Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model

As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic pr...

全面介绍

Saved in:
书目详细资料
Main Authors: Ping, P. Y., Ahmad, M. H. B., Ismail, N. B.
格式: Conference or Workshop Item
出版: American Institute of Physics Inc. 2016
主题:
在线阅读:http://eprints.utm.my/id/eprint/73201/
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984576601&doi=10.1063%2f1.4954611&partnerID=40&md5=ff274b45390d4db784a7dc7f6ffa3ea5
标签: 添加标签
没有标签, 成为第一个标记此记录!
实物特征
总结:As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own pre-fluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar.