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Forecasting gold futures market volatility using macroeconomic variables in the United States

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Cited by:

  1. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Economic Modelling, Elsevier, vol. 75(C), pages 105-116.
  2. Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020. "Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks," International Journal of Forecasting, Elsevier, vol. 36(3), pages 933-948.
  3. Bouri, Elie & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "Forecasting power of infectious diseases-related uncertainty for gold realized variance," Finance Research Letters, Elsevier, vol. 42(C).
  4. Xiafei Li & Dongxin Li & Xuhui Zhang & Guiwu Wei & Lan Bai & Yu Wei, 2021. "Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1501-1523, December.
  5. Yufeng Zhang & Tonghui Zhang & Jingyi Hu, 2025. "Forecasting Stock Market Volatility Using CNN-BiLSTM-Attention Model with Mixed-Frequency Data," Mathematics, MDPI, vol. 13(11), pages 1-26, June.
  6. Huang, Chuangxia & Cai, Yaqian & Yang, Xiaoguang & Deng, Yanchen & Yang, Xin, 2023. "Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?," Economic Modelling, Elsevier, vol. 127(C).
  7. Yongmei Fang & Bo Guan & Shangjuan Wu & Saeed Heravi, 2020. "Optimal forecast combination based on ensemble empirical mode decomposition for agricultural commodity futures prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 877-886, September.
  8. Gergana Taneva-Angelova & Stefan Raychev & Galina Ilieva, 2025. "A Framework for Gold Price Prediction Combining Classical and Intelligent Methods with Financial, Economic, and Sentiment Data Fusion," IJFS, MDPI, vol. 13(2), pages 1-25, June.
  9. Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020. "Forecasting realized gold volatility: Is there a role of geopolitical risks?," Finance Research Letters, Elsevier, vol. 35(C).
  10. Cheng, Sheng & Han, Lingyu & Cao, Yan & Jiang, Qisheng & Liang, Ruibin, 2022. "Gold-oil dynamic relationship and the asymmetric role of geopolitical risks: Evidence from Bayesian pdBEKK-GARCH with regime switching," Resources Policy, Elsevier, vol. 78(C).
  11. Ruobing Liu & Jianhui Yang & Chuan-Yang Ruan, 2019. "The Impact of Macroeconomic News on Chinese Futures," IJFS, MDPI, vol. 7(4), pages 1-14, October.
  12. Xiafei Li & Yu Wei & Xiaodan Chen & Feng Ma & Chao Liang & Wang Chen, 2022. "Which uncertainty is powerful to forecast crude oil market volatility? New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4279-4297, October.
  13. Guo, Jin & Wen, Xiaoqian, 2024. "Option listing and underlying commodity futures volatility in China," Economic Modelling, Elsevier, vol. 141(C).
  14. Bonato, Matteo & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "A note on investor happiness and the predictability of realized volatility of gold," Finance Research Letters, Elsevier, vol. 39(C).
  15. Salisu, Afees A. & Bouri, Elie & Gupta, Rangan, 2022. "Out-of-sample predictability of gold market volatility: The role of US Nonfarm Payroll," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 482-488.
  16. Xie, Xiaoyu & Zhu, Heliang, 2021. "The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China," Research in International Business and Finance, Elsevier, vol. 56(C).
  17. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
  18. Riza Demirer & Rangan Gupta & Christian Pierdzioch & Syed Jawad Hussain Shahzad, 2021. "A note on oil price shocks and the forecastability of gold realized volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 28(21), pages 1889-1897, December.
  19. Miao, Miao & Khaskheli, Asadullah & Raza, Syed Ali & Yousufi, Sara Qamar, 2022. "Using internet search keyword data for predictability of precious metals prices: Evidence from non-parametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 75(C).
  20. Dinh, Theu & Goutte, Stéphane & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Economic drivers of volatility and correlation in precious metal markets," Journal of Commodity Markets, Elsevier, vol. 28(C).
  21. Li, Wei & Zhang, Junchao & Cao, Xiangye & Han, Wei, 2024. "Is the prediction of precious metal market volatility influenced by internet searches regarding uncertainty?," Finance Research Letters, Elsevier, vol. 62(PB).
  22. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie & Ji, Qiang, 2020. "The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach," Research in International Business and Finance, Elsevier, vol. 54(C).
  23. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
  24. Chaturvedi, Priya & Kumar, Kuldeep, 2022. "Econometric modelling of exchange rate volatility using mixed-frequency data," MPRA Paper 115222, University Library of Munich, Germany.
  25. Shang, Yue & Wei, Yu & Chen, Yongfei, 2022. "Cryptocurrency policy uncertainty and gold return forecasting: A dynamic Occam's window approach," Finance Research Letters, Elsevier, vol. 50(C).
  26. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
  27. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).
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