2014
DOI: 10.1016/j.qref.2014.01.002
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The international business cycle and gold-price fluctuations

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Cited by 44 publications
(24 citation statements)
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“…In earlier literature, several authors have found that the gold market is informationally efficient with respect to the predictor variables being focused on in the various empirical studies (Tschoegl, 1980;Solt and Swanson, 1981;Ho, 1985;Pierdzioch et al, 2014aPierdzioch et al, , 2014b. A positive economic value-added, when measured in terms of a forecaster's loss function and the out-of-sample relative loss criterion, is not necessarily inconsistent with market efficiency because our behavioral-finance approach does not measure the economic value-added of forecasts in terms of excess profits derived from using forecasts to set up a trading rule.…”
Section: Discussionmentioning
confidence: 99%
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“…In earlier literature, several authors have found that the gold market is informationally efficient with respect to the predictor variables being focused on in the various empirical studies (Tschoegl, 1980;Solt and Swanson, 1981;Ho, 1985;Pierdzioch et al, 2014aPierdzioch et al, , 2014b. A positive economic value-added, when measured in terms of a forecaster's loss function and the out-of-sample relative loss criterion, is not necessarily inconsistent with market efficiency because our behavioral-finance approach does not measure the economic value-added of forecasts in terms of excess profits derived from using forecasts to set up a trading rule.…”
Section: Discussionmentioning
confidence: 99%
“…We use the behavioral-finance approach recently proposed by Pierdzioch et al (2014b) to assess the economic value-added of forecasts. The starting point of their behavioral-finance approach is an asymmetric loss function of the type studied by Elliott et al (2005Elliott et al ( , 2008.…”
Section: Evaluating Out-of-sample Forecastsmentioning
confidence: 99%
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