample Forecasts;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2019-09-16 (Financial Markets)
- NEP-FOR-2019-09-16 (Forecasting)
- NEP-ORE-2019-09-16 (Operations Research)
- NEP-RMG-2019-09-16 (Risk Management)
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