Do precious metals shine? An investment perspective

D Hillier, P Draper, R Faff - Financial analysts journal, 2006 - Taylor & Francis
The investment role of precious metals in financial markets is investigated by analysis of
daily data for gold, platinum, and silver from 1976 to 2004. All three precious metals have …

A power GARCH examination of the gold market

E Tully, BM Lucey - Research in International Business and Finance, 2007 - Elsevier
This paper investigates macroeconomic influences on gold using the asymmetric power
GARCH model (APGARCH) of [Ding, Z., Granger, CWJ, Engle, RF, 1993. Long memory …

Co‐kurtosis and capital asset pricing

H Fang, TY Lai - Financial Review, 1997 - Wiley Online Library
This paper examines the impact of co‐kurtosis on asset pricing using a four‐moment capital
asset pricing model. It is shown that, in the presence of skewness and kurtosis in asset …

Gold prices, cost of carry, and expected inflation

LE Blose - Journal of Economics and Business, 2010 - Elsevier
How do changes in expected inflation affect gold prices? Using unexpected changes in the
Consumer Price Index (CPI) this paper shows that surprises in the CPI do not affect gold …

What moves the gold market?

J Cai, YL Cheung, MCS Wong - Journal of Futures Markets …, 2001 - Wiley Online Library
In this article, we provide a detailed characterization of the intraday return volatility in gold
futures contracts traded on the COMEX division of the New York Mercantile Exchange. The …

Animal spirits in financial economics: A review of deviations from economic rationality

R Aggarwal - International Review of Financial Analysis, 2014 - Elsevier
John Keynes made the notion of animal spirits a central part of economics in 1936.
However, recent financial literature is dominated by asset pricing models based on strict …

Psychological barriers in gold prices?

R Aggarwal, BM Lucey - Review of Financial Economics, 2007 - Elsevier
This paper examines for the first time the existence of psychological barriers in a variety of
daily and intra-day gold price series. This paper uses a number of statistical procedures and …

[PDF][PDF] Gold price volatility and stock market returns in India

PK Mishra, JR Das, SK Mishra - American Journal of Scientific …, 2010 - researchgate.net
The study of the capital market of a country in terms of a wide range of macroeconomic and
financial variables has been the subject matter of many researches since last few decades …

South African political unrest, oil prices, and the time varying risk premium in the gold futures market

M Melvin, J Sultan - The Journal of Futures Markets (1986 …, 1990 - search.proquest.com
Oil Prices, and the Time Varying Page 1 South African Political Unrest, Oil Prices, and the Time
Varying Risk Premium in the Gold Futures Market Michael Melvin Jahangir Sultan |P opinion …

Seasonality, risk and return in daily COMEX gold and silver data 1982–2002

BM Lucey, E Tully - Applied Financial Economics, 2006 - Taylor & Francis
This study examines seasonality in the conditional and unconditional mean and variance of
daily gold and silver contracts over the 1982–2002 periods. Using COMEX cash and futures …