A note on forecasting the prices of gold and silver: Asymmetric loss and forecast rationality

被引：5

作者：

Pierdzioch, Christian ^{[1
]}

Ruelke, Jan-Christoph ^{[2
]}

Stadtmann, Georg ^{[3
,4
]}

机构：

[1] Helmut Schmidt Univ, Dept Econ, D-22008 Hamburg, Germany

[2] WHU Otto Beisheim Sch Management, Dept Econ, D-56179 Vallendar, Germany

[3] Univ Southern Denmark, Dept Business & Econ, Campusvej 55, DK-5230 Odense M, Denmark

[4] Europa Univ Viadrina, Lehrstuhl Volkswirtschaftslehre, Insb Makrookon, D-15207 Frankfurt, Oder, Germany

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2013年 / 53卷 / 03期

关键词：

Gold; Silver; Forecasting; Loss function;

D O I：

10.1016/j.qref.2013.04.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Given that the prices of gold and silver have witnessed large and substantial swings in recent years, policymakers and investors need readily available and reliable forecasts of the prices of these two precious metals. Survey data of forecasts of the prices of gold and silver provide a particularly rich data environment for policymakers and investors to study developments in the markets for gold and silver. Our research helps to develop a deeper understanding of the properties of survey data of the prices of gold and silver. We study the shape of forecasters loss function and the rationality of their forecasts. Assuming an asymmetric loss function weakens evidence against forecast rationality, but results depend on the empirical model being studied. (C) 2013 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

引用

页码：294 / 301

页数：8

共 50 条

[21] Forecasting the spot price of gold: combined forecast approaches versus a composite forecast approach
Mui, H. W.
Chu, C. W.
[J]. JOURNAL OF APPLIED STATISTICS, 1993, 20 (01) : 13 - 23
[22] Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets
Raza, Naveed
Shahzad, Syed Jawad Hussain
Tiwari, Aviral Kumar
Shahbaz, Muhammad
[J]. RESOURCES POLICY, 2016, 49 : 290 - 301
[23] Gold, Silver, and Grain Money and Prices in the Book of Mormon
Takagi, Shinji
[J]. BYU STUDIES QUARTERLY, 2022, 61 (02) : 5 - 30
[24] Quantile behaviour of cointegration between silver and gold prices
Zhu, Huiming
Peng, Cheng
You, Wanhai
[J]. FINANCE RESEARCH LETTERS, 2016, 19 : 119 - 125
[25] Chaotic behavior in gold, silver, copper and bitcoin prices
Bildirici, Melike E.
Sonustun, Bahri
[J]. RESOURCES POLICY, 2021, 74
[26] Mind the gap: Psychological barriers in gold and silver prices
Lucey, Michael E.
O'Connor, Fergal A.
[J]. FINANCE RESEARCH LETTERS, 2016, 17 : 135 - 140
[27] A real-time quantile-regression approach to forecasting gold returns under asymmetric loss
Pierdzioch, Christian
Risse, Marian
Rohloff, Sebastian
[J]. RESOURCES POLICY, 2015, 45 : 299 - 306
[28] Oil price forecasting under asymmetric loss
Pierdzioch, Christian
Ruelke, Jan-Christoph
Stadtmann, Georg
[J]. APPLIED ECONOMICS, 2013, 45 (17) : 2371 - 2379
[29] Multivariate test for forecast rationality under asymmetric loss functions: Recent evidence from MMS survey of inflation-output forecasts
Ulu, Yasemin
[J]. ECONOMICS LETTERS, 2013, 119 (02) : 168 - 171
[30] FORECASTING MONTHLY GOLD PRICES WITH THE BOX-JENKINS APPROACH
JOCKEL, KH
PFLAUMER, P
[J]. JAHRBUCHER FUR NATIONALOKONOMIE UND STATISTIK, 1981, 196 (06): : 481 - 501

← 1 2 3 4 5 →