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dc.contributor.authorTodorova, Neda
dc.date.accessioned2017-08-28T07:24:04Z
dc.date.available2017-08-28T07:24:04Z
dc.date.issued2017
dc.identifier.issn0165-1765
dc.identifier.doi10.1016/j.econlet.2016.11.027
dc.identifier.urihttp://hdl.handle.net/10072/345045
dc.description.abstractBased on 13.5 years of intraday data, this paper sheds light on the inverse asymmetric volatility effect inherent in the gold market. After decomposing realized volatility into positive and negative semivariance, rolling estimations of the HAR model uncover the relative importance of the long-term positive semivariance and reveal the dynamics of the individual volatility components over time. Two effects are identified: The relevance of the short-term negative semivariance is rather pervasive while the impact of the positive semivariance is strongly correlated with the overall development of the gold market. The asymmetric nature of gold price volatility is multi-faceted and hence more complex than previously documented.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom138
dc.relation.ispartofpageto141
dc.relation.ispartofjournalEconomics Letters
dc.relation.ispartofvolume150
dc.subject.fieldofresearchMacroeconomics (incl. Monetary and Fiscal Theory)
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchcode140212
dc.subject.fieldofresearchcode14
dc.titleThe asymmetric volatility in the gold market revisited
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorTodorova, Neda


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