Forecasting gold-price fluctuations: a real-time boosting approach

摘要

We use a real-time boosting approach to study the time-varying out-of-sample informational content of various predictor variables (inflation rate, exchange-rate fluctuations, stock market returns and interest rates) for forecasting gold-price fluctuations. While the predictor variables have predictive power, the economic value added of forecasts does not suffice to leverage the performance of a simple trading rule above the performance of a buy-and-hold strategy.