Half Century of Gold Price: Regime-Switching and Forecasting Framework

Non-Linear Relationships Among Oil Price, Gold Price and Stock Market Returns in Iran: A Multivariate Regime-Switching Approach

In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and ...

Forecasting Crude Oil prices Volatility and Value at Risk: Single and Switching Regime GARCH Models

Forecasting crude oil price volatility is an important issues in risk management. The historical course of oil price volatility indicates the existence of a cluster pattern. Therefore, GARCH models are used to model and more accurately predict oil price fluctuations. The purpose of this study is to identify the best GARCH model with the best performance in different time horizons. To achieve th...

Regime-Switching Risk: To Price or Not to Price?

Should the regime-switching risk be priced? This is perhaps one of the important “normative” issues to be addressed in pricing contingent claims under a Markovian, regime-switching, BlackScholes-Merton model. We address this issue using a minimal relative entropy approach. Firstly, we apply a martingale representation for a double martingale to characterize the canonical space of equivalent mar...

Gold Price Forecasting Using ARIMA Model

This study gives an inside view of the application of ARIMA time series model to forecast the future Gold price in Indian browser based on past data from November 2003 to January 2014 to mitigate the risk in purchases of gold. Hence, to give guideline for the investor when to buy or sell the yellow metal. This financial instrument has gained a lot of momentum in recent past as Indian economy is...

Forecasting Corn and Soybean Basis Using Regime-Switching Models by