Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
| dc.contributor.author | Smales, Lee | |
| dc.contributor.author | O'Grady, B. | |
| dc.contributor.author | Yang, Y. | |
| dc.date.accessioned | 2017-01-30T13:02:38Z | |
| dc.date.available | 2017-01-30T13:02:38Z | |
| dc.date.created | 2015-07-12T20:00:53Z | |
| dc.date.issued | 2015 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/28039 | |
| dc.identifier.doi | 10.1080/13504851.2014.972538 | |
| dc.description.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. | |
| dc.publisher | Routledge | |
| dc.subject | VAR-GARCH | |
| dc.subject | gold futures | |
| dc.subject | COMEX | |
| dc.subject | macroeconomic announcements | |
| dc.subject | high-frequency | |
| dc.title | Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework | |
| dc.type | Journal Article | |
| dcterms.source.volume | 22 | |
| dcterms.source.number | 9 | |
| dcterms.source.startPage | 710 | |
| dcterms.source.endPage | 716 | |
| dcterms.source.issn | 1350-4851 | |
| dcterms.source.title | Applied Economics Letters | |
| curtin.note |
The Version of Record of this manuscript has been published and is available in Applied Economics Letters 2015 | |
| curtin.department | School of Economics and Finance | |
| curtin.accessStatus | Open access |