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Gold markets around the world – who spills over what, to whom, when?
12 references·16 citing·47 second hop
Gold markets around the world – who spills over what, to whom, when? (2014)Gold markets around the world – who spill…ユーロの国際化の現状について--国際決済銀行『Triennial Central Bank Survey: Report on global foreign exchange market activity』2010年版および欧州中央銀行『The International Role of The Euro』2010年版を参考にしながら (短期共同研究プロジェクト 国際経済の法と経済学) (2011)ユーロの国際化の現状について--国際決済銀行『Trienn…Properties of range-based volatility estimators (2011)Properties of range-based vol…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Price discovery and investor structure in stock index futures (2010)Price discovery and investor …Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Psychological barriers in gold prices? (2006)Psychological barriers in gol…Cross-market linkages between U.S. and Japanese precious metals futures trading (2004)Cross-market linkages between…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Realized higher-order moments spillovers across cryptocurrencies (2023)Realized higher-order moments…On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia (2021)On spillover effects between …Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China (2020)Volatility spillovers between…Night trading and market quality: Evidence from Chinese and US precious metal futures markets (2020)Night trading and market qual…Giver and the receiver: Understanding spillover effects and predictive power in cross-market Bitcoin prices (2019)Giver and the receiver: Under…Forecasting of dependence, market, and investment risks of a global index portfolio (2019)Forecasting of dependence, ma…Financial crises and dynamic spillovers among Chinese stock and commodity futures markets (2019)Financial crises and dynamic …Do precious metals act as hedges or safe havens for China's financial markets? (2019)Do precious metals act as hed…Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices (2018)Is gold a Sometime Safe Haven…Is gold a hedge against inflation? A wavelet time-scale perspective (2017)Is gold a hedge against infla…Comovements of gold futures markets and the spot market: A wavelet analysis (2017)Comovements of gold futures m…How predictable are precious metal returns? (2016)How predictable are precious …High-low range in GARCH models of stock return volatility (2016)High-low range in GARCH model…Extreme risk spillover effects in world gold markets and the global financial crisis (2016)Extreme risk spillover effect…On the efficiency of the global gold markets (2015)On the efficiency of the glob…Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)Is gold different for risk-av…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A PANIC Attack on Unit Roots and Cointegration (2004)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Brownian motion and stochastic calculus (1991)The distribution of realized stock return volatility (2001)Brownian Motion and Stochastic Calculus (2007)Which precious metals spill over on which, when and why? Some evidence (2014)Oil market volatility and stock market volatility (2018)Understanding risk of bubbles in cryptocurrencies (2020)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)Judgment under Uncertainty: Heuristics and Biases (1975)Judgment under Uncertainty (1982)Judgment Under Uncertainty: Heuristics and Biases. (1984)Is there co-movement of agricultural commodities futures prices and crude oil? (2011)Are gold and silver a hedge against inflation? A two century perspective (2015)The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)International spillovers of policy uncertainty (2014)Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis (2016)Patterns in high-frequency FX data: discovery of 12 empirical scaling laws (2010)The new IMF approach to capital account management and its blind spots: lessons from Brazil and South Korea (2013)Financial Market Dislocations (2014)
this work references cited by second hop

References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets245 cited
  • 2006Psychological barriers in gold prices?159 cited
  • 2011Properties of range-based volatility estimators136 cited
  • 2011ユーロの国際化の現状について--国際決済銀行『Triennial Central Bank Survey: Report on global foreign exchange market activity』2010年版および欧州中央銀行『The International Role of The Euro』2010年版を参考にしながら (短期共同研究プロジェクト 国際経済の法と経済学)126 cited
  • 2004Cross-market linkages between U.S. and Japanese precious metals futures trading122 cited
  • 2010Price discovery and investor structure in stock index futures122 cited

Cited by

  • 2020Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China85 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2018Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices82 cited
  • 2017Is gold a hedge against inflation? A wavelet time-scale perspective76 cited
  • 2019Financial crises and dynamic spillovers among Chinese stock and commodity futures markets74 cited
  • 2019Do precious metals act as hedges or safe havens for China's financial markets?74 cited
  • 2016Extreme risk spillover effects in world gold markets and the global financial crisis74 cited
  • 2016High-low range in GARCH models of stock return volatility71 cited
  • 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange70 cited
  • 2019Giver and the receiver: Understanding spillover effects and predictive power in cross-market Bitcoin prices55 cited
  • 2015On the efficiency of the global gold markets47 cited
  • 2021On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia46 cited
  • 2017Comovements of gold futures markets and the spot market: A wavelet analysis38 cited
  • 2023Realized higher-order moments spillovers across cryptocurrencies35 cited
  • 2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets34 cited
  • 2016How predictable are precious metal returns?33 cited
  • 2019Forecasting of dependence, market, and investment risks of a global index portfolio32 cited