Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
MetadataShow full item record
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
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.
Showing items related by title, author, creator and subject.
Warm welcome or rude awakening? Repatriation experiences of Indian and Dutch international assignees and intention to leave the organisationValk, Reimara; Van der Velde, M.; Van Engen, M.; Szkudlarek, B. (2015)Purpose – The purpose of this exploratory, empirical study is to gain insight into repatriation experiences and repatriate turnover intention of employees from India and The Netherlands who either were or had been on ...
Impact of crude-oil price volatility on economic activities: An empirical investigation in the Thai economyRafiq, Shuddsattwa; Salim, Ruhul; Bloch, Harry (2008)This paper empirically examines the impact of oil price volatility on key macroeconomic indicators of Thailand. Following Andersen et al. [2004. Analytical evaluation of volatility forecasts. International Economic Review ...
Liu, J.; Love, Peter; Carey, B.; Smith, J.; Regan, M. (2015)© 2014 American Society of Civil Engineers. Public-private partnerships (PPPs) are currently a popular approach for governments to procure social and economic infrastructure. The macroeconomic environment plays a critical ...