Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
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This article considers the impact of major scheduled US macroeconomic announcements on the COMEX gold futures market in a high-frequency setting. A VAR-GARCH framework identifies the significant relationship between the release of macroeconomic news and measures of market activity. There is a well-defined link between (higher) volatility, (higher) trading costs and (lower) transaction volume.
The Version of Record of this manuscript has been published and is available in Applied Economics Letters 2015 http://www.tandfonline.com/ 10.1080/13504851.2014.972538
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