505
Views
25
CrossRef citations to date
0
Altmetric
Original Articles

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

, &

References

  • Baur, D. G. and McDermott, T. K. (2010) Is gold a safe haven? International evidence, Journal of Banking and Finance, 34, 1886–98. doi:10.1016/j.jbankfin.2009.12.008
  • Berge, T. J. (2013, forthcoming) Forecasting disconnected exchange rates, Journal of Applied Econometrics. doi:10.1002/jae.2350
  • Bialkowski, J., Bohl, M., Stephen, P. et al. (2013) The gold price in times of crisis, in International Conference on the Global Financial Crisis European Financial Markets and Institutions, Southampton, 25–26 April. Available at https://www.ocs.soton.ac.uk/index.php/financialcrisisconference/conference2013 (accessed 28 May 2014).
  • Blose, L. E. (2010) Gold prices, cost of carry, and expected inflation, Journal of Economics and Business, 62, 35–47. doi:10.1016/j.jeconbus.2009.07.001
  • Bühlmann, P. (2006) Boosting for high-dimensional linear models, The Annals of Statistics, 34, 559–83. doi:10.1214/009053606000000092
  • Bühlmann, P. and Hothorn, T. (2007) Boosting algorithms: regularization, prediction, and model fitting, Statistical Science, 22, 477–505. doi:10.1214/07-STS242
  • Bühlmann, P. and Yu, B. (2003) Boosting with the L2 loss: regression and classification, Journal of the American Statistical Association, 98, 324–39. doi:10.1198/016214503000125
  • Friedman, J. (2001) Greedy function approximation: a gradient boosting machine, The Annals of Statistics, 29, 1189–232. doi:10.1214/aos/1013203451
  • Friedman, J., Hastie, T. and Tibshirani, R. (2000) Additive logistic regression: a statistical view of boosting (with discussion and a rejoinder by the authors), The Annals of Statistics, 28, 337–407. doi:10.1214/aos/1016218223
  • Fuertes, A. M., Miffre, J. and Rallis, G. (2010) Tactical allocation in commodity futures markets: combining momentum and term structure signals, Journal of Banking and Finance, 34, 2530–48. doi:10.1016/j.jbankfin.2010.04.009
  • Ho, Y. K. (1985) A test of the incrementally efficient market hypothesis for the London gold market, Economics Letters, 19, 67–70. doi:10.1016/0165-1765(85)90105-3
  • Hurvich, C. M., Simonoff, J. S. and Tsai, C.-L. (1998) Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion, Journal of the Royal Statistical Society: Series B (Statistical Methodology), 60, 271–93. doi:10.1111/1467-9868.00125
  • Parisi, A., Parisi, F. and Díaz, D. (2008) Forecasting gold price changes: rolling and recursive neural network models, Journal of Multinational Financial Management, 18, 477–87. doi:10.1016/j.mulfin.2007.12.002
  • Pesaran, M. H. and Timmermann, A. (1995) Predictability of stock returns: robustness and economic significance, The Journal of Finance, 50, 1201–28. doi:10.1111/j.1540-6261.1995.tb04055.x
  • Pierdzioch, C., Risse, M. and Rohloff, S. (2014a) On the efficiency of the gold market: results of a real-time forecasting approach, International Review of Financial Analysis, 32, 95–108. doi:10.1016/j.irfa.2014.01.012
  • Pierdzioch, C., Risse, M. and Rohloff, S. (2014b) The international business cycle and gold-price fluctuations, Quarterly Review of Economics and Finance, 54, 292–305.
  • Politis, D. N. and Romano, J. P. (1994) The stationary bootstrap, Journal of the American Statistical Association, 89, 1303–13. doi:10.1080/01621459.1994.10476870
  • Pukthuanthong, K. and Roll, R. (2011) Gold and the dollar (and the euro, pound, and yen), Journal of Banking and Finance, 35, 2070–83. doi:10.1016/j.jbankfin.2011.01.014
  • R Development Core Team (2013) R foundation for statistical computing, R: A Language and Environment for Statistical Computing, R Development Core Team, Vienna. Available at http://www.R-project.org/ (accessed 28 May 2014).
  • Sharpe, W. F. (1966) Mutual fund performance, The Journal of Business, 39, 119–38. doi:10.1086/294846
  • Tschoegl, A. E. (1980) Efficiency in the gold market – a note, Journal of Banking and Finance, 4, 371–9. doi:10.1016/0378-4266(80)90015-1
  • Vrugt, E. B., Bauer, R., Molenaar, R. et al. (2007) Intelligent commodity investing: new strategies and practical insights for informed decision making, in Dynamic Commodity Timing Strategies, Till, H. and Eagleeye, J. (Eds), Incisive Financial Publishing, London, pp. 419–38.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.