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Volatility transmission between gold and oil futures under structural breaks

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1995Multivariate Simultaneous Generalized ARCH4,510 cited
1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
2010Is gold a safe haven? International evidence1,944 cited
1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
2002Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime737 cited
1999Volatility in Emerging Stock Markets735 cited
2008Striking oil: Another puzzle?616 cited
2005Gold as a hedge against the dollar572 cited
2009Dynamics of oil price, precious metal prices, and exchange rate504 cited
1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.

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