Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns
Using data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad) counterparts. We go beyond earlier research i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-07-01
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| Series: | Mathematical and Computational Applications |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2297-8747/26/3/49 |