LONG RANGE DEPENDENCE AND STRUCTURAL BREAKS IN THE GOLD MARKETS

被引：1
|
作者：
Chong, Terence Tai Leung [1 ,2 ,3 ]
Lu, Chenxi [4 ]
Chan, Wing Hong [5 ]
机构：
[1] Chinese Univ Hong Kong, Dept Econ, Hong Kong, Peoples R China
[2] Chinese Univ Hong Kong, Lau Chor Tak Inst Global Econ & Finance, Hong Kong, Peoples R China
[3] Nanjing Univ, Dept Int Econ & Trade, Nanjing, Peoples R China
[4] Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China
[5] Wilfrid Laurier Univ, Lazaridis Sch Business & Econ, Waterloo, ON, Canada
来源：
SINGAPORE ECONOMIC REVIEW | 2020年 / 65卷 / 02期
关键词：
Long memory; modified R/S statistic; FIGARCH; spot gold; gold futures; TIME-SERIES MODEL; TERM-MEMORY; VOLATILITY; ANNOUNCEMENTS; VARIANCE; RETURNS;
D O I：
10.1142/S0217590817500096
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The price of gold and its determining factors have been studied extensively in the literature. However, there is a lack of research on structural break in the long memory of the gold markets. This paper examines the long memory properties of gold prices. In particular, it attempts to test the stability of the long range dependence of gold returns and volatility. The results suggest that long memory exists in gold returns and volatility, and that the volatility of daily gold futures returns can be characterized by a hyperbolic decaying long memory process. Three episodes of structural breaks are found.
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页码：257 / 273
页数：17
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