Zobrazeno 1 - 10
of 83
pro vyhledávání: '"Pierdzioch P"'
Autor:
Rangan Gupta, Christian Pierdzioch
Publikováno v:
Mathematics, Vol 12, Iss 18, p 2952 (2024)
Motivated by the comovement of realized volatilities (RVs) of agricultural commodity prices, we study whether multi-task forecasting algorithms improve the accuracy of out-of-sample forecasts of 15 agricultural commodities during the sample period fr
Externí odkaz:
https://doaj.org/article/3858a05ce96b42cc978105b2772b0f5a
Autor:
Rangan Gupta, Christian Pierdzioch
Publikováno v:
Financial Innovation, Vol 9, Iss 1, Pp 1-22 (2023)
Abstract Because the U.S. is a major player in the international oil market, it is interesting to study whether aggregate and state-level economic conditions can predict the subsequent realized volatility of oil price returns. To address this researc
Externí odkaz:
https://doaj.org/article/4e85b32529904ac084736e28649ff472
Akademický článek
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Publikováno v:
Mathematics, Vol 11, Iss 13, p 2964 (2023)
Studying the question of whether macroeconomic predictors play a role in forecasting stock-market volatility has a long and significant tradition in the empirical finance literature. We went beyond the earlier literature in that we studied whether th
Externí odkaz:
https://doaj.org/article/5d33ff34d8224e8786bd8a2e8f17d416
Publikováno v:
Mathematics, Vol 11, Iss 9, p 2077 (2023)
In this study, we contribute to the rapidly growing climate-finance literature by shedding light on the question of whether climate risks have predictive value for stock market returns. We measure climate risks in terms of both the change in the nort
Externí odkaz:
https://doaj.org/article/ca53d10e78854642a9a97507c6b328bb
Publikováno v:
Mathematics, Vol 11, Iss 6, p 1371 (2023)
We use a quantile machine learning (random forests) approach to analyse the predictive ability of newspapers-based macroeconomic attention indexes (MAIs) on eight major fundamentals of the United States on the realized volatility of a major commodity
Externí odkaz:
https://doaj.org/article/f767a3e275f141eaa7c6569eda9ed0e2
Publikováno v:
Energies, Vol 15, Iss 22, p 8436 (2022)
We investigate whether oil-price uncertainty helps forecast the international stock returns of ten advanced and emerging countries. We consider an out-of-sample period of August 1925 to September 2021, with an in-sample period between August 1920 and
Externí odkaz:
https://doaj.org/article/3b06b52a63c24082955374866b30f34f
Akademický článek
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Autor:
Rangan Gupta, Christian Pierdzioch
Publikováno v:
Energies, Vol 14, Iss 23, p 8085 (2021)
We extend the widely-studied Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample forecasting value of climate-risk factors for the realized volatility of movements of the prices of crude oil, heating oil, and
Externí odkaz:
https://doaj.org/article/49bef0d80c944517958c005ed9c049ad
Publikováno v:
Energies, Vol 14, Iss 20, p 6775 (2021)
We examine the predictive value of gold-to-silver and gold-to-platinum price ratios, as proxies for global risks affecting the realized variance (RV) of oil-price movements, using monthly data over the longest available periods of 1915:01–2021:03 a
Externí odkaz:
https://doaj.org/article/7b8fb3fca27f40db9b3ea7b7814c5529