References
- Aggarwal , R and Lucey , B . 2007 . Psychological barriers in gold prices? . Review of Financial Economics , 16 : 217 – 30 .
- Baur , D and Lucey , B . 2010 . Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold . The Financial Review , 45 : 217 – 29 .
- Baur , D and McDermott , T . 2010 . Is gold a safe haven? International evidence . Journal of Banking and Finance , 34 : 1886 – 98 .
- Bhar , R and Hamori , S . 2004 . Information flow between price change and trading volume in gold futures contracts . International Journal of Business and Economics , 3 : 45 – 56 .
- Bhar , R and Hamori , S . 2005 . Causality in variance and the type of traders in crude oil futures . Energy Economics , 27 : 527 – 39 .
- Bhar , R and Hamori , S . 2008 . Information content of commodity futures prices for monetary policy . Economic Modelling , 25 : 274 – 83 .
- Bollerslev , T , Chou , R and Kroner , K . 1992 . ARCH modeling in finance: a review of theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
- Bollerslev , T . 1994 . Engle, R. and Nelson, D. (Eds) , ARCH models, in Handbook of Econometrics, Vol. 4, North-Holland, Amsterdam, pp. 2959–3038
- Capie , F , Mills , T and Wood , G . 2005 . Gold as a hedge against the dollar . Journal of International Financial Markets, Institutions and Money , 15 : 343 – 52 .
- Caporale , GM , Pittis , N and Spagnolo , N . 2002 . Testing for causality-in-variance: an application to the East Asian markets . International Journal of Finance and Economics , 7 : 235 – 45 .
- Chan , KF , Treepongkaruna , S , Brooks , R and Gray , S . 2011 . Asset market linkages: evidence from financial, commodity and real estate assets . Journal of Banking and Finance , 35 : 1415 – 26 .
- Cheung , YW and Ng , L . 1996 . A causality in variance test and its application to financial market prices . Journal of Econometrics , 72 : 33 – 48 .
- Ciner , C . 2010 . Gurdgiev, C. and Lucey, B. , Hedges and safe havens – an examination of stocks, bonds, oil, gold and dollar, Discussion paper No. 337, Institute for International Integration Studies
- Cohen , G and Qadan , M . 2010 . Is gold still a shelter to fear? . American Journal of Social and Management Sciences , 1 : 39 – 43 .
- Diebold , F and Yilmaz , K . 2009 . Measuring financial asset return and volatility spillovers, with application to global equity markets . The Economic Journal , 119 : 158 – 71 .
- Diebold , F and Yilmaz , K . (Eds) (2010) Equity market spillovers in the Americas, in Financial Stability, Monetary Policy, and Central Banking, Vol. 15, Central Bank of Chile, Santiago, Chile, pp. 199–214
- Do , G , McAleer , M and Sriboonchitta , S . 2009 . Effects of international gold market on stock exchange volatility: evidence from ASEAN emerging stock markets . Economics Bulletin , 29 : 599 – 610 .
- Economist . 2009 . Haring Away, 26 February 2009 , London : The Economist Newspaper Limited .
- Economist . 2010 . Store of Value, 8 July 2010 , London : The Economist Newspaper Limited .
- Enders , W . 2010 . Applied Econometric Time Series , 3rd , Hoboken , NJ : John Wiley & Sons, Inc. .
- Hamilton , J . 1994 . Time Series Analysis , Princeton : Princeton University Press .
- Hillier , D , Draper , P and Faff , R . 2006 . Do precious metals shine? An investment perspective . Financial Analysts Journal , 62 : 98 – 106 .
- Hong , Y . 2001 . A test for volatility spillover with application to exchange rates . Journal of Econometrics , 103 : 183 – 224 .
- Hoshikawa , T . 2008 . The causal relationships between foreign exchange intervention and exchange rate . Applied Economics Letters , 15 : 519 – 22 .
- Inagaki , K . 2007 . Testing for volatility spillover between the British pound and the euro . Research in International Business and Finance , 21 : 161 – 74 .
- Joy , M . 2011 . Gold and the US dollar: hedge or haven? . Finance Research Letters , 8 : 120 – 31 .
- Kim , M and Dilts , D . 2011 . The relationship of the value of the dollar, and the prices of gold and oil: a tale of asset risk . Economics Bulletin , 31 : 1151 – 62 .
- Lawrence , C . 2003 . Why is Gold Different from Other Assets? An empirical Investigation , London : World Gold Council .
- Lucey , B and Tully , E . 2006 . Seasonality, risk and return in daily COMEX gold and silver data 1982–2002 . Applied Financial Economics , 16 : 319 – 33 .
- Mahdavi , S and Zhou , S . 1997 . Gold and commodity prices as leading indicators of inflation: tests of long-run relationship and predictive performance . Journal of Economics and Business , 49 : 475 – 89 .
- Nelson , D . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 349 – 70 .
- Pukthuanthong , K and Roll , R . 2011 . Gold and the dollar (and the euro, pound, and yen) . Journal of Banking and Finance , 35 : 2070 – 83 .
- Sari , R , Soytas , U and Hacihasanoglu , E . 2011 . Do global risk perceptions influence world oil prices? . Energy Economics , 33 : 515 – 24 .
- Smith , G . 2002 . Tests of the random walk hypothesis for London gold prices . Applied Economics Letters , 9 : 671 – 4 .
- Sumner , S , Johnson , R and Soenen , L . 2010 . Spillover effects among gold, stocks, and bonds . Journal of CENTRUM Cathedra , 3 : 106 – 20 .
- Tamakoshi , G . 2011 . European sovereign debt crisis and linkage of long-term government bond yields . Economics Bulletin , 31 : 2191 – 203 .
- Tully , E and Lucey , B . 2007 . A power GARCH examination of the gold market . Research in International Business and Economics , 21 : 316 – 25 .
- World Gold Council . 2011 . Gold Demand Trends: Third Quarter 2011 , London : World Gold Council .
- Worthington , A and Pahlavani , M . 2007 . Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks . Applied Financial Economics Letters , 3 : 259 – 62 .
- Yilmaz , K . 2010 . Return and volatility spillovers among the East Asian equity markets . Journal of Asian Economics , 21 : 304 – 13 .