How to cite this paper
Sattarifar, F., Faez, A & Vakilolroaya, Y. (2014). The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models.Management Science Letters , 4(3), 583-590.
Refrences
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Cai, J., Cheung, Y. L., & Wong, M. (2001). What moves the gold market?. Journal of Futures Markets, 21(3), 257-278.
Ding, Z., Granger, C.W.J., & Engle, R.F. (1993). Long memory property of stock market returns and a new model. Journal Empirical Finance, 1, 83–106.
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801.
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica: Journal of the Econometric Society, 391-407.
Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric theory, 11(01), 122-150.
Ivanova, K., & Ausloos, M. (1999). Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate. The European Physical Journal B-Condensed Matter and Complex Systems, 8(4), 665-669.
Lawrence, C. (2003). Why is gold different from other assets? An empirical investigation. London, UK: The World Gold Council.
Melvin, M., & Sultan, J. (1990). South African political unrest, oil prices, and the time varying risk premium in the gold futures market. Journal of Futures Markets, 10(2), 103-111.
Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325.
Cai, J., Cheung, Y. L., & Wong, M. (2001). What moves the gold market?. Journal of Futures Markets, 21(3), 257-278.
Ding, Z., Granger, C.W.J., & Engle, R.F. (1993). Long memory property of stock market returns and a new model. Journal Empirical Finance, 1, 83–106.
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801.
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica: Journal of the Econometric Society, 391-407.
Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric theory, 11(01), 122-150.
Ivanova, K., & Ausloos, M. (1999). Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate. The European Physical Journal B-Condensed Matter and Complex Systems, 8(4), 665-669.
Lawrence, C. (2003). Why is gold different from other assets? An empirical investigation. London, UK: The World Gold Council.
Melvin, M., & Sultan, J. (1990). South African political unrest, oil prices, and the time varying risk premium in the gold futures market. Journal of Futures Markets, 10(2), 103-111.
Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325.