Christian Pierdzioch

University of the German Federal Armed Forces - Department of Economics

Holstenhofweg 85

Hamburg, 22043

Germany

SCHOLARLY PAPERS

10

DOWNLOADS

969

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

A Boosting Approach to Forecasting the Volatility of Gold-Price Fluctuations Under Flexible Loss

Number of pages: 41 Posted: 23 Oct 2014 Last Revised: 12 Nov 2015
Christian Pierdzioch, Marian Risse and Sebastian Rohloff
University of the German Federal Armed Forces - Department of Economics, University of the German Federal Armed Forces - Helmut Schmidt Universität and University of the German Federal Armed Forces - Helmut Schmidt Universität
Downloads 149 (246,029)
Citation 3

Abstract:

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Volatility of gold-price fluctuations; Real-time forecasting; Boosting approach

2.

On the Short-Term Predictability of Stock Returns: A Quantile Boosting Approach

Number of pages: 15 Posted: 17 Oct 2016
Riza Demirer, Christian Pierdzioch and Huacheng Zhang
Southern Illinois University Edwardsville - Department of Economics & Finance, University of the German Federal Armed Forces - Department of Economics and Southwestern University of Finance and Economics - Institute of Financial Studies
Downloads 137 (263,051)

Abstract:

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Stock returns, Predictability, Quantile boosting

3.

A Machine-Learning Analysis of the Rationality of Aggregate Stock-Market Forecasts

Number of pages: 26 Posted: 06 Apr 2016 Last Revised: 30 Nov 2016
Christian Pierdzioch and Marian Risse
University of the German Federal Armed Forces - Department of Economics and University of the German Federal Armed Forces - Helmut Schmidt Universität
Downloads 125 (281,958)

Abstract:

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Stock market, Survey forecasts, Rationality test, Machine-learning algorithm

4.

Forecasting Precious Metal Returns with Multivariate Random Forests

Number of pages: 20 Posted: 27 Apr 2018
Christian Pierdzioch and Marian Risse
University of the German Federal Armed Forces - Department of Economics and University of the German Federal Armed Forces - Helmut Schmidt Universität
Downloads 104 (320,991)
Citation 1

Abstract:

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Precious metals, Forecasting, Random forests

5.

A Quantile-Boosting Approach to Forecasting Gold Returns

Number of pages: 26 Posted: 02 May 2015 Last Revised: 19 Jul 2015
Christian Pierdzioch, Marian Risse and Sebastian Rohloff
University of the German Federal Armed Forces - Department of Economics, University of the German Federal Armed Forces - Helmut Schmidt Universität and University of the German Federal Armed Forces - Helmut Schmidt Universität
Downloads 93 (344,931)

Abstract:

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Quantile-boosting approach, Forecasting, Asymmetric loss, Gold price, Informational efficiency

6.

Are Precious Metals a Hedge Against Exchange-Rate Movements? An Empirical Exploration Using Bayesian Additive Regression Trees

Number of pages: 25 Posted: 14 Aug 2015 Last Revised: 02 Feb 2016
Christian Pierdzioch, Marian Risse and Sebastian Rohloff
University of the German Federal Armed Forces - Department of Economics, University of the German Federal Armed Forces - Helmut Schmidt Universität and University of the German Federal Armed Forces - Helmut Schmidt Universität
Downloads 90 (352,171)

Abstract:

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Precious metals, Exchange-rate movements, BART, Hedging, Safe haven

7.

Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach

Number of pages: 32 Posted: 15 Jun 2016
Matteo Bonato, Riza Demirer, Rangan Gupta and Christian Pierdzioch
University of Johannesburg - Department of Economics and Econometrics, Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of the German Federal Armed Forces - Department of Economics
Downloads 79 (380,948)

Abstract:

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Gold futures returns, Realized volatility, Realized skewness, Forecasting, Quantile

8.

Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy

Number of pages: 28 Posted: 23 Oct 2014 Last Revised: 03 Jun 2015
Christian Pierdzioch, Marian Risse and Sebastian Rohloff
University of the German Federal Armed Forces - Department of Economics, University of the German Federal Armed Forces - Helmut Schmidt Universität and University of the German Federal Armed Forces - Helmut Schmidt Universität
Downloads 70 (407,636)
Citation 1

Abstract:

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Gold price; Real-time forecasting; Real exchange rate; Real interest rates; Behavioral finance approach

9.

Forecasting Realized Stock-Market Volatility: Do Industry Returns Have Predictive Value?

Number of pages: 38 Posted: 28 Jan 2021
Riza Demirer, Rangan Gupta and Christian Pierdzioch
Southern Illinois University Edwardsville - Department of Economics & Finance, University of Pretoria - Department of Economics and University of the German Federal Armed Forces - Department of Economics
Downloads 67 (417,244)

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Stock market, Realized volatility, Industry returns, Market efficiency and information

10.

A Bayesian Analysis of the Efficiency of Growth and Inflation Forecasts for Germany

Number of pages: 38 Posted: 19 Jul 2017 Last Revised: 20 Apr 2018
Christoph Behrens, Christian Pierdzioch and Marian Risse
University of the German Federal Armed Forces - Department of Economics, University of the German Federal Armed Forces - Department of Economics and University of the German Federal Armed Forces - Helmut Schmidt Universität
Downloads 55 (459,625)
Citation 2

Abstract:

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Forecast Efficiency, Bayesian Modeling, Regression Trees