A Real-Time Quantile-Regression Approach to Forecasting Gold-Price Fluctuations Under Asymmetric Loss

2015 ◽  
Author(s):  
Christian Pierdzioch ◽  
Marian Risse ◽  
Sebastian Rohloff
Keyword(s):  
Quantile Regression ◽  
Real Time ◽  
Gold Price ◽  
Asymmetric Loss ◽  
Price Fluctuations ◽  
Regression Approach

A real-time quantile-regression approach to forecasting gold returns under asymmetric loss

2015 ◽  
Vol 45 ◽  
pp. 299-306 ◽  
Author(s):  
Christian Pierdzioch ◽  
Marian Risse ◽  
Sebastian Rohloff
Keyword(s):  
Quantile Regression ◽  
Real Time ◽  
Asymmetric Loss ◽  
Regression Approach

scholarly journals Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 86
Author(s):  
Rizwan Ali ◽  
Inayat Ullah Mangla ◽  
Ramiz Ur Rehman ◽  
Wuzhao Xue ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Emerging Market ◽  
Empirical Relationship ◽  
Gold Price ◽  
Stock Market Performance ◽  
Regression Approach ◽  
The Exchange Rate

In this study, we examine an empirical relationship between stock market volatility with the exchange rate and gold prices of an emerging market, “Pakistan”, employing daily and monthly data (PSX-100 Index) covering from 2001: Q3 to 2018: Q2. The study explains the average stock returns by applying MGARCH. Further, it investigates that the volatility in the exchange rate (Rs/US $) and gold prices remain equally strong in bearish and bullish conditions of the stock market by using a quantile regression approach (2001–2018). Additionally, the sample period is divided into two split samples that cover (2001–2007) and (2008–2018) respectively, based on global financial crises and applied similar analysis. The overall results show the negative impact of the exchange rate and gold price volatility on the stock market performance daily (monthly), supporting the argument that the stock market considers the exchange rate and gold price fluctuations as an adverse indicator and reacts negatively.

Forecasting gold-price fluctuations: a real-time boosting approach

2014 ◽  
Vol 22 (1) ◽  
pp. 46-50 ◽  
Author(s):  
Christian Pierdzioch ◽  
Marian Risse ◽  
Sebastian Rohloff
Keyword(s):  
Real Time ◽  
Gold Price ◽  
Price Fluctuations
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