Cryptocurrency policy uncertainty and gold return forecasting: A dynamic Occam's window approach

Finance Research Letters（2022）

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摘要

•Cryptocurrency policy uncertainty is used to forecast gold returns.•Dynamic Occam's window method is proved to be superior to DMA and DMS.•UCRY policy has better predictive power than many commonly used gold predictors.

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关键词

Gold return forecast,Cryptocurrency uncertainty,Dynamic model averaging,Dynamic Occam's window

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