A power GARCH examination of the gold market

By Edel Tully, Brian M. Lucey. 2007

389 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f694fa64d5bd760b044cc664e0f377c9b435756a

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Citations in the corpus

An overview of global gold market and gold price forecasting (2010, background): “Germany, France and Italy are the other major countries which individually keep gold bank reserves similar to the level of that held by the International Monetary Fund (IMF), around 3000 tonnes.”
Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016, background): “Tully and Lucey (2007) developed an APGARCH 1 OPEC Annual Statistical Bulletin, http://www.opec.org/library/Annual% 20Statistical%20Bulletin/interactive/current/FileZ/Main.htm.”
Metal volatility in presence of oil and interest rate shocks (2008, neutral): “…of volatility persistence when sudden changes in the variance are taken into account.7 The recent literature on precious metal volatility (e.g., Tully and Lucey, 2007) uses the (asymmetric) power GARCH (APGARCH) model which nests the ARCH and GARCHmodels and takes into account the leverage and…”
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals (2012, methodology): “…price volatility and spillovers based on various extensions of GARCH models (Tully and Lucey, 2007; Hammoudeh and Yuan, 2008; Watkins and McAleer, 2008; Hammoudeh, Yuan and McAleer, 2010), they generally have a major drawback by assuming a stable structure of parameters in the metal volatility…”
The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500 (2015, background): “So, understanding the gold price volatility enhances our understanding of financial markets (Tully and Lucey, 2007) and enables us to have a better view of the whole economy.”
Gold, Oil, and Stocks: Dynamic Correlations (2016, neutral): “Plus, Tully and Lucey (2007) show that the U.S. dollar is a key variable that exhibits a strong link towards gold and Zhang, Fan, Tsai, and Wei (2008) show the same for oil.”
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework (2012, methodology): “They conduct the linear cointegration test proposed by Engle and Granger (1987) as well as the nonlinear threshold cointegration test 8Furthermore, Tully and Lucey (2007) have applied a power GARCH approach and also do not find a significant relationship between gold prices and inflation.”