Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
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Open access
Authors
Smales, Lee
O'Grady, B.
Yang, Y.
Date
2015Type
Journal Article
Metadata
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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
ISSN
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
Collection
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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