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Details about Matteo Bonato

Homepage:https://valdon.it/matteobonato/
Workplace:College of Business and Economics, University of Johannesburg, (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Matteo Bonato.

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

Short-id: pbo992


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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

  1. A Note on Investor Happiness and the Predictability of Realized Volatility of Gold
    Working Papers, University of Pretoria, Department of Economics View citations (23)
    See also Journal Article A note on investor happiness and the predictability of realized volatility of gold, Finance Research Letters, Elsevier (2021) Downloads View citations (8) (2021)
  2. Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?
    Working Papers, University of Pretoria, Department of Economics
  3. Investor Happiness and Predictability of the Realized Volatility of Oil Price
    Working Papers, University of Pretoria, Department of Economics View citations (22)
    See also Journal Article Investor Happiness and Predictability of the Realized Volatility of Oil Price, Sustainability, MDPI (2020) Downloads View citations (19) (2020)
  4. 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

  1. 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) Downloads View citations (30) (2020)

2018

  1. Investor Sentiment and Crash Risk in Safe Havens
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article Investor Sentiment and Crash Risk in Safe Havens, Journal of Economics and Behavioral Studies, AMH International (2019) Downloads View citations (2) (2019)

2016

  1. Comovement and the financialization of commodities
    GRI Working Papers, Grantham Research Institute on Climate Change and the Environment Downloads View citations (2)
  2. 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)
  3. 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) Downloads View citations (97) (2018)
  4. 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) Downloads View citations (10) (2018)
  5. Realized correlations, betas and volatility spillover in the commodity market: What has changed?
    Working Papers, Economic Research Southern Africa Downloads View citations (1)
  6. The Effect of Investor Sentiment on Gold Market Dynamics
    Working Papers, University of Pretoria, Department of Economics
  7. 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

  1. Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads View citations (5)
    Also in Working Papers, Swiss National Bank (2009) Downloads View citations (25)
  2. Risk spillovers in international equity portfolios
    Working Papers, Swiss National Bank Downloads
    See also Journal Article Risk spillovers in international equity portfolios, Journal of Empirical Finance, Elsevier (2013) Downloads 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) Downloads View citations (8)
    See also Working Paper A Note on Investor Happiness and the Predictability of Realized Volatility of Gold, Working Papers (2020) View citations (23) (2020)

2020

  1. Investor Happiness and Predictability of the Realized Volatility of Oil Price
    Sustainability, 2020, 12, (10), 1-11 Downloads View citations (19)
    See also Working Paper Investor Happiness and Predictability of the Realized Volatility of Oil Price, Working Papers (2020) View citations (22) (2020)
  2. Moments-based spillovers across gold and oil markets
    Energy Economics, 2020, 89, (C) Downloads View citations (30)
    See also Working Paper Moments-Based Spillovers across Gold and Oil Markets, Working Papers (2019) View citations (1) (2019)

2019

  1. Investor Sentiment and Crash Risk in Safe Havens
    Journal of Economics and Behavioral Studies, 2019, 10, (6), 97-108 Downloads View citations (2)
    See also Working Paper Investor Sentiment and Crash Risk in Safe Havens, Working Papers (2018) View citations (4) (2018)
  2. 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 Downloads View citations (51)

2018

  1. Geopolitical risks and stock market dynamics of the BRICS
    Economic Systems, 2018, 42, (2), 295-306 Downloads View citations (97)
    See also Working Paper Geopolitical Risks and Stock Market Dynamics of the BRICS, Working Papers (2016) View citations (30) (2016)
  2. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach
    Resources Policy, 2018, 57, (C), 196-212 Downloads 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

  1. 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 Downloads View citations (50)

2013

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

2012

  1. A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
    The European Journal of Finance, 2012, 18, (9), 761-774 Downloads View citations (5)
  2. Modeling fat tails in stock returns: a multivariate stable-GARCH approach
    Computational Statistics, 2012, 27, (3), 499-521 Downloads View citations (7)

2011

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