Long memory and structural breaks in modeling the return and volatility dynamics of precious metals

By Mohamed Arouri, Shawkat Hammoudeh, Amine Lahiani, Duc Khuong Nguyen. 2012

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/81d029f8f6753762824775a5bda62764c0ae4941

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, methodology): “This test AC C EP TE D M AN U SC R IP T however has a size distortion problem when heteroscedasticity is present in the time series data (Arouri et al., 2012).”
Dynamic correlation of precious metals and flight-to-quality in developed markets (2017, background): “However, it is well known from literature that precious metals feature distinct properties such as asymmetry or long memory in variance ( Arouri et al., 2012; Chkili et al., 2014; Chkili, 2016; Hammoudeh et al., 2010 ).”
World gold prices and stock returns in China: Insights for hedging and diversification strategies (2015, background): “1 See Arouri et al. (2012) for a detailed discussion of this literature. hal-00798038, version 1 -7 Mar 2013 Our study extends the existing literature into return and volatility spillover between gold and stock markets, portfolio designs in the presence of both gold and stocks, and choice of appropr”
Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model (2015, unknown): “Apart from the actual persistent effects in ACFs, it is well known that regime switching can also induce long memory (Diebold and Inoue, 2001; Choi et al., 2010; Arouri et al., 2012; Charfeddine and Guégan, 2012; Yalama and Celik, 2013; Wang and Vasilakis, 2012).”
Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, methodology): “However, only a few of them have studied the dynamics and distributional characteristics of precious metal prices (Cheung and Lai, 1993; Arouri et al, 2012; Ewing and Malik, 2013; Uludag and Lkhamazhapov, 2014).”
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014, background): “…while past studies have extensively investigated the issue of volatility modeling and forecasting for crude oil and related petroleum products (Arouri et al., 2012b; Wei et al., 2010; and references therein), none of them have extended their samples to include natural gas, gold, and silver at…”