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Applied Economics Letters Volume 17, 2010 - Issue 2
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Original Articles

Volatility in the gold futures market

Jonathan Andrew Batten Department of Finance, School of Business and Management, Hong Kong University of Science & Technology, Clear Water Bay, Kowloon, Hong Kong; Graduate School of Management, Macquarie University, Level 6, 51-57 Pitt St, Sydney, NSW, 2000, AustraliaCorrespondence[email protected]
&
Brian M. Lucey Trinity College, School of Business, Dublin, Ireland
Pages 187-190 | Published online: 05 Apr 2008

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Andrew Urquhart. (2017) How predictable are precious metal returns?. The European Journal of Finance 23:14, pages 1390-1413.
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Jonathan A. Batten, Peter G. Szilagyi & Niklas F. Wagner. (2015) Should emerging market investors buy commodities?. Applied Economics 47:39, pages 4228-4246.
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Articles from other publishers (33)

Alessandro Paolo Rigamonti, Giulio Greco & Alessandro Capocchi. (2024) Futures, provisional sales, and earnings management in the global gold mining industry. Finance Research Letters 59, pages 104808.
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Sayar Karmakar, Rangan Gupta, Oguzhan Cepni & Lavinia Rognone. (2023) Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model. Resources Policy 82, pages 103438.
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Shanghui Jia, Xinhui Chen, Liyan Han & Jiayu Jin. (2023) Global climate change and commodity markets: A hedging perspective. Journal of Futures Markets.
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Afees A. Salisu, Elie Bouri & Rangan Gupta. (2022) Out-of-sample predictability of gold market volatility: The role of US Nonfarm Payroll. The Quarterly Review of Economics and Finance 86, pages 482-488.
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Juan D. Díaz, Erwin Hansen & Gabriel Cabrera. (2022) Gold risk premium estimation with machine learning methods. Journal of Commodity Markets, pages 100293.
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Diancong Wu, Jian Lang & Guoqiang Liu. (2022) Research on the application of algorithms based on the greedy algorithm and optimal model. Research on the application of algorithms based on the greedy algorithm and optimal model.
Kamola Bayram & Anwar Hasan Abdullah Othman. 2022. Future of Organizations and Work After the 4th Industrial Revolution. Future of Organizations and Work After the 4th Industrial Revolution 125 144 .
Alexandre Aidov & Olesya Lobanova. (2021) Volatility and Depth in Commodity and FX Futures Markets. Journal of Risk and Financial Management 14:11, pages 545.
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Jonathan A. Batten, Igor Lončarski & Peter G. Szilagyi. (2021) Strategic insider trading in foreign exchange markets. Journal of Corporate Finance 69, pages 101818.
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Meng-Shiuh Chang, Chih-Chun Kung, Meng-Wei Chen & Yuan Tian. (2021) Volatility regime, inverted asymmetry, contagion, and flights in the gold market. Pacific-Basin Finance Journal 67, pages 101522.
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Xiaowen Wang, Ying Ma & Wen Li. (2021) The Prediction of Gold Futures Prices at the Shanghai Futures Exchange Based on the MEEMD-CS-Elman Model. SAGE Open 11:1, pages 215824402110018.
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MOHD FAHMI GHAZALI, HOOI HOOI LEAN & ZAKARIA BAHARI. (2019) DOES GOLD INVESTMENT OFFER PROTECTION AGAINST STOCK MARKET LOSSES? EVIDENCE FROM FIVE COUNTRIES. The Singapore Economic Review 65:02, pages 275-301.
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S. Maria Immanuvel & D. Lazar. (2020) Does Information Spillover and Leverage Effect Exist in World Gold Markets?. Global Business Review, pages 097215091988547.
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Hachmi Ben Ameur & Eric Le Fur. (2020) Volatility transmission to the fine wine market. Economic Modelling 85, pages 307-316.
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Shaen Corbet, Michael Dowling, Xiangyun Gao, Shupei Huang, Brian Lucey & Samuel A. Vigne. (2019) An analysis of the intellectual structure of research on the financial economics of precious metals. Resources Policy 63, pages 101416.
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Neil A. Wilmot. (2019) Heavy Metals: Might as Well Jump. International Journal of Financial Studies 7:2, pages 33.
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Sangram Keshari Jena, Aviral Kumar Tiwari & David Roubaud. (2018) Comovements of gold futures markets and the spot market: A wavelet analysis. Finance Research Letters 24, pages 19-24.
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Julien Chevallier & Florian Ielpo. (2017) Investigating the leverage effect in commodity markets with a recursive estimation approach. Research in International Business and Finance 39, pages 763-778.
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Gang-Jin Wang, Chi Xie, Zhi-Qiang Jiang & H. Eugene Stanley. (2016) Extreme risk spillover effects in world gold markets and the global financial crisis. International Review of Economics & Finance 46, pages 55-77.
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Sunil S. Poshakwale & Anandadeep Mandal. (2016) Determinants of asymmetric return comovements of gold and other financial assets. International Review of Financial Analysis 47, pages 229-242.
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Lu Xian, Kaijian He & Kin Keung Lai. (2016) Gold price analysis based on ensemble empirical model decomposition and independent component analysis. Physica A: Statistical Mechanics and its Applications 454, pages 11-23.
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Nikolaos Antonakakis & Renatas Kizys. (2015) Dynamic spillovers between commodity and currency markets. International Review of Financial Analysis 41, pages 303-319.
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Mohd Fahmi Ghazali & Hooi Hooi Lean. 2015. Econometrics of Risk. Econometrics of Risk 203 218 .
Julien Chevallier & Florian Ielpo. 2013. The Economics of Commodity Markets. The Economics of Commodity Markets 3 67 .
Doojin Ryu. (2013) Price impact asymmetry of futures trades: Trade direction and trade size. Emerging Markets Review 14, pages 110-130.
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Bradley T. Ewing & Farooq Malik. (2013) Volatility transmission between gold and oil futures under structural breaks. International Review of Economics & Finance 25, pages 113-121.
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Dirk G. Baur. (2012) Asymmetric Volatility in the Gold Market. The Journal of Alternative Investments 14:4, pages 26-38.
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Dirk G Baur. (2012) Asymmetric Volatility in the Gold Market. The Journal of Alternative Investments, pages 120223000721008.
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Lucía Morales & Bernadette Andreosso-O’Callaghan. (2011) Comparative analysis on the effects of the Asian and global financial crises on precious metal markets. Research in International Business and Finance 25:2, pages 203-227.
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Stéphane Meng-Feng Yen & Ying-Lin Hsu. (2010) Profitability of technical analysis in financial and commodity futures markets — A reality check. Decision Support Systems 50:1, pages 128-139.
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Felix Fattinger & Alexandre Ziegler. (2015) Risk and Return Around the Clock. SSRN Electronic Journal.
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Jonathan A. Batten, Peter G. Szilagyi & Niklas Wagner. (2015) Should Investors Buy Commodities?. SSRN Electronic Journal.
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Nikolaos Antonakakis & Renatas Kizys. (2014) Do Shining Precious Metals Overshadow Other Assets? Dynamic Spillovers Between Commodity and Currency Markets. SSRN Electronic Journal.
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