Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: new evidence
This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods o...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2016
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| Texto completo: | http://hdl.handle.net/10071/11254 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/11254 |