Details about Marian Risse

Access statistics for papers by Marian Risse.

Last updated 2023-03-09. Update your information in the RePEc Author Service.

Short-id: pri316

Working Papers

2017

1. Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty, Journal of Macroeconomics, Elsevier (2018) View citations (85) (2018)
2. The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data, The North American Journal of Economics and Finance, Elsevier (2019) (2019)

2016

3. On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees
   Working Papers, University of Pretoria, Department of Economics View citations (4)
   See also Journal Article On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees, Finance Research Letters, Elsevier (2019) View citations (2) (2019)

2015

4. On International Uncertainty Links: BART-Based Empirical Evidence for Canada
   Working Papers, University of Pretoria, Department of Economics View citations (5)
   See also Journal Article On international uncertainty links: BART-based empirical evidence for Canada, Economics Letters, Elsevier (2016) View citations (25) (2016)

2014

5. Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy
   VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (3)
   See also Journal Article Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy, Empirical Economics, Springer (2016) View citations (11) (2016)

Journal Articles

2020

1. Do German economic research institutes publish efficient growth and inflation forecasts? A Bayesian analysis
   Journal of Applied Statistics, 2020, 47, (4), 698-723 View citations (3)
2. Forecasting precious metal returns with multivariate random forests
   Empirical Economics, 2020, 58, (3), 1167-1184 View citations (10)

2019

3. Combining wavelet decomposition with machine learning to forecast gold returns
   International Journal of Forecasting, 2019, 35, (2), 601-615 View citations (32)
4. On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees
   Finance Research Letters, 2019, 30, (C), 160-169 View citations (2)
   See also Working Paper On REIT Returns and (Un-) Expected Inflation: Empirical Evidence Based on Bayesian Additive Regression Trees, Working Papers (2016) View citations (4) (2016)
5. The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data
   The North American Journal of Economics and Finance, 2019, 47, (C), 391-405
   See also Working Paper The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data, Working Papers (2017) (2017)

2018

6. A machine‐learning analysis of the rationality of aggregate stock market forecasts
   International Journal of Finance & Economics, 2018, 23, (4), 642-654 View citations (2)
7. A test of the joint efficiency of macroeconomic forecasts using multivariate random forests
   Journal of Forecasting, 2018, 37, (5), 560-572 View citations (9)
8. Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty
   Journal of Macroeconomics, 2018, 57, (C), 317-337 View citations (85)
   See also Working Paper Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty, Working Papers (2017) (2017)
9. Testing the optimality of inflation forecasts under flexible loss with random forests
   Economic Modelling, 2018, 72, (C), 270-277 View citations (4)

2017

10. Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market
    Journal of Empirical Finance, 2017, 44, (C), 158-176 View citations (8)

2016

11. A boosting approach to forecasting gold and silver returns: economic and statistical forecast evaluation
    Applied Economics Letters, 2016, 23, (5), 347-352 View citations (13)
12. A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss
    Resources Policy, 2016, 47, (C), 95-107 View citations (20)
13. A quantile-boosting approach to forecasting gold returns
    The North American Journal of Economics and Finance, 2016, 35, (C), 38-55 View citations (22)
14. Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees
    The North American Journal of Economics and Finance, 2016, 38, (C), 27-38 View citations (25)
15. Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy
    Empirical Economics, 2016, 51, (4), 1481-1499 View citations (11)
    See also Working Paper Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy, VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy (2014) View citations (3) (2014)
16. Forecasting house-price growth in the Euro area with dynamic model averaging
    The North American Journal of Economics and Finance, 2016, 38, (C), 70-85 View citations (19)
17. On international uncertainty links: BART-based empirical evidence for Canada
    Economics Letters, 2016, 143, (C), 24-27 View citations (25)
    See also Working Paper On International Uncertainty Links: BART-Based Empirical Evidence for Canada, Working Papers (2015) View citations (5) (2015)

2015

18. A real-time quantile-regression approach to forecasting gold returns under asymmetric loss
    Resources Policy, 2015, 45, (C), 299-306 View citations (17)
19. Cointegration of the prices of gold and silver: RALS-based evidence
    Finance Research Letters, 2015, 15, (C), 133-137 View citations (17)
20. Forecasting gold-price fluctuations: a real-time boosting approach
    Applied Economics Letters, 2015, 22, (1), 46-50 View citations (21)

2014

21. The international business cycle and gold-price fluctuations
    The Quarterly Review of Economics and Finance, 2014, 54, (2), 292-305 View citations (34)