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    Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework

    227202.pdf (386.2Kb)
    Access Status
    Open access
    Authors
    Smales, Lee
    O'Grady, B.
    Yang, Y.
    Date
    2015
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Smales, L. and O'Grady, B. and Yang, Y. 2015. Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework. Applied Economics Letters. 22 (9): pp. 710-716.
    Source Title
    Applied Economics Letters
    DOI
    10.1080/13504851.2014.972538
    ISSN
    1350-4851
    School
    School of Economics and Finance
    Remarks

    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

    URI
    http://hdl.handle.net/20.500.11937/28039
    Collection
    • Curtin Research Publications
    Abstract

    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.

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