Q2. What future works have the authors mentioned in the paper "Gold futures returns and realized moments: a forecasting experiment using a quantile-boosting approach" ?
Furthermore, as Shrestha ( 2014 ) notes, one can expect price discovery to take place primarily in the futures market as the futures price responds to new information faster than the spot price due to lower transaction costs and ease of short selling associated with the futures contracts. The futures price data, in continuous format, are obtained from www. Based on the Jarque-Bera test statistic ( not reported ), the authors can reject normality of the sampling distribution of returns at the highest levels of significance, which provides some preliminary justification for modeling the quantiles rather than simply the mean of the conditional distribution of returns. By the same token, an analysis by means of the BDS test ( Brock et al., 1996 ; results are available upon request ) indicates, for various embedding dimensions, the presence of nonlinearity in the returns series, further strengthening the case for a quantiles-based modeling approach.