Forecasting gold-price fluctuations: a real-time boosting approach

Christian Pierdzioch, Marian Risse and Sebastian Rohloff

Applied Economics Letters, 2015, vol. 22, issue 1, 46-50

Abstract: We use a real-time boosting approach to study the time-varying out-of-sample informational content of various predictor variables (inflation rate, exchange-rate fluctuations, stock market returns and interest rates) for forecasting gold-price fluctuations. While the predictor variables have predictive power, the economic value added of forecasts does not suffice to leverage the performance of a simple trading rule above the performance of a buy-and-hold strategy.

Date: 2015
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DOI: 10.1080/13504851.2014.925040

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