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Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach

Rangan Gupta (), Anandamayee Majumdar, Christian Pierdzioch and Mark Wohar ()

The Quarterly Review of Economics and Finance, 2017, vol. 65, issue C, 276-284

Abstract: Much significant research has been done to study how terror attacks affect financial markets. We contribute to this research by studying whether terror attacks, in addition to standard predictors considered in earlier research, help to predict gold returns. To this end, we use a quantile-predictive-regression (QPR) approach that accounts for model uncertainty and model instability. We find that terror attacks have predictive value for the lower and especially for the upper quantiles of the conditional distribution of gold returns.

Keywords: Gold returns; Terror attacks; Forecasting model; Quantile regression (search for similar items in EconPapers)
JEL-codes: C22 C53 Q02 (search for similar items in EconPapers)
Date: 2017
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Working Paper: Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach (2016)
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