Comovements of gold futures markets and the spot market
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Abstract
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DOI: 10.1016/j.frl.2017.05.006
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Citations
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Cited by:
- Junior, Peterson Owusu & Tiwari, Aviral Kumar & Padhan, Hemachandra & Alagidede, Imhotep, 2020. "Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India," Resources Policy, Elsevier, vol. 68(C).
- Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
- Bilgili, Faik & Kocak, Emrah & Kuskaya, Sevda & Bulut, Umit, 2022. "Co-movements and causalities between ethanol production and corn prices in the USA: New evidence from wavelet transform analysis," Energy, Elsevier, vol. 259(C).
- Nana Kwame Akosah & Imhotep Paul Alagidede & Eric Schaling, 2021. "Dynamics of Money Market Interest Rates in Ghana: Time‐Frequency Analysis of Volatility Spillovers," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 555-589, December.
- Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin, 2019. "Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- Thi Hong Van Hoang & Zhenzhen Zhu & Bing Xiao & Wing‐Keung Wong, 2020.
"The seasonality of gold prices in China does the risk‐aversion level matter?,"
Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2617-2664, September.
- Thi Hong Van Hoang & Zhenzhen Zhu & Bing Xiao & Wing‐keung Wong, 2018. "The seasonality of gold prices in China: Does the risk-aversion level matter?," Post-Print hal-01903522, HAL.
- Brian M. Lucey & Maurice Peat & Aleksandar Šević & Samuel A. Vigne, 2021. "What is the optimal weight for gold in a portfolio?," Annals of Operations Research, Springer, vol. 297(1), pages 277-291, February.
- Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
- Maria Immanuvel S & Daniel Lazar, 2022. "Does Volume of Gold Consumption Influence the World Gold Price?," JRFM, MDPI, vol. 15(7), pages 1-14, June.
- Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Hachmi Ben Ameur & Zied Ftiti & Waël Louhichi, 2022. "Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework," Annals of Operations Research, Springer, vol. 313(1), pages 171-189, June.
- Piñeiro-Chousa, Juan & López-Cabarcos, M. Ángeles & Sevic, Aleksandar & González-López, Isaac, 2022. "A preliminary assessment of the performance of DeFi cryptocurrencies in relation to other financial assets, volatility, and user-generated content," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
- Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2019. "Multiresolution analysis and spillovers of major cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 49(C), pages 191-206.
- Dejan Živkov & Slavica Manić & Ivan Pavkov, 2022. "Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals," Empirical Economics, Springer, vol. 63(2), pages 1109-1134, August.
- Sobti, Neharika & Sehgal, Sanjay & Ilango, Balakrishnan, 2021. "How do macroeconomic news surprises affect round-the-clock price discovery of gold?," International Review of Financial Analysis, Elsevier, vol. 78(C).
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Keywords
Wavelet analysis; Wavelet multiple correlation; Wavelet multiple cross correlation; Gold futures and spot market;All these keywords.
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