Return predictability in metal futures markets: new evidence

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dc.identifier.uri http://dx.doi.org/10.15488/5105
dc.identifier.uri https://www.repo.uni-hannover.de/handle/123456789/5149
dc.contributor.author Tharann, Björn
dc.date.accessioned 2019-07-04T11:37:34Z
dc.date.available 2019-07-04T11:37:34Z
dc.date.issued 2019
dc.identifier.citation Tharann, B.: Return predictability in metal futures markets: new evidence. In: Heliyon 5 (2019), Nr. 6, e01843. DOI: https://doi.org/10.1016/j.heliyon.2019.e01843
dc.description.abstract This paper studies the predictability of metal futures returns. Additionally, we identify years of high predictability. Generally, we find a substantial degree of predictability both in- and out-of-sample. Gold returns seem to be best predictable out-of-sample. A timing strategy leads to utility gains of 2.18% p.a. In particular, the Aruoba–Diebold–Scotti (ADS) business conditions index incorporates relevant information for metal returns, and strongly predicts gold returns. eng
dc.language.iso eng
dc.publisher London : Elsevier Ltd.
dc.relation.ispartofseries Heliyon 5 (2019), Nr. 6
dc.rights CC BY-NC-ND 4.0
dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject Commodities eng
dc.subject Economics eng
dc.subject Metal futures eng
dc.subject Return predictability eng
dc.subject.ddc 330 | Wirtschaft ger
dc.title Return predictability in metal futures markets: new evidence
dc.type article
dc.type Text
dc.relation.issn 2405-8440
dc.relation.doi https://doi.org/10.1016/j.heliyon.2019.e01843
dc.bibliographicCitation.issue 6
dc.bibliographicCitation.volume 5
dc.bibliographicCitation.firstPage e01843
dc.description.version publishedVersion
tib.accessRights frei zug�nglich


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