Details about Matteo Bonato

Access statistics for papers by Matteo Bonato.

Last updated 2021-12-14. Update your information in the RePEc Author Service.

Short-id: pbo992

Working Papers

2021

1. El Nino, La Nina, and Forecastability of the Realized Variance of Agricultural Commodity Prices: Evidence from a Machine Learning Approach
   Working Papers, University of Pretoria, Department of Economics
2. Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis
   Working Papers, University of Pretoria, Department of Economics View citations (2)

2020

3. A Note on Investor Happiness and the Predictability of Realized Volatility of Gold
   Working Papers, University of Pretoria, Department of Economics View citations (25)
   See also Journal Article A note on investor happiness and the predictability of realized volatility of gold, Finance Research Letters, Elsevier (2021) View citations (9) (2021)
4. Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?
   Working Papers, University of Pretoria, Department of Economics
5. Investor Happiness and Predictability of the Realized Volatility of Oil Price
   Working Papers, University of Pretoria, Department of Economics View citations (24)
   See also Journal Article Investor Happiness and Predictability of the Realized Volatility of Oil Price, Sustainability, MDPI (2020) View citations (19) (2020)
6. Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note
   Working Papers, University of Pretoria, Department of Economics

2019

7. Moments-Based Spillovers across Gold and Oil Markets
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   See also Journal Article Moments-based spillovers across gold and oil markets, Energy Economics, Elsevier (2020) View citations (37) (2020)

2018

8. Investor Sentiment and Crash Risk in Safe Havens
   Working Papers, University of Pretoria, Department of Economics View citations (5)
   See also Journal Article Investor Sentiment and Crash Risk in Safe Havens, Journal of Economics and Behavioral Studies, AMH International (2019) View citations (3) (2019)

2016

9. Comovement and the financialization of commodities
   GRI Working Papers, Grantham Research Institute on Climate Change and the Environment View citations (2)
10. Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach
    Working Papers, University of Pretoria, Department of Economics View citations (14)
11. Geopolitical Risks and Stock Market Dynamics of the BRICS
    Working Papers, University of Pretoria, Department of Economics View citations (30)
    See also Journal Article Geopolitical risks and stock market dynamics of the BRICS, Economic Systems, Elsevier (2018) View citations (122) (2018)
12. Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach, Resources Policy, Elsevier (2018) View citations (10) (2018)
13. The Effect of Investor Sentiment on Gold Market Dynamics
    Working Papers, University of Pretoria, Department of Economics
14. The Predictive Power of Industrial Electricity Usage Revisited: Evidence from Nonparametric Causality Tests
    Working Papers, University of Pretoria, Department of Economics View citations (1)

2012

15. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance View citations (5)
    Also in Working Papers, Swiss National Bank (2009) View citations (25)
16. Risk spillovers in international equity portfolios
    Working Papers, Swiss National Bank
    See also Journal Article Risk spillovers in international equity portfolios, Journal of Empirical Finance, Elsevier (2013) View citations (4) (2013)

Journal Articles

2021

1. A note on investor happiness and the predictability of realized volatility of gold
   Finance Research Letters, 2021, 39, (C) View citations (9)
   See also Working Paper A Note on Investor Happiness and the Predictability of Realized Volatility of Gold, Working Papers (2020) View citations (25) (2020)

2020

2. Investor Happiness and Predictability of the Realized Volatility of Oil Price
   Sustainability, 2020, 12, (10), 1-11 View citations (19)
   See also Working Paper Investor Happiness and Predictability of the Realized Volatility of Oil Price, Working Papers (2020) View citations (24) (2020)
3. Moments-based spillovers across gold and oil markets
   Energy Economics, 2020, 89, (C) View citations (37)
   See also Working Paper Moments-Based Spillovers across Gold and Oil Markets, Working Papers (2019) View citations (1) (2019)

2019

4. Investor Sentiment and Crash Risk in Safe Havens
   Journal of Economics and Behavioral Studies, 2019, 10, (6), 97-108 View citations (3)
   See also Working Paper Investor Sentiment and Crash Risk in Safe Havens, Working Papers (2018) View citations (5) (2018)
5. Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?
   Journal of International Financial Markets, Institutions and Money, 2019, 62, (C), 184-202 View citations (57)

2018

6. Geopolitical risks and stock market dynamics of the BRICS
   Economic Systems, 2018, 42, (2), 295-306 View citations (122)
   See also Working Paper Geopolitical Risks and Stock Market Dynamics of the BRICS, Working Papers (2016) View citations (30) (2016)
7. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
   Resources Policy, 2018, 57, (C), 196-212 View citations (10)
   See also Working Paper Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach, Working Papers (2016) (2016)

2017

8. The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach
   Resources Policy, 2017, 51, (C), 77-84 View citations (52)

2013

9. Risk spillovers in international equity portfolios
   Journal of Empirical Finance, 2013, 24, (C), 121-137 View citations (4)
   See also Working Paper Risk spillovers in international equity portfolios, Working Papers (2012) (2012)

2012

10. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
    The European Journal of Finance, 2012, 18, (9), 761-774 View citations (5)
11. Modeling fat tails in stock returns: a multivariate stable-GARCH approach
    Computational Statistics, 2012, 27, (3), 499-521 View citations (8)

2011

12. Robust estimation of skewness and kurtosis in distributions with infinite higher moments
    Finance Research Letters, 2011, 8, (2), 77-87 View citations (11)