[go: up one dir, main page]
create a website
A power GARCH examination of the gold market. (2007). lucey, brian ; Tully, Edel.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:21:y:2007:i:2:p:316-325.

Full description at Econpapers || Download paper

Cited: 189

Citations received by this document

Cites: 36

References cited by this document

Cocites: 69

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Volatility Dynamics of Prices in the European Power Markets during the COVID-19 Pandemic Period. (2024). Borzan, Cristina ; Pcurar, Ancua ; Milosavljevi, Pea ; Boi, Zorana ; Rajic, Milena Nebojsa ; Stankovi, Zorana Zoran ; Sabu, Emilia.
    In: Sustainability.
    RePEc:gam:jsusta:v:16:y:2024:i:6:p:2426-:d:1357144.

    Full description at Econpapers || Download paper

  2. How to Hedge against Inflation Risk in Vietnam. (2023). Thanh, Nguyen Thi.
    In: Economies.
    RePEc:gam:jecomi:v:11:y:2023:i:3:p:94-:d:1097121.

    Full description at Econpapers || Download paper

  3. Investment in gold: A bibliometric review and agenda for future research. (2023). Hassan, M. Kabir ; Ashraf, Ali ; Dsouza, Arun ; Pattnaik, Debidutta.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002409.

    Full description at Econpapers || Download paper

  4. Risk connectedness between crude oil, gold and exchange rates in China: Implications of the COVID-19 pandemic. (2023). Wang, LI ; Qu, Fang ; Ma, Xueke ; Xu, Lei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004026.

    Full description at Econpapers || Download paper

  5. Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE. (2023). Ray, Subhajyoti.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003446.

    Full description at Econpapers || Download paper

  6. Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model. (2023). Lee, Hsiang-Tai.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:55:y:2023:i:c:s1044028323000030.

    Full description at Econpapers || Download paper

  7. Real stock market returns and inflation: Evidence from uncertainty hypotheses. (2023). Chiang, Thomas C.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007826.

    Full description at Econpapers || Download paper

  8. Gold and CoVid-19: Uncovering the safe haven hypothesis with dynamic MSR modeling. (2023). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Goutte, Stéphane ; Xidonas, Panos.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003745.

    Full description at Econpapers || Download paper

  9. .

    Full description at Econpapers || Download paper

  10. Can news-based economic sentiment predict bubbles in precious metal markets?. (2022). Maghyereh, Aktham ; Abdoh, Hussein.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00341-w.

    Full description at Econpapers || Download paper

  11. COVID-19 and the volatility interlinkage between bitcoin and financial assets. (2022). Maghyereh, Aktham ; Abdoh, Hussein.
    In: Empirical Economics.
    RePEc:spr:empeco:v:63:y:2022:i:6:d:10.1007_s00181-022-02223-7.

    Full description at Econpapers || Download paper

  12. Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach. (2022). Ftiti, Zied ; Madani, Mohamed Arbi.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04288-6.

    Full description at Econpapers || Download paper

  13. Gold, silver, and the US dollar as harbingers of financial calm and distress. (2022). Gillman, Max ; Cevik, Emrah I ; Dibooglu, Sel.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:86:y:2022:i:c:p:200-210.

    Full description at Econpapers || Download paper

  14. Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas. (2022). Kundu, Pradip ; Bal, Debi Prasad ; Sahu, Pritish Kumar.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005694.

    Full description at Econpapers || Download paper

  15. How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test. (2022). Hong, Yanran ; Ma, Feng ; Wang, LU ; Liang, Chao.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003051.

    Full description at Econpapers || Download paper

  16. Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS. (2022). Chen, Yufeng ; Xu, Jing ; Hu, May.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003038.

    Full description at Econpapers || Download paper

  17. Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method. (2022). Ren, Xiaohang ; Wang, Yilin ; Chen, Jinyu.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002446.

    Full description at Econpapers || Download paper

  18. Study on the nonlinear interactions among the international oil price, the RMB exchange rate and Chinas gold price. (2022). Qin, Yun ; Zhang, Zitao.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001313.

    Full description at Econpapers || Download paper

  19. Monetary policy uncertainty and gold price in India: Evidence from Reserve Bank of Indias Monetary Policy Committee (MPC) review. (2022). Vallabh, Priyanka ; Shaikh, Imlak.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000915.

    Full description at Econpapers || Download paper

  20. Do employees salaries and board of directors remuneration impact gold demand?: An empirical study. (2022). Tiwari, Aviral ; Raj, Asha Binu ; Tripathi, Nitya Nand.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005493.

    Full description at Econpapers || Download paper

  21. The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach. (2022). Canepa, Alessandra ; Alqaralleh, Huthaifa.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005390.

    Full description at Econpapers || Download paper

  22. Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis. (2022). Ferreira, Paulo ; Bibi, Rashida ; Zil-e-huma,, ; Aslam, Faheem.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004815.

    Full description at Econpapers || Download paper

  23. Economic drivers of volatility and correlation in precious metal markets. (2022). Nguyen, Duc Khuong ; Goutte, Stéphane ; Walther, Thomas ; Dinh, Theu.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132100074x.

    Full description at Econpapers || Download paper

  24. Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling. (2022). Huang, Shupei ; Lucey, Brian ; Wang, Xinya.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000593.

    Full description at Econpapers || Download paper

  25. Gold as a financial instrument. (2022). Tan, David ; Shi, Shuping ; Gomis-Porqueras, Pedro.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000519.

    Full description at Econpapers || Download paper

  26. Regime-switching angular correlation diversification. (2022). Lee, Hsiang-Tai.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004330.

    Full description at Econpapers || Download paper

  27. Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors. (2022). Downing, Gareth ; Semeyutin, Artur.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000503.

    Full description at Econpapers || Download paper

  28. Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA. (2022). Bellos, Sotirios K ; Gkasis, Pavlos ; Golitsis, Petros.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001255.

    Full description at Econpapers || Download paper

  29. Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump. (2021). Li, Xiafei ; Wei, YU ; Bai, Lan ; Zhang, Xuhui.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:8:p:1501-1523.

    Full description at Econpapers || Download paper

  30. Quantile causality and dependence between crude oil and precious metal prices. (2021). Shahbaz, Muhammad ; Reboredo, Juan C ; Chaudhry, Sajid M ; Shafiullah, Muhammad.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:4:p:6264-6280.

    Full description at Econpapers || Download paper

  31. Re-examining the leverage effect and gold’s safe haven properties with the utilization of the implied volatility of gold: a non-parametric quantile regression approach. (2021). Panagiotou, Dimitrios.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:1:y:2021:i:7:d:10.1007_s43546-021-00092-3.

    Full description at Econpapers || Download paper

  32. Is gold a useful hedge against inflation across multiple time horizons?. (2021). Xu, Yingying ; Ortiz, Jaime ; Su, Chi-Wei.
    In: Empirical Economics.
    RePEc:spr:empeco:v:60:y:2021:i:3:d:10.1007_s00181-019-01807-0.

    Full description at Econpapers || Download paper

  33. Elasticities of Gold Demand—An Empirical Analysis Using Cointegration and Error Correction Model. (2021). Immanuvel, Maria S ; Lazar, D.
    In: Arthaniti: Journal of Economic Theory and Practice.
    RePEc:sae:artjou:v:20:y:2021:i:2:p:131-142.

    Full description at Econpapers || Download paper

  34. The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China. (2021). Zhu, Heliang ; Xie, Xiaoyu.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:56:y:2021:i:c:s0275531920309867.

    Full description at Econpapers || Download paper

  35. Volatility regime, inverted asymmetry, contagion, and flights in the gold market. (2021). Tian, Yuan ; Chen, Meng-Wei ; Kung, Chih-Chun ; Chang, Meng-Shiuh.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000299.

    Full description at Econpapers || Download paper

  36. Dynamics of connectedness across crude oil, precious metals and exchange rate: Evidence from time and frequency domains. (2021). Dar, Arif ; Bhanja, Niyati ; Paul, Manas ; Shah, Adil Ahmad.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001689.

    Full description at Econpapers || Download paper

  37. The linkage between clean energy stocks and the fluctuations in oil price and financial stress in the US and Europe? Evidence from QARDL approach. (2021). Shahbaz, Muhammad ; Mishra, Shekhar ; Sharif, Arshian ; Razzaq, Asif ; Aman, Ameenullah ; He, Xiaojuan.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000386.

    Full description at Econpapers || Download paper

  38. Hedging oil price risk with gold during COVID-19 pandemic. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Lawal, Adedoyin.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309284.

    Full description at Econpapers || Download paper

  39. The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk. (2021). ben Maatoug, Abderrazek ; Triki, Mohamed Bilel .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s030142072030903x.

    Full description at Econpapers || Download paper

  40. Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market. (2021). Kallinterakis, Vasileios ; Charteris, Ailie.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000703.

    Full description at Econpapers || Download paper

  41. The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012.

    Full description at Econpapers || Download paper

  42. Is Bitcoin really a currency? A viewpoint of a stochastic volatility model. (2021). Kakamu, Kazuhiko ; Kunimoto, Noriyuki.
    In: Papers.
    RePEc:arx:papers:2111.15351.

    Full description at Econpapers || Download paper

  43. Modeling cryptocurrencies volatility using GARCH models: a comparison based on Normal and Students T-Error distribution. (2020). Baig, Sajjad Ahmad ; Zia-Ur, Muhammad ; Mohsin, Muhammad ; Naseem, Sobia ; Lixia, Niu ; Salamat, Shazia.
    In: Entrepreneurship and Sustainability Issues.
    RePEc:ssi:jouesi:v:7:y:2020:i:3:p:1580-1596.

    Full description at Econpapers || Download paper

  44. Gold as a Financial Instrument. (2020). Gomis-Porqueras, Pedro ; Tan, David ; Shi, Shuping.
    In: MPRA Paper.
    RePEc:pra:mprapa:102782.

    Full description at Econpapers || Download paper

  45. Modeling and Forecasting Gold Prices. (2020). Of, Asian Institute ; Elamin, Mohamed Osman ; Quarm, Richmond Sam.
    In: OSF Preprints.
    RePEc:osf:osfxxx:u5mz6.

    Full description at Econpapers || Download paper

  46. Dynamics of Connectedness in Clean Energy Stocks. (2020). Herrera, Rodrigo ; Fuentes, Fernanda.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2020:i:14:p:3705-:d:386412.

    Full description at Econpapers || Download paper

  47. Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process. (2020). Wyomaska, Agnieszka ; Bielak, Ukasz ; Szarek, Dawid.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303228.

    Full description at Econpapers || Download paper

  48. Deep belief network for gold price forecasting. (2020). Ci, Bicong ; Zhang, Pinyi.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:69:y:2020:i:c:s030142072030307x.

    Full description at Econpapers || Download paper

  49. Does the price of strategic commodities respond to U.S. partisan conflict?. (2020). Sharp, Basil ; Liu, Jiang-Long ; Ma, Chao-Qun ; Ren, Yi-Shuai ; Jiang, Yong.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719307299.

    Full description at Econpapers || Download paper

  50. Forecasting excess returns of the gold market: Can we learn from stock market predictions?. (2020). Dichtl, Hubert.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:19:y:2020:i:c:s2405851319300716.

    Full description at Econpapers || Download paper

  51. Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. (2020). Zhou, Dequn ; Zha, Donglan ; Wang, Qunwei ; Dai, Xingyu.
    In: Energy Economics.
    RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301146.

    Full description at Econpapers || Download paper

  52. Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C.
    In: Energy Economics.
    RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300876.

    Full description at Econpapers || Download paper

  53. .

    Full description at Econpapers || Download paper

  54. Gold Market and Selected Stock Markets–Granger Causality Analysis. (2019). Mamcarz, Katarzyna .
    In: Springer Proceedings in Business and Economics.
    RePEc:spr:prbchp:978-3-030-21274-2_28.

    Full description at Econpapers || Download paper

  55. Assessment of the Impact of Hard Commodity Prices Changes on Inflation in European Union Countries. (2019). Mieinskien, Algita ; Lapinskait, Indr.
    In: Central European Business Review.
    RePEc:prg:jnlcbr:v:2019:y:2019:i:5:id:230:p:18-35.

    Full description at Econpapers || Download paper

  56. Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Aye, Goodness C.
    In: Working Papers.
    RePEc:pre:wpaper:201918.

    Full description at Econpapers || Download paper

  57. How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models. (2019). Chen, Cathy W. S. ; Lee, Sangyoel ; Dong, Manh Cuong ; Sriboonchitta, Songsak.
    In: Computational Economics.
    RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9743-z.

    Full description at Econpapers || Download paper

  58. Heavy Metals: Might as Well Jump. (2019). Wilmot, Neil.
    In: IJFS.
    RePEc:gam:jijfss:v:7:y:2019:i:2:p:33-:d:240663.

    Full description at Econpapers || Download paper

  59. Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin. (2019). Wu, Yan Wendy ; Chan, Wing ; Le, Minh.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:71:y:2019:i:c:p:107-113.

    Full description at Econpapers || Download paper

  60. Co-movements between Bitcoin and Gold: A wavelet coherence analysis. (2019). Hernandez, Jose Arreola ; McIver, Ron P ; Kang, Sang Hoon.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119304637.

    Full description at Econpapers || Download paper

  61. The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters. (2019). Ozdemir, Zeynel ; Balcilar, Mehmet.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119313445.

    Full description at Econpapers || Download paper

  62. Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Husain, Shaiara ; Sohag, Kazi.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:57-65.

    Full description at Econpapers || Download paper

  63. Assessing the inflation hedging of gold and palladium in OECD countries. (2019). Salisu, Afees ; Oloko, Tirimisiyu ; Ndako, Umar.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:357-377.

    Full description at Econpapers || Download paper

  64. Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. (2019). Biswal, Pratap Chandra ; Choudhary, Sangita ; Singhal, Shelly .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:60:y:2019:i:c:p:255-261.

    Full description at Econpapers || Download paper

  65. The risk premium of gold. (2019). Simen, Chardin Wese ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:94:y:2019:i:c:p:140-159.

    Full description at Econpapers || Download paper

  66. How do black swan events go global? -Evidence from US reserves effects on TOCOM gold futures prices. (2019). Zhao, Wenxi ; Sui, Xiuping ; Cao, Xinbang ; Wang, Yang.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:31:y:2019:i:c:s1544612319306889.

    Full description at Econpapers || Download paper

  67. Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes. (2019). Rahman, Md Lutfur ; Uddin, Gazi Salah ; Ahmed, Ali ; Hedstrom, Axel.
    In: Energy Economics.
    RePEc:eee:eneeco:v:80:y:2019:i:c:p:743-759.

    Full description at Econpapers || Download paper

  68. Time-varying risk aversion and realized gold volatility. (2019). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Gkillas, Konstantinos.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

    Full description at Econpapers || Download paper

  69. Gold price and exchange rates: A panel smooth transition regression model for the G7 countries. (2019). Koukouritakis, Minoas ; Giannellis, Nikolaos.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:49:y:2019:i:c:p:27-46.

    Full description at Econpapers || Download paper

  70. A key determinant of commodity price Co-movement: The role of daily market liquidity. (2019). Scheffel, Eric M ; Ding, Shusheng ; Zhang, Yongmin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:81:y:2019:i:c:p:170-180.

    Full description at Econpapers || Download paper

  71. Gold and inflation: Expected inflation effect or carrying cost effect?. (2019). Su, Chiwei ; Liu, Zhixin ; Xu, Yingying ; Ortiz, Jaime.
    In: International Finance.
    RePEc:bla:intfin:v:22:y:2019:i:3:p:380-398.

    Full description at Econpapers || Download paper

  72. The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold. (2019). Ftiti, Zied ; Madani, Mohamed Arbi.
    In: Papers.
    RePEc:arx:papers:1912.12590.

    Full description at Econpapers || Download paper

  73. Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza.
    In: Working Papers.
    RePEc:pre:wpaper:201881.

    Full description at Econpapers || Download paper

  74. Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models. (2018). Xiao, Bing ; Dury, Marie-Eliette.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01709321.

    Full description at Econpapers || Download paper

  75. Does social network sentiment influence the relationship between the S&P 500 and gold returns?. (2018). Pieiro-Chousa, Juan ; Ribeiro-Navarrete, Belen ; Perez-Pico, Ada Maria ; Lopez-Cabarcos, Angeles M.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:57:y:2018:i:c:p:57-64.

    Full description at Econpapers || Download paper

  76. Modelling time varying volatility spillovers and conditional correlations across commodity metal futures. (2018). Karanasos, Menelaos ; Nath, Rajat ; Margaronis, Zannis ; Ali, Faek Menla.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:57:y:2018:i:c:p:246-256.

    Full description at Econpapers || Download paper

  77. Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

    Full description at Econpapers || Download paper

  78. Forecasting gold futures market volatility using macroeconomic variables in the United States. (2018). Fang, Libing ; Xiao, Wen ; Yu, Honghai.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:72:y:2018:i:c:p:249-259.

    Full description at Econpapers || Download paper

  79. The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets. (2018). Gupta, Rakesh ; Singh, Tarlok ; Li, Bin ; Mo, DI.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:70:y:2018:i:c:p:543-560.

    Full description at Econpapers || Download paper

  80. The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin. (2018). Roubaud, David ; Bouri, Elie ; Elie, Bouri ; Al-Khazali, Osamah.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-18-00024.

    Full description at Econpapers || Download paper

  81. Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries. (2018). Koukouritakis, Minoas ; Giannellis, Nikolaos.
    In: Working Papers.
    RePEc:crt:wpaper:1806.

    Full description at Econpapers || Download paper

  82. Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong.
    In: Papers.
    RePEc:arx:papers:1810.08396.

    Full description at Econpapers || Download paper

  83. Multi-Scale Volatility Feature Analysis and Prediction of Gold Price. (2017). Wen, Fenghua ; Lai, Kin Keung ; Gong, XU ; Yang, Xin.
    In: International Journal of Information Technology & Decision Making (IJITDM).
    RePEc:wsi:ijitdm:v:16:y:2017:i:01:n:s0219622016500504.

    Full description at Econpapers || Download paper

  84. Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Carcel, Hector ; Aye, Goodness C.
    In: Working Papers.
    RePEc:pre:wpaper:201753.

    Full description at Econpapers || Download paper

  85. Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach. (2017). Liu, Jinshan ; Wong, Heung ; Xia, Qiang ; Liang, Rubing.
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9588-x.

    Full description at Econpapers || Download paper

  86. The Risk Premium of Gold. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-616.

    Full description at Econpapers || Download paper

  87. Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

    Full description at Econpapers || Download paper

  88. Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Carcel, Hector ; Aye, Goodness C.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:54:y:2017:i:c:p:53-57.

    Full description at Econpapers || Download paper

  89. Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

    Full description at Econpapers || Download paper

  90. Price Volatility Modelling – Wheat: GARCH Model Application. (2017). Ermak, M ; Maitah, M ; Malec, K.
    In: AGRIS on-line Papers in Economics and Informatics.
    RePEc:ags:aolpei:276061.

    Full description at Econpapers || Download paper

  91. Impact of Global Financial Crisis and Implied Volatility in the Equity Market on Gold Futures Traded on Multi Commodity Exchange, India. (2016). Sinha, Pankaj ; Mathur, Kritika .
    In: MPRA Paper.
    RePEc:pra:mprapa:72966.

    Full description at Econpapers || Download paper

  92. Stock market returns and the price of gold. (2016). Caliskan, Deren ; Najand, Mohammad.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:17:y:2016:i:1:d:10.1057_jam.2015.37.

    Full description at Econpapers || Download paper

  93. Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach. (2016). Heller, David ; Lahiani, Amine ; van Hoang, Thi Hong.
    In: Post-Print.
    RePEc:hal:journl:hal-02012307.

    Full description at Econpapers || Download paper

  94. The volatility dynamics of spot and futures gold prices: Evidence from Russia. (2016). Kirkulak, Berna ; Kirkulak-Uludag, Berna ; Lkhamazhapov, Zorikto .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:38:y:2016:i:c:p:474-484.

    Full description at Econpapers || Download paper

  95. Wine: To drink or invest in? A study of wine as an investment asset in French portfolios. (2016). HOANG, Thi Hong Van ; Mandou, Cyrille ; Ayta, Beysul .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:36:y:2016:i:c:p:591-614.

    Full description at Econpapers || Download paper

  96. Gold, oil, and stocks: Dynamic correlations. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:42:y:2016:i:c:p:186-201.

    Full description at Econpapers || Download paper

  97. Gold price analysis based on ensemble empirical model decomposition and independent component analysis. (2016). Xian, LU ; Lai, Kin Keung ; He, Kaijian.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:454:y:2016:i:c:p:11-23.

    Full description at Econpapers || Download paper

  98. Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. (2016). Tiwari, Aviral ; Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Raza, Naveed.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:49:y:2016:i:c:p:290-301.

    Full description at Econpapers || Download paper

  99. Dynamic linkages among oil price, gold price, exchange rate, and stock market in India. (2016). Jain, Anshul ; Biswal, P C.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:49:y:2016:i:c:p:179-185.

    Full description at Econpapers || Download paper

  100. A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss. (2016). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:47:y:2016:i:c:p:95-107.

    Full description at Econpapers || Download paper

  101. The connectedness between crude oil and financial markets: Evidence from implied volatility indices. (2016). Awartani, Basel ; Aktham, Maghyereh ; Cherif, Guermat .
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:4:y:2016:i:1:p:56-69.

    Full description at Econpapers || Download paper

  102. The dynamics of precious metal markets VaR: A GARCHEVT approach. (2016). Zhang, Zijing .
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:4:y:2016:i:1:p:14-27.

    Full description at Econpapers || Download paper

  103. Quantile behaviour of cointegration between silver and gold prices. (2016). Peng, Cheng ; Zhu, Huiming ; You, Wanhai.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:19:y:2016:i:c:p:119-125.

    Full description at Econpapers || Download paper

  104. Neoclassical finance, behavioral finance and noise traders: Assessment of gold–oil markets. (2016). Tiwari, Aviral ; Ftiti, Zied.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:17:y:2016:i:c:p:33-40.

    Full description at Econpapers || Download paper

  105. On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations. (2016). Auer, Benjamin R.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:16:y:2016:i:c:p:255-267.

    Full description at Econpapers || Download paper

  106. Determinants of asymmetric return comovements of gold and other financial assets. (2016). Mandal, Anandadeep ; Poshakwale, Sunil S.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:229-242.

    Full description at Econpapers || Download paper

  107. How does Germanys green energy policy affect electricity market volatility? An application of conditional autoregressive range models. (2016). Auer, Benjamin R.
    In: Energy Policy.
    RePEc:eee:enepol:v:98:y:2016:i:c:p:621-628.

    Full description at Econpapers || Download paper

  108. Gold price and stock markets nexus under mixed-copulas. (2016). Nguyen, Cuong ; Komornik, Jozef ; Komornikova, Magda ; Bhatti, Ishaq M.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:283-292.

    Full description at Econpapers || Download paper

  109. Gold returns: Do business cycle asymmetries matter? Evidence from an international country sample. (2016). Apergis, Nicholas ; Eleftheriou, Sofia .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:164-170.

    Full description at Econpapers || Download paper

  110. Can consumer price index predict gold price returns?. (2016). Sharma, Susan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:55:y:2016:i:c:p:269-278.

    Full description at Econpapers || Download paper

  111. Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach. (2016). Lahiani, Amine ; HOANG, Thi Hong Van ; Heller, David ; van Hoang, Thi Hong.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:54-66.

    Full description at Econpapers || Download paper

  112. The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets. (2016). Aloui, Chaker ; Dakhlaoui, Imen .
    In: International Economics.
    RePEc:cii:cepiie:2016-q2-146-7.

    Full description at Econpapers || Download paper

  113. News, volatility and jumps: the case of natural gas futures. (2015). Borovkova, Svetlana ; Mahakena, Diego .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:7:p:1217-1242.

    Full description at Econpapers || Download paper

  114. Are Gold and Silver a Hedge against Inflation? A Two Century Perspective. (2015). Panagiotidis, Theodore ; Bampinas, Georgios.
    In: Working Paper series.
    RePEc:rim:rimwps:15-02.

    Full description at Econpapers || Download paper

  115. The Financial Economics of Gold - a survey. (2015). Batten, Jonathan ; O'Connor, Fergal ; Baur, Dirk ; Lucey, Brian.
    In: MPRA Paper.
    RePEc:pra:mprapa:65484.

    Full description at Econpapers || Download paper

  116. Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence. (2015). Bentes, Sonia R.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:438:y:2015:i:c:p:355-364.

    Full description at Econpapers || Download paper

  117. Asymmetric long-term autocorrelations in crude oil markets. (2015). Rodriguez, E. ; Alvarez-Ramirez, J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:424:y:2015:i:c:p:330-341.

    Full description at Econpapers || Download paper

  118. Forecasting copper futures volatility under model uncertainty. (2015). Li, Yong.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:167-176.

    Full description at Econpapers || Download paper

  119. Dynamic relationships between spot and futures prices. The case of energy and gold commodities. (2015). Palomba, Giulio ; Nicolau, Mihaela.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:45:y:2015:i:c:p:130-143.

    Full description at Econpapers || Download paper

  120. The gold price in times of crisis. (2015). Biakowski, Jdrzej ; Wisniewski, Tomasz P ; Stephan, Patrick M ; Bohl, Martin T.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:329-339.

    Full description at Econpapers || Download paper

  121. Are gold and silver a hedge against inflation? A two century perspective. (2015). Panagiotidis, Theodore ; Bampinas, Georgios.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:267-276.

    Full description at Econpapers || Download paper

  122. Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests. (2015). Shabi, Sarosh ; Hassan, Syed ; Choudhry, Taufiq.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:247-256.

    Full description at Econpapers || Download paper

  123. Can security analyst forecasts predict gold returns?. (2015). Mihaylov, George ; Zurbruegg, Ralf ; Cheong, Chee Seng .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:237-246.

    Full description at Econpapers || Download paper

  124. On the efficiency of the global gold markets. (2015). Nwachukwu, Jacinta ; Ntim, Collins ; Wang, Yan ; English, John .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:218-236.

    Full description at Econpapers || Download paper

  125. The financial economics of gold — A survey. (2015). Batten, Jonathan ; Baur, Dirk G ; Lucey, Brian M ; O'Connor, Fergal A.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:186-205.

    Full description at Econpapers || Download paper

  126. Equity market implied volatility and energy prices: A double threshold GARCH approach. (2015). Cochran, Steven J ; Odusami, Babatunde ; Mansur, Iqbal.
    In: Energy Economics.
    RePEc:eee:eneeco:v:50:y:2015:i:c:p:264-272.

    Full description at Econpapers || Download paper

  127. Downside/upside price spillovers between precious metals: A vine copula approach. (2015). Ugolini, Andrea ; Reboredo, Juan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:34:y:2015:i:c:p:84-102.

    Full description at Econpapers || Download paper

  128. What do scientists know about inflation hedging?. (2015). Arnold, Stephan ; Auer, Benjamin R.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:34:y:2015:i:c:p:187-214.

    Full description at Econpapers || Download paper

  129. Gold, Oil, and Stocks: Dynamic Correlations. (2015). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5333.

    Full description at Econpapers || Download paper

  130. .

    Full description at Econpapers || Download paper

  131. Gold, Oil, and Stocks. (2014). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:14.

    Full description at Econpapers || Download paper

  132. Long memory and structural breaks in the returns and volatility of gold: evidence from Turkey. (2014). Kirkulak, Berna ; Uludag, Berna Kirkulak ; Lkhamazhapov, Zorikto .
    In: Applied Economics.
    RePEc:taf:applec:v:46:y:2014:i:31:p:3777-3787.

    Full description at Econpapers || Download paper

  133. Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models. (2014). Ulusoy, Veysel ; demiralay, sercan.
    In: MPRA Paper.
    RePEc:pra:mprapa:53229.

    Full description at Econpapers || Download paper

  134. Investigating Intraday Interdependence Between Gold, Silver and Three Major Currencies: the Euro, British Pound and Japanese Yen. (2014). Papadamou, Stephanos ; Markopoulos, Thomas.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:20:y:2014:i:4:p:399-410:10.1007/s11294-014-9490-z.

    Full description at Econpapers || Download paper

  135. Volatility Modeling and Forecasting of Istanbul Gold Exchange (IGE). (2014). Gencer, Gaye Hatice ; Musoglu, Zafer .
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:5:y:2014:i:2:p:87-101.

    Full description at Econpapers || Download paper

  136. Volatility spillovers and macroeconomic announcements evidence from crude oil markets. (2014). Lahiani, Amine ; Guesmi, Khaled ; Belgacem, Aymen ; Creti, Anna.
    In: Working Papers.
    RePEc:ipg:wpaper:201409.

    Full description at Econpapers || Download paper

  137. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Chkili, Walid.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-389.

    Full description at Econpapers || Download paper

  138. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Chkili, Walid.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-325.

    Full description at Econpapers || Download paper

  139. Non-linear volatility dynamics and risk management of precious metals. (2014). Ulusoy, Veysel ; demiralay, sercan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:30:y:2014:i:c:p:183-202.

    Full description at Econpapers || Download paper

  140. Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks. (2014). Shahbaz, Muhammad ; Ali, Imran ; Rehman, Ijaz Ur ; Tahir, Mohammad Iqbal .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:28:y:2014:i:c:p:190-205.

    Full description at Econpapers || Download paper

  141. Volatility Transmission and Spillovers among Gold, Bonds and Stocks: An Empirical Evidence from Turkey. (2014). Gencer, Hatice Gaye ; Musoglu, Zafer .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-04-02.

    Full description at Econpapers || Download paper

  142. Volatility Transmission and Spillovers among Gold, Bonds and Stocks: An Empirical Evidence from Turkey. (2014). Gencer, Hatice Gaye ; Musoglu, Zafer .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-03-02.

    Full description at Econpapers || Download paper

  143. Gold, Oil, and Stocks. (2014). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1308.0210.

    Full description at Econpapers || Download paper

  144. Exogenous Shocks and Information Transmission in Global Copper Futures Markets. (2013). Yin, Libo ; Han, Liyan.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:33:y:2013:i:8:p:724-751.

    Full description at Econpapers || Download paper

  145. The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:336.

    Full description at Econpapers || Download paper

  146. The Relationships Among Stocks, Bonds and Gold: Safe Haven, Hedge or Neither?. (2013). Lin, Chi-Tai ; Huang, Chien-Ming .
    In: Diversity, Technology, and Innovation for Operational Competitiveness: Proceedings of the 2013 International Conference on Technology Innovation and I.
    RePEc:tkp:tiim13:s2_164-180.

    Full description at Econpapers || Download paper

  147. Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’. (2013). Miyazaki, Takashi ; Hamori, Shigeyuki.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:1:p:27-40.

    Full description at Econpapers || Download paper

  148. London or New York: where and when does the gold price originate?. (2013). lucey, brian ; Larkin, Charles ; O'Connor, Fergal A..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:20:y:2013:i:8:p:813-817.

    Full description at Econpapers || Download paper

  149. An application of MGARCH-DCC analysis on selected currencies in terms of gold Price. (2013). Masih, Abul ; Mohamad, Sharifah Fairuz Syed, .
    In: MPRA Paper.
    RePEc:pra:mprapa:62349.

    Full description at Econpapers || Download paper

  150. The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios. (2013). Nagayev, Ruslan ; Masih, Abul.
    In: MPRA Paper.
    RePEc:pra:mprapa:58852.

    Full description at Econpapers || Download paper

  151. A study on the Price Behavior of Base Metals traded in India. (2013). Sinha, Pankaj ; Mathur, Kritika.
    In: MPRA Paper.
    RePEc:pra:mprapa:47028.

    Full description at Econpapers || Download paper

  152. Determinants of the gold price in Vietnam. (2013). Mai, Nhat Chi.
    In: OSF Preprints.
    RePEc:osf:osfxxx:pv8dz.

    Full description at Econpapers || Download paper

  153. Determinants of the gold price in Vietnam. (2013). Nguyet, Nguyen Thi ; Chi, Trinh Thuy ; Son, Le Thi.
    In: OSF Preprints.
    RePEc:osf:osfxxx:85dqp.

    Full description at Econpapers || Download paper

  154. An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan. (2013). Batool, Sadia ; Tufail, Saira .
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:18:y:2013:i:2:p:1-35.

    Full description at Econpapers || Download paper

  155. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models. (2013). Nguyen, Duc Khuong ; Chkili, Walid .
    In: Working Papers.
    RePEc:ipg:wpaper:9.

    Full description at Econpapers || Download paper

  156. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models. (2013). Nguyen, Duc Khuong ; Chkili, Walid ; Hammoudeh, Shawkat.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-9.

    Full description at Econpapers || Download paper

  157. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models. (2013). Hammoudeh, Shawkat ; Chkili, Walid .
    In: Working Papers.
    RePEc:ipg:wpaper:2013-009.

    Full description at Econpapers || Download paper

  158. Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. (2013). Nguyen, Duc Khuong ; Lahiani, Amine ; Hammoudeh, Shawkat ; AROURI, Mohamed ; Mohamed El Hedi Arouri, ; Mohamed El Hedi Arouri, .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00798033.

    Full description at Econpapers || Download paper

  159. Is gold a hedge or safe haven against oil price movements?. (2013). Reboredo, Juan.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:38:y:2013:i:2:p:130-137.

    Full description at Econpapers || Download paper

  160. Is gold a safe haven or a hedge for the US dollar? Implications for risk management. (2013). Reboredo, Juan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:2665-2676.

    Full description at Econpapers || Download paper

  161. Crude oil, equity and gold futures open interest co-movements. (2013). Soucek, Michael ; Souek, Michael .
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:306-315.

    Full description at Econpapers || Download paper

  162. Gold as an inflation hedge in a time-varying coefficient framework. (2013). Czudaj, Robert ; Beckmann, Joscha.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:24:y:2013:i:c:p:208-222.

    Full description at Econpapers || Download paper

  163. Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models. (2013). lucey, brian ; OConnor, Fergal A..
    In: Borsa Istanbul Review.
    RePEc:bor:bistre:v:13:y:2013:i:3:p:53-63.

    Full description at Econpapers || Download paper

  164. Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets. (2013). Palomba, Giulio ; Nicolau, Mihaela ; TRAINI, Ilaria .
    In: Working Papers.
    RePEc:anc:wpaper:394.

    Full description at Econpapers || Download paper

  165. Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework. (2012). Czudaj, Robert ; Beckmann, Joscha.
    In: Ruhr Economic Papers.
    RePEc:zbw:rwirep:362.

    Full description at Econpapers || Download paper

  166. Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies. (2012). Selmi, Refk ; bouoiyour, jamal ; Ayachi, Fethi.
    In: MPRA Paper.
    RePEc:pra:mprapa:49144.

    Full description at Econpapers || Download paper

  167. Do Bubbles occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models.. (2012). lucey, brian ; O'Connor, Fergal A..
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp418.

    Full description at Econpapers || Download paper

  168. Long memory and structural breaks in modeling the return and volatility dynamics of precious metals. (2012). Nguyen, Duc Khuong ; Lahiani, Amine ; Hammoudeh, Shawkat ; AROURI, Mohamed ; Arouri, Mohamed El Hedi, .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:2:p:207-218.

    Full description at Econpapers || Download paper

  169. Volatility persistence in metal returns: A FIGARCH approach. (2012). Odusami, Babatunde ; Cochran, Steven J. ; Mansur, Iqbal.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:64:y:2012:i:4:p:287-305.

    Full description at Econpapers || Download paper

  170. Has gold been a hedge against inflation in France from 1949 to 2011? Empirical evidence of the French specificity.. (2012). HOANG, Thi Hong Van ; van Hoang, Thi Hong.
    In: Working Papers.
    RePEc:afc:wpaper:12-05.

    Full description at Econpapers || Download paper

  171. Commodity prices and inflation: Testing in the frequency domain. (2011). Ciner, Cetin .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:25:y:2011:i:3:p:229-237.

    Full description at Econpapers || Download paper

  172. Comparative analysis on the effects of the Asian and global financial crises on precious metal markets. (2011). Andreosso-O'Callaghan, Bernadette ; Morales, Lucia.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:25:y:2011:i:2:p:203-227.

    Full description at Econpapers || Download paper

  173. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf741.

    Full description at Econpapers || Download paper

  174. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies. (2010). yuan, yun ; McAleer, Michael ; Hammoudeh, Shawkat.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:19449.

    Full description at Econpapers || Download paper

  175. Precious metals-exchange rate volatility transmissions and hedging strategies. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Thompson, Mark A. ; Yuan, Yuan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:19:y:2010:i:4:p:633-647.

    Full description at Econpapers || Download paper

  176. An overview of global gold market and gold price forecasting. (2010). Topal, Erkan ; Shafiee, Shahriar.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:35:y:2010:i:3:p:178-189.

    Full description at Econpapers || Download paper

  177. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. (2010). Zhang, Yue-Jun ; Wei, Yi-Ming.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:35:y:2010:i:3:p:168-177.

    Full description at Econpapers || Download paper

  178. Gold prices, cost of carry, and expected inflation. (2010). Blose, Laurence E..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:62:y:2010:i:1:p:35-47.

    Full description at Econpapers || Download paper

  179. Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. (2010). Hammoudeh, Shawkat ; Choi, Kyongwook.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:8:p:4388-4399.

    Full description at Econpapers || Download paper

  180. Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf218.

    Full description at Econpapers || Download paper

  181. Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies. (2009). McAleer, Michael ; Hammoudeh, Shawkat ; Thompson, Mark A. ; Yuan, Yuan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf684.

    Full description at Econpapers || Download paper

  182. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies. (2009). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf668.

    Full description at Econpapers || Download paper

  183. Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies. (2009). yuan, yun ; McAleer, Michael ; Hammoudeh, Shawkat ; Thompson, M. A..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17308.

    Full description at Econpapers || Download paper

  184. Effects of international gold market on stock exchange volatility: evidence from asean emerging stock markets. (2009). Sriboonchitta, Songsak ; McAleer, Michael ; Do, Giam.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00065.

    Full description at Econpapers || Download paper

  185. Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies. (2009). McAleer, Michael ; Hammoudeh, Shawkat ; Thompson, Mark A. ; Yuan, Yuan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf187.

    Full description at Econpapers || Download paper

  186. Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies. (2009). McAleer, Michael ; Hammoudeh, Shawkat ; Yuan, Yuan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf172.

    Full description at Econpapers || Download paper

  187. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. (2009). Zhang, Yue-Jun ; Wei, Yi-Ming.
    In: CEEP-BIT Working Papers.
    RePEc:biw:wpaper:5.

    Full description at Econpapers || Download paper

  188. Metal volatility in presence of oil and interest rate shocks. (2008). Hammoudeh, Shawkat ; Yuan, Yuan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:2:p:606-620.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aggarwal, R. ; Soenen, L. The nature and efficiency of the gold market. 1988 J. Portfolio Manage.. 14 18-21
    Paper not yet in RePEc: Add citation now

  2. Bailey, W. Money supply announcements and the ex ante volatility of asset prices. 1988 J. Money, Credit Banking. 20 611-620

  3. Baker, S.A. ; Van-Tassel, R.C. Forecasting the price of gold: a fundamentist approach. 1985 Atlantic Econ. J.. 13 43-52
    Paper not yet in RePEc: Add citation now

  4. Brooks, R. ; Faff, R. ; McKenzie, M. ; Mitchell, H. A multi-country study of power arch models and national stock market returns. 2000 Int. Money Finance. 19 377-397

  5. Cai, J. ; Cheung, Y.-L. ; Wong, M.C.S. What moves the gold market?. 2001 J. Futures Markets. 21 257-278
    Paper not yet in RePEc: Add citation now

  6. Christie-David, R. ; Chaudhry, M. ; Koch, T. Do macroeconomic news releases affect gold and silver prices. 2000 J. Econ. Business. 52 405-421

  7. Ciner, C. On the longrun relationship between gold and silver: a note. 2001 Global Finance J.. 12 299-303
    Paper not yet in RePEc: Add citation now

  8. Davidson, S. ; Faff, R. ; Hillier, D. Gold factor exposures in international asset pricing. 2003 Int. Financial Markets Inst. Money. 00 1-19

  9. Diba, B., Grossman, H, 1984. Rational bubbles in the price of gold. NBER Working Paper: 1300. National Bureau of Economic Research, Cambridge, MA.

  10. Ding, Z. ; Granger, C.W.J. ; Engle, R.F. Long memory property of stock market returns and a new model. 1993 J. Empirical Finance. 1 83-106

  11. Draper, P. ; Faff, R. ; Hillier, D. Do precious metals shine? An investment perspective. 2006 Financial Analysts J.. 62 98-106
    Paper not yet in RePEc: Add citation now
  12. Egan, P. ; Peters, C. The performance of defensive investments. 2001 J. Altern. Investments. 4 49-56
    Paper not yet in RePEc: Add citation now

  13. Engle, R. Garch 101: The use of Arch/Garch models in applied econometrics. 2001 J. Econ. Perspectives. 15 157-168

  14. Fortune, J.N. The inflation rate of the price of gold, expected prices and interest rates. 1987 J. Macroeconomics. 9 71-82

  15. Ghosh, D. ; Levin, E.J. ; Macmillan, P. ; Wright, R.E. Gold as an Inflation Hedge. 2000 St. Andrews, Department of Economics, University of St. Andrews:

  16. Giot, P. ; Laurent, S. Modelling daily value-at-risk using realized volatility and Arch type models. 2004 J. Empirical Finance. 11 379-398

  17. Goodman, B. The price of gold and international liquidity. 1956 J. Finance. 11 15-28

  18. Hentschel, L. All in the family: nesting symmetric and asymmetric Garch models. 1995 J. Financial Econ.. 39 71-104

  19. Johnson, R. ; Soenen, L. Gold as an investment asset—perspectives from different coutries. 1997 J. Investing. 6 94-99
    Paper not yet in RePEc: Add citation now

  20. Kaufmann, T. ; Winters, R. The price of gold: a simple model. 1989 Resour. Policy. 19 309-318

  21. Kitchen, J. Domestic and international financial market responses to federal deficit announcements. 1996 J. Int. Money Finance. 15 239-254

  22. Koutsoyiannis, A. A short-run pricing model ofr a speculative asset tested with data from the gold bullion market. 1983 Appl. Econ.. 15 563-582
    Paper not yet in RePEc: Add citation now
  23. Lawrence, C. Why is Gold Differenct from Other Assets? An Empirical Investigation. 2003 World Gold Council: London
    Paper not yet in RePEc: Add citation now
  24. Lucey, B. ; Tully, E. Seasonality, risk and return in daily comex gold and silver 1980–2002. 2006 Appl. Financial Econ.. 16 519-533
    Paper not yet in RePEc: Add citation now
  25. McKenzie, M. ; Mitchell, H. Generalised asymmetric power arch modeling of exchange rate volatility. 1999 Appl. Financial Econ.. 12 555-564
    Paper not yet in RePEc: Add citation now

  26. McKenzie, M. ; Mitchell, H. ; Brooks, R. ; Faff, R. Power arch modelling of commodity futures data on the London metal exchange. 2001 Eur. J. Finance. 7 22-38

  27. Melvin, M. ; Sultan, J. South Africa political unrest, oil prices, and the time varying risk premium in the gold futures market. 1990 J. Futures Markets. 10 103-112

  28. Sherman, E. Gold: a conservative, prudent diversifier. 1982 J. Portfolio Manage.. 21-27
    Paper not yet in RePEc: Add citation now
  29. Sherman, E.J. A gold pricing model. 1983 J. Portfolio Manage.. 9 68-70
    Paper not yet in RePEc: Add citation now

  30. Sjaastad, L.A. ; Scacciavillani, F. The price of gold and the exchange rate. 1996 J. Int. Money Finance. 15 879-897

  31. Smith, G. London Gold Prices and Stock Prices in Europe and Japan. 2002 World Gold Council: London
    Paper not yet in RePEc: Add citation now

  32. Solt, M. ; Swanson, P. On the efficiency of the markets for gold and silver. 1981 J. Business. 54 453-478

  33. Tandon, K. ; Urich, T. International market response to announcements of Us macroeconomic data. 1987 J. Int. Money Finance. 6 71-84
    Paper not yet in RePEc: Add citation now
  34. Tooma, E.A. ; Sourial, M.S. Modeling the Egyptian stock market volatility pre- and post circuit breaker. 2004 J. Dev. Econ. Policies. 7 73-106
    Paper not yet in RePEc: Add citation now

  35. Tse, Y.K. ; Tsui, A.K.C. Conditional volatility in foreign exchange rates: evidence fro the Malaysian ringgit and Singapore dollar. 1997 Pacific-Basin Finance J.. 5 345-356

  36. World Gold Council has been altered–Scott-Ram, R., 2002. Managing Portfolio Risk with Gold. World Gold Council, London.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises. (2022). Hunter, John ; Yfanti, S ; Karanasos, M.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04042-y.

    Full description at Econpapers || Download paper

  2. Economic drivers of volatility and correlation in precious metal markets. (2022). Walther, Thomas ; Nguyen, Khuong ; Goutte, Stephane ; Dinh, Theu.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-03672469.

    Full description at Econpapers || Download paper

  3. A century and a half of the monetary base-stock market relationship. (2022). Serletis, Apostolos ; Azad, Nahiyan Faisal.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:85:y:2022:i:c:p:118-124.

    Full description at Econpapers || Download paper

  4. Economic drivers of volatility and correlation in precious metal markets. (2022). Nguyen, Duc Khuong ; Goutte, Stéphane ; Walther, Thomas ; Dinh, Theu.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:28:y:2022:i:c:s240585132100074x.

    Full description at Econpapers || Download paper

  5. Structural change and financial instability in the US economy. (2021). Ninomiya, Kenshiro ; Tokuda, Masaaki.
    In: Evolutionary and Institutional Economics Review.
    RePEc:spr:eaiere:v:18:y:2021:i:1:d:10.1007_s40844-020-00169-y.

    Full description at Econpapers || Download paper

  6. Macro news and long-run volatility expectations. (2020). Wilhelmsson, Anders ; Vilhelmsson, Anders.
    In: Knut Wicksell Working Paper Series.
    RePEc:hhs:luwick:2020_001.

    Full description at Econpapers || Download paper

  7. Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish.
    In: Energy Economics.
    RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615.

    Full description at Econpapers || Download paper

  8. The impacts of public news announcements on intraday implied volatility dynamics. (2019). Ryu, Doojin ; Lee, Jieun.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:6:p:656-685.

    Full description at Econpapers || Download paper

  9. The Volatility Structure of Cryptocurrencies: The Comparison of GARCH Models. (2019). Brahim, Habib Kuukahn.
    In: Fiscaoeconomia.
    RePEc:fis:journl:190202.

    Full description at Econpapers || Download paper

  10. The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets. (2019). Al-Shboul, Mohammad ; Alsharari, Nizar.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:73:y:2019:i:c:p:119-135.

    Full description at Econpapers || Download paper

  11. Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8000.

    Full description at Econpapers || Download paper

  12. On the Dynamic Linkages Among International Emerging Currencies. (2018). Mighri, Zouheir.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0088-1.

    Full description at Econpapers || Download paper

  13. Risk Analysis of World Major Stock Index Before and After the 2008 Financial Crisis ¨C Based on GARCH-VaR Approach. (2018). Wu, Maoguo ; Wang, Yanyuan.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:9:y:2018:i:2:p:39-54.

    Full description at Econpapers || Download paper

  14. .

    Full description at Econpapers || Download paper

  15. .

    Full description at Econpapers || Download paper

  16. Improving Value-at-Risk Estimation from the Normal EGARCH Model. (2017). Sajjad, Rasoul ; Gorji, Mahsa.
    In: Contemporary Economics.
    RePEc:wyz:journl:id:492.

    Full description at Econpapers || Download paper

  17. LONG RANGE DEPENDENCE AND STRUCTURAL BREAKS IN THE GOLD MARKETS. (2017). CHONG, Terence Tai Leung ; Chan, Wing Hong ; Lu, Chenxi ; Leung, Terence Tai.
    In: The Singapore Economic Review (SER).
    RePEc:wsi:serxxx:v:65:y:2017:i:02:n:s0217590817500096.

    Full description at Econpapers || Download paper

  18. Exchange rate volatility and bilateral exports of Malaysia to Singapore, China, Japan, the USA and Korea. (2017). Wong, Hock Tsen.
    In: Empirical Economics.
    RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1129-x.

    Full description at Econpapers || Download paper

  19. Exchange rate volatilities and disaggregated bilateral exports of Malaysia to the United States: empirical evidence. (2016). Tsen, Wong Hock.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:6:y:2016:i:2:d:10.1007_s40822-015-0045-2.

    Full description at Econpapers || Download paper

  20. Long Range Dependence and Structural Breaks in the Gold Markets. (2016). CHONG, Terence Tai Leung ; Chan, Wing H ; Lu, Chenxi .
    In: MPRA Paper.
    RePEc:pra:mprapa:80553.

    Full description at Econpapers || Download paper

  21. Modelling Conditional Volatility and Downside Risk for Istanbul Stock Exchange. (2016). Ahmed, Doaa.
    In: Working Papers.
    RePEc:erg:wpaper:1028.

    Full description at Econpapers || Download paper

  22. Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions. (2015). Assaf, Ata.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:29:y:2015:i:c:p:30-45.

    Full description at Econpapers || Download paper

  23. Is there an ideal in-sample length for forecasting volatility?. (2015). Kambouroudis, Dimos S ; McMillan, David G.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:37:y:2015:i:c:p:114-137.

    Full description at Econpapers || Download paper

  24. Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries. (2015). Hammoudeh, Shawkat ; Aloui, Chaker ; ben Hamida, Hela .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:31:y:2015:i:c:p:311-329.

    Full description at Econpapers || Download paper

  25. .

    Full description at Econpapers || Download paper

  26. Modeling international stock market contagion using multivariate fractionally integrated APARCH approach. (2014). Mighri, Zouheir Ahmed ; Mansouri, Faysal.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:doi:10.1080/23322039.2014.963632.

    Full description at Econpapers || Download paper

  27. Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models. (2014). Ersin, Özgür ; Bildirici, Melike.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2014:i:3:p:108-135.

    Full description at Econpapers || Download paper

  28. The interaction between money and asset markets: A spillover index approach. (2014). Cronin, David.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:39:y:2014:i:pa:p:185-202.

    Full description at Econpapers || Download paper

  29. The response of tail risk perceptions to unconventional monetary policy. (2013). Sushko, Vladyslav ; Schrimpf, Andreas ; Hattori, Masazumi.
    In: BIS Working Papers.
    RePEc:bis:biswps:425.

    Full description at Econpapers || Download paper

  30. The Effect of the Introduction of the Euro on Asymmetric Stock Market Returns Volatility Across the Euro-Zone. (2013). Brooks, Robert ; Moorhead, Simon .
    In: Journal of Accounting and Management Information Systems.
    RePEc:ami:journl:v:12:y:2013:i:2:p:280-301.

    Full description at Econpapers || Download paper

  31. Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies. (2012). Selmi, Refk ; bouoiyour, jamal ; Ayachi, Fethi.
    In: MPRA Paper.
    RePEc:pra:mprapa:49144.

    Full description at Econpapers || Download paper

  32. What Makes the VIX Tick?. (2012). Zheng, Lin ; Zhou, Yinggang ; Bailey, Warren .
    In: Working Papers.
    RePEc:hkm:wpaper:222012.

    Full description at Econpapers || Download paper

  33. Impact of news announcements on the foreign exchange implied volatility. (2012). Marshall, Andrew ; Musayev, Taleh ; Tang, Leilei ; Pinto, Helena .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:4:p:719-737.

    Full description at Econpapers || Download paper

  34. Modeling and explaining the dynamics of European Union Allowance prices at high-frequency. (2012). Rotfuß, Waldemar ; Conrad, Christian ; Rittler, Daniel .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:1:p:316-326.

    Full description at Econpapers || Download paper

  35. The roles of news and volatility in stock market correlations during the global financial crisis. (2012). Brooks, Robert ; Mun, Melissa .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:1:p:1-7.

    Full description at Econpapers || Download paper

  36. Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study. (2011). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159.

    Full description at Econpapers || Download paper

  37. Explaining asymmetric volatility around the world. (2010). Rieger, Marc Oliver ; Talpsepp, Tõnn, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:5:p:938-956.

    Full description at Econpapers || Download paper

  38. Gold and oil futures markets: Are markets efficient?. (2010). Narayan, Seema ; Zheng, Xinwei.
    In: Applied Energy.
    RePEc:eee:appene:v:87:y:2010:i:10:p:3299-3303.

    Full description at Econpapers || Download paper

  39. Skew-Normal Mixture and Markov-Switching GARCH Processes. (2010). Haas, Markus.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:14:y:2010:i:4:n:1.

    Full description at Econpapers || Download paper

  40. Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes. (2009). Haas, Markus.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:79:y:2009:i:15:p:1674-1683.

    Full description at Econpapers || Download paper

  41. Empirical evidence on feedback trading in mature and emerging stock markets. (2008). Siklos, Pierre ; Bohl, Martin .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:17:p:1379-1389.

    Full description at Econpapers || Download paper

  42. Do foreign trading patterns cause abnormal information from Taiwanese stock markets?. (2008). Lee, Ming-Chih .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:15:y:2008:i:15:p:1219-1224.

    Full description at Econpapers || Download paper

  43. Power transformation models and volatility forecasting. (2008). McKenzie, Michael D. ; Sadorsky, Perry.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:7:p:587-606.

    Full description at Econpapers || Download paper

  44. The autocorrelation structure of the Markov-switching asymmetric power GARCH process. (2008). Haas, Markus.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:78:y:2008:i:12:p:1480-1489.

    Full description at Econpapers || Download paper

  45. Robust outlier detection for Asia-Pacific stock index returns. (2008). Ureche-Rangau, Loredana ; Gambet, Jean-Benoit ; Ane, Thierry ; Bouverot, Julien.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:18:y:2008:i:4:p:326-343.

    Full description at Econpapers || Download paper

  46. Is the Relationship between Inflation and Its Uncertainty Linear?. (2008). Schurer, Stefanie ; Karanasos, Menelaos.
    In: German Economic Review.
    RePEc:bla:germec:v:9:y:2008:i::p:265-286.

    Full description at Econpapers || Download paper

  47. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Working Papers.
    RePEc:awi:wpaper:0472.

    Full description at Econpapers || Download paper

  48. A Robust VaR Model under Different Time Periods and Weighting Schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
    In: MPRA Paper.
    RePEc:pra:mprapa:80466.

    Full description at Econpapers || Download paper

  49. A robust VaR model under different time periods and weighting schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:28:y:2007:i:2:p:187-201.

    Full description at Econpapers || Download paper

  50. A power GARCH examination of the gold market. (2007). lucey, brian ; Tully, Edel.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:21:y:2007:i:2:p:316-325.

    Full description at Econpapers || Download paper

  51. Power arch modelling of the volatility of emerging equity markets. (2007). Brooks, Robert.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:8:y:2007:i:2:p:124-133.

    Full description at Econpapers || Download paper

  52. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

    Full description at Econpapers || Download paper

  53. Stock market dynamics in a regime-switching asymmetric power GARCH model. (2006). Ureche-Rangau, Loredana ; Ane, Thierry .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:15:y:2006:i:2:p:109-129.

    Full description at Econpapers || Download paper

  54. A re-examination of the asymmetric power ARCH model. (2006). Karanasos, Menelaos ; Kim, Jinki.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:1:p:113-128.

    Full description at Econpapers || Download paper

  55. An analysis of the flexibility of Asymmetric Power GARCH models. (2006). Ane, Thierry .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:2:p:1293-1311.

    Full description at Econpapers || Download paper

  56. Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities. (2005). Shamiri, Ahmed ; Hassan, Abu .
    In: Econometrics.
    RePEc:wpa:wuwpem:0509015.

    Full description at Econpapers || Download paper

  57. Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information. (2005). GAO, Jiti ; Yao, Juan ; Alles, Lakshman.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:13:y:2005:i:2:p:225-245.

    Full description at Econpapers || Download paper

  58. Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets. (2004). Siklos, Pierre ; Bohl, Martin T..
    In: Research Paper Series.
    RePEc:uts:rpaper:137.

    Full description at Econpapers || Download paper

  59. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. (2004). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80487.

    Full description at Econpapers || Download paper

  60. International transmission of stock exchange volatility: Empirical evidence from the Asian crisis. (2004). Lafuente, Juan Angel ; Fernandez-Izquierdo, Angeles.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:15:y:2004:i:2:p:125-137.

    Full description at Econpapers || Download paper

  61. Power ARCH modelling of commodity futures data on the London Metal Exchange. (2001). faff, robert ; Brooks, Robert ; Michael D. McKenzie, Heather Mitchell, Robert D. B, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:1:p:22-38.

    Full description at Econpapers || Download paper

  62. Evolution of market uncertainty around earnings announcements. (2001). Perignon, Christophe ; Isakov, Dusan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:9:p:1769-1788.

    Full description at Econpapers || Download paper

  63. Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010704.

    Full description at Econpapers || Download paper

  64. Macroeconomic news and the euro/dollar exchange rate. (2001). Galati, Gabriele ; Ho, Corrinne .
    In: BIS Working Papers.
    RePEc:bis:biswps:105.

    Full description at Econpapers || Download paper

  65. Monetary rules and stock market value. (1999). young, leslie ; boyle, glenn.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:51:y:1999:i:4:p:365-372.

    Full description at Econpapers || Download paper

  66. Does central bank intervention stabilize foreign exchange rates?. (1996). Bonser-Neal, Catherine.
    In: Economic Review.
    RePEc:fip:fedker:y:1996:i:qi:p:43-57:n:v.81no.1.

    Full description at Econpapers || Download paper

  67. Central bank intervention and the volatility of foreign exchange rates: evidence from the options market. (1996). Bonser-Neal, Catherine ; Tanner, Glenn.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:15:y:1996:i:6:p:853-878.

    Full description at Econpapers || Download paper

  69. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-24 19:41:58 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.