397
Views
16
CrossRef citations to date
0
Altmetric
Original Articles

A boosting approach to forecasting gold and silver returns: economic and statistical forecast evaluation

, &

References

  • Agyei-Ampomah, S., D. Gounopoulos, and K. Mazouz. 2014. “Does Gold Offer a Better Protection Against Losses in Sovereign Debt Bonds Than Other Metals?” Journal of Banking & Finance 40: 507–521. doi:10.1016/j.jbankfin.2013.11.014.
  • Andrada-Félix, J., and F. Fernándenz-Rodríguez. 2008. “Improving Moving Average Trading Rules with Boosting and Statistical Learning Methods.” Journal of Forecasting 27: 433–449. doi:10.1002/for.1068.
  • Bai, J., and S. Ng. 2009. “Boosting Diffusion Indices.” Journal of Applied Econometrics 24: 607–629. doi:10.1002/jae.1063.
  • Bampinas, G., and T. Panagiotidis. 2015. Are Gold and Silver a Hedge Against Inflation? A Two Century Perspective. International Review of Financial Analysis. Advance online publication. doi:10.1016/j.irfa.2015.02.007
  • Berge, T. J. 2014. “Forecasting Disconnected Exchange Rates.” Journal of Applied Econometrics 29: 713–735. doi:10.1002/jae.2350.
  • Buchen, T., and K. Wohlrabe. 2011. “Forecasting With Many Predictors: Is Boosting a Viable Alternative?” Economics Letters 113: 16–18. doi:10.1016/j.econlet.2011.05.040.
  • Bühlmann, P. 2006. “Boosting for High-Dimensional Linear Models.” The Annals of Statistics 34: 559–583. doi:10.1214/009053606000000092.
  • Bühlmann, P., and T. Hothorn. 2007. “Boosting Algorithms: Regularization, Prediction, and Model Fitting.” Statistical Science 22: 477–505. doi:10.1214/07-STS242.
  • Bühlmann, P., and B. Yu. 2003. “Boosting with the L2 Loss: Regression and Classification.” Journal of the American Statistical Association 98: 324–339. doi:10.1198/016214503000125.
  • Cenesizoglu, T., and A. Timmermann. 2012. “Do Return Prediction Models add Economic Value?.” Journal of Banking & Finance 36: 2974–2987. doi:10.1016/j.jbankfin.2012.06.008.
  • Charles, A., O. Darné, and J. H. Kim. 2015. Will Precious Metals Shine? A Market Efficiency Perspective. International Review of Financial Analysis. Advance online publication. doi:10.1016/j.irfa.2015.01.018
  • Friedman, J. 2001. “Greedy Function Approximation: A Gradient Boosting Machine.” The Annals of Statistics 29: 1189–1232. doi:10.1214/aos/1013203451.
  • Hastie, T. 2007. “Comment: Boosting Algorithms: Regularization, Prediction and Model Fitting.” Statistical Science 22: 513–515. doi:10.1214/07-STS242A.
  • Hastie, T., R. Tibshirani, and J. Friedman. 2009. The Elements of Statistical Learning. Data Mining, Inference, and Prediction. New York: Springer Science and Business Media, LLC.
  • Hurvich, C. M., J. S. Simonoff, and C.-L. Tsai. 1998. “Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion.” Journal of the Royal Statistical Society: Series B (Statistical Methodology) 60: 271–293. doi:10.1111/1467-9868.00125.
  • Leitch, G., and J. E. Tanner. 1991. “Economic Forecast Evaluation: Profits Versus the Conventional Error Measures.” American Economic Review 81: 580–590.
  • Marquering, W., and M. Verbeek. 2004. “The Economic Value of Predicting Stock Index Returns and Volatility.” Journal of Financial and Quantitative Analysis 39: 407–429. doi:10.1017/S0022109000003136.
  • Mayr, A., B. Hofner, and M. Schmid. 2012. “The Importance of Knowing When to Stop. A Sequential Stopping Rule for Component-Wise Gradient Boosting.” Methods of Information in Medicine 51: 178–186. doi:10.3414/ME11-02-0030.
  • Morales, L., and B. Andreosso-O’Callaghan. 2011. “Comparative Analysis on the effects of the Asian and Global Financial Crises on Precious Metal Markets.” Research in International Business and Finance 25: 203–227. doi:10.1016/j.ribaf.2011.01.004.
  • Pierdzioch, C., M. Risse, and S. Rohloff. 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., M. Risse, and S. Rohloff. 2014b. “The International Business Cycle and Gold-Price Fluctuations.” The Quarterly Review of Economics and Finance 54: 292–305. doi:10.1016/j.qref.2014.01.002.
  • Pierdzioch, C., M. Risse, and S. Rohloff. 2015. “Forecasting Gold-price Fluctuations: A Real-Time Boosting Approach.” Applied Economics Letters 22: 46–50. doi:10.1080/13504851.2014.925040.
  • Pukthuanthong, K., and R. Roll. 2011. “Gold and the Dollar (and the Euro, Pound, and Yen).” Journal of Banking & Finance 35: 2070–2083. doi:10.1016/j.jbankfin.2011.01.014.
  • Reboredo, J. C. 2013. “Is Gold a Safe Haven or a Hedge for the U.S. Dollar? Implications for Risk Management.” Journal of Banking & Finance 37: 2665–2676. doi:10.1016/j.jbankfin.2013.03.020.
  • Sharpe, W. F. 1966. “Mutual Fund Performance.” The Journal of Business 39: 119–138. doi:10.1086/294846.
  • Vrugt, E. B., R. Bauer, R. Molenaar, and T. Steenkamp. 2007. “Dynamic Commodity Timing Strategies.” In Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Making, edited by H. Till, and J. Eagleeye, 419–438. London: Incisive Financial Publishing.
  • Welch, I., and A. Goyal. 2008. “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction.” The Review of Financial Studies 21: 1455–1508. doi:10.1093/rfs/hhm014.
  • Wohlrabe, K., and T. Buchen. 2014. “Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area, and Germany.” Journal of Forecasting 33: 231–242. doi:10.1002/for.2293.

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.