Long memory volatility of gold price returns: how strong is the evidence from distinct economic cycles?
This paper examines the long memory behavior in the volatility of gold returns using daily data for the period 1985–2009. We divided the whole sample into eight sub-samples in order to analyze the robustness and consistency of our results during different crisis periods. This constitutes our main co...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Texto completo: | http://hdl.handle.net/10071/12344 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/12344 |