An application of MGARCH-DCC analysis on selected currencies in terms of gold Price
Download full text from publisher
References listed on IDEAS
- Toraman, Cengiz & Basarir, Cagatay & Bayramoglu, Mehmet Fatih, 2011. "Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 2(4), pages 1-37, October.
- Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
- Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
More about this item
KeywordsMGARCH-DCC; gold; Euro; Pound; US Dollar; Japanese Yen; Malaysian Ringgit; Canadian Dollar;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-SEA-2015-02-28 (South East Asia)
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:pra:mprapa:62349. 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: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.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.