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Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach

Author

Listed:
  • Rangan Gupta

    () (Department of Economics, University of Pretoria)

  • Anandamayee Majumdar

    () (Center for Advanced Statistics and Econometrics, Soochow University, China)

  • Christian Pierdzioch

    () (Department of Economics, Helmut Schmidt University, Germany)

  • Mark Wohar

    () (Department of Economics, University of Nebraska-Omaha, USA and Loughborough University, UK)

Abstract

Much significant research has been done to study how terror attacks affect financial markets. We contribute to this research by studying whether terror attacks, in addition to standard predictors considered in earlier research, help to predict gold returns. To this end, we use a Quantile-Predictive-Regression (QPR) approach that accounts for model uncertainty and model instability. We find that terror attacks have predictive value for the lower and especially for the upper quantiles of the conditional distribution of gold returns.

Suggested Citation

  • Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar, 2016. "Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach," Working Papers 201626, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:201626
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    as
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    Cited by:

    1. Rangan Gupta & Christian Pierdzioch & Andrew J. Vivian & Mark E. Wohar, 2018. "The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests," Working Papers 201809, University of Pretoria, Department of Economics.
    2. repec:eee:ecosys:v:42:y:2018:i:2:p:295-306 is not listed on IDEAS
    3. Christos Bouras & Christina Christou & Rangan Gupta & Tahir Suleman, 2017. "Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model," Working Papers 201777, University of Pretoria, Department of Economics.
    4. repec:eee:finlet:v:22:y:2017:i:c:p:35-41 is not listed on IDEAS
    5. Balcilar, Mehmet & Bonato, Matteo & Demirer, Riza & Gupta, Rangan, 2018. "Geopolitical risks and stock market dynamics of the BRICS," Economic Systems, Elsevier, vol. 42(2), pages 295-306.
    6. Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei, 2016. "Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach," Working Papers 201671, University of Pretoria, Department of Economics.

    More about this item

    Keywords

    Gold returns; Terror attacks; Forecasting model; Quantile regression;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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