The Macroeconomic Determinants of Volatility in Precious Metals Markets
Download full text from publisher
Other versions of this item:
- Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2010. "The macroeconomic determinants of volatility in precious metals markets," Resources Policy, Elsevier, vol. 35(2), pages 65-71, June.
References listed on IDEAS
- Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
- Sambit Bhattacharyya & Jeffrey G. Williamson, 2011.
"Commodity Price Shocks And The Australian Economy Since Federation,"
Australian Economic History Review,
Economic History Society of Australia and New Zealand, vol. 51(2), pages 150-177, July.
- Sambit Bhattacharyya & Jeffrey G. Williamson, 2009. "Commodity Price Shocks and the Australian Economy since Federation," NBER Working Papers 14694, National Bureau of Economic Research, Inc.
- Sambit Bhattacharyya & Jeffrey G Williamson, 2010. "Commodity Price Shocks and the Australian Economy Since Federation," OxCarre Working Papers 041, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
- Sambit Bhattacharyya & Jeffrey G Williamson, 2009. "Commodity Price Shocks and the Australian Economy since Federation," Departmental Working Papers 2009-02, The Australian National University, Arndt-Corden Department of Economics.
- Sambit Bhattacharyya & Jeffrey G. Williamson, 2009. "Commodity Price Shocks and the Australian Economy since Federation," CEPR Discussion Papers 605, Centre for Economic Policy Research, Research School of Economics, Australian National University.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
- Christopher L. Gilbert, 2008. "Commodity Speculation and Commodity Investment," Department of Economics Working Papers 0820, Department of Economics, University of Trento, Italia.
- Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
- Gary Gorton & K. Geert Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," NBER Working Papers 10595, National Bureau of Economic Research, Inc.
- Wing H. Chan & Denise Young, 2006. "Jumping hedges: An examination of movements in copper spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(2), pages 169-188, February.
- Sadorsky, Perry, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, Elsevier, vol. 12(2), pages 191-205.
- Racine, Jeffrey, 2001. "On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 380-382, July.
- Fernandez, Viviana, 2008. "The war on terror and its impact on the long-term volatility of financial markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 1-26.
- Thomas Lee & John Zyren, 2007. "Volatility Relationship between Crude Oil and Petroleum Products," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 35(1), pages 97-112, March.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008.
"Forecasting commodity prices: GARCH, jumps, and mean reversion,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
- Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006. "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Staff Working Papers 06-14, Bank of Canada.
- Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-1228, September.
- Mahdavi, Saeid & Zhou, Su, 1997. "Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance," Journal of Economics and Business, Elsevier, vol. 49(5), pages 475-489.
- Hammoudeh, Shawkat & Yuan, Yuan, 2008. "Metal volatility in presence of oil and interest rate shocks," Energy Economics, Elsevier, vol. 30(2), pages 606-620, March.
- Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2006. "Information, Trading, and Volatility: Evidence from Weather-Sensitive Markets," Journal of Finance, American Finance Association, vol. 61(6), pages 2899-2930, December.
- Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-554, June.
- Chng, Michael T., 2009. "Economic linkages across commodity futures: Hedging and trading implications," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 958-970, May.
- Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
- Pierre Collin-Dufresne, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:iis:dispap:iiisdp255. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maeve). General contact details of provider: http://edirc.repec.org/data/cetcdie.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.