Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework

Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework

This article considers the impact of major scheduled US macroeconomic announcements on the COMEX gold futures market in a high-frequency setting. A VAR-GARCH framework identifies the significant relationship between the release of macroeconomic news and measures of market activity. There is a well-d...

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Bibliographic Details
Main Authors: Smales, Lee, O'Grady, B., Yang, Y.
Format: Journal Article
Published: Routledge 2015
Subjects:
VAR-GARCH
gold futures
COMEX
macroeconomic announcements
high-frequency
Online Access:http://hdl.handle.net/20.500.11937/28039

Internet

http://hdl.handle.net/20.500.11937/28039

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