Forecasting regular and extreme gold price volatility: the roles of asymmetry, extreme event, and jump

DOI10.1002/FOR.2781zbMATH Open1479.62086OpenAlexW3158348414MaRDI QIDQ5012736FDOQ5012736

Authors: Xiafei Li, Dongxin Li, Xuhui Zhang, Gui-Wu Wei, Lan Bai, Yu Wei 

Publication date: 25 November 2021

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2781

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zbMATH Keywords

asymmetryjumpextreme eventsGARCH-MIDASgold volatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cited In (4)

• The role of uncertainty measures on the returns of gold
• Forecasting stock market volatility: the role of gold and exchange rate
• The asymmetric volatility in the gold market revisited
• Title not available (Why is that?)

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