E Tully, BM Lucey - Research in International Business and Finance, 2007 - Elsevier
This paper investigates macroeconomic influences on gold using the asymmetric power GARCH model (APGARCH) of [Ding, Z., Granger, CWJ, Engle, RF, 1993. Long memory …
H Fang, TY Lai - Financial Review, 1997 - Wiley Online Library
This paper examines the impact of co‐kurtosis on asset pricing using a four‐moment capital asset pricing model. It is shown that, in the presence of skewness and kurtosis in asset …
LE Blose - Journal of Economics and Business, 2010 - Elsevier
How do changes in expected inflation affect gold prices? Using unexpected changes in the Consumer Price Index (CPI) this paper shows that surprises in the CPI do not affect gold …
J Cai, YL Cheung, MCS Wong - Journal of Futures Markets …, 2001 - Wiley Online Library
In this article, we provide a detailed characterization of the intraday return volatility in gold futures contracts traded on the COMEX division of the New York Mercantile Exchange. The …
R Aggarwal - International Review of Financial Analysis, 2014 - Elsevier
John Keynes made the notion of animal spirits a central part of economics in 1936. However, recent financial literature is dominated by asset pricing models based on strict …
This paper examines for the first time the existence of psychological barriers in a variety of daily and intra-day gold price series. This paper uses a number of statistical procedures and …
PK Mishra, JR Das, SK Mishra - American Journal of Scientific …, 2010 - researchgate.net
The study of the capital market of a country in terms of a wide range of macroeconomic and financial variables has been the subject matter of many researches since last few decades …
BM Lucey, E Tully - Applied Financial Economics, 2006 - Taylor & Francis
This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982–2002 periods. Using COMEX cash and futures …
M Melvin, J Sultan - The Journal of Futures Markets (1986 …, 1990 - search.proquest.com
Oil Prices, and the Time Varying Page 1 South African Political Unrest, Oil Prices, and the Time Varying Risk Premium in the Gold Futures Market Michael Melvin Jahangir Sultan |P opinion …