Climate Risks and Real Gold Returns over 750 Years
Abstract
1. Introduction
2. Data
3. Empirical Models
4. Empirical Results
5. Concluding Remarks
Author Contributions
Funding
Data Availability Statement
Acknowledgments
Conflicts of Interest
Appendix A
Predictor | Coefficient | t-Statistic | |
---|---|---|---|
Contemporaneous link | |||
Intercept | |||
*** | |||
** | |||
Predictive link | |||
Intercept | |||
*** | |||
** | |||
Benchmark vs. Extended Model | CW Test (p-Value) |
---|---|
Recursive window | |
AR vs. AR-DTA | |
AR vs. AR-DTA-VOLA | |
AR vs. AR-DTA + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA | |
AR-LEV vs. AR-LEV + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA | |
AR-VOLA vs. AR-VOLA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA + DTA-VOLA | |
Rolling window | |
AR vs. AR-DTA | |
AR vs. AR-DTA-VOLA | |
AR vs. AR-DTA + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA | |
AR-LEV vs. AR-LEV + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA | |
AR-VOLA vs. AR-VOLA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA + DTA-VOLA |
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Statistic | RGR | DTA | Volatility RGR | Volatility DTA |
---|---|---|---|---|
Mean | ||||
Median | ||||
Std. Dev. | ||||
Max | ||||
Min |
Benchmark vs. Extended Model | CW Test (p-Value) |
---|---|
Recursive window | |
AR vs. AR + DTA | |
AR vs. AR + DTA-VOLA | |
AR vs. AR + DTA + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA | |
AR-LEV vs. AR-LEV + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA | |
AR-VOLA vs. AR-VOLA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA + DTA-VOLA | |
Rolling window | |
AR vs. AR + DTA | |
AR vs. AR + DTA-VOLA | |
AR vs. AR + DTA + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA | |
AR-LEV vs. AR-LEV + DTA-VOLA | |
AR-LEV vs. AR-LEV + DTA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA | |
AR-VOLA vs. AR-VOLA + DTA-VOLA | |
AR-VOLA vs. AR-VOLA + DTA + DTA-VOLA |
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Gupta, R.; Majumdar, A.; Pierdzioch, C.; Polat, O. Climate Risks and Real Gold Returns over 750 Years. Forecasting 2024, 6, 952-967. https://doi.org/10.3390/forecast6040047
Gupta R, Majumdar A, Pierdzioch C, Polat O. Climate Risks and Real Gold Returns over 750 Years. Forecasting. 2024; 6(4):952-967. https://doi.org/10.3390/forecast6040047
Chicago/Turabian StyleGupta, Rangan, Anandamayee Majumdar, Christian Pierdzioch, and Onur Polat. 2024. "Climate Risks and Real Gold Returns over 750 Years" Forecasting 6, no. 4: 952-967. https://doi.org/10.3390/forecast6040047
APA StyleGupta, R., Majumdar, A., Pierdzioch, C., & Polat, O. (2024). Climate Risks and Real Gold Returns over 750 Years. Forecasting, 6(4), 952-967. https://doi.org/10.3390/forecast6040047