Dynamic conditional correlation and volatility distributions in Tokyo, London, and New York gold markets

This study investigates the volatility and co-movement of gold prices across Tokyo, London, and New York gold markets. Using a dynamic conditional correlation (DCC) model, the authors estimate the cross-correlation and volatility of gold in each pair among three markets over the period from 1993 to...

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Bibliographic Details
Main Authors: Chia-Ju Lee, Tuan-Nam Lai, Chang-Chou Chiang, Hai-Chin Yu
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2019-12-01
Series:Investment Management & Financial Innovations
Subjects:
Online Access:https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12749/IMFI_2019_04_Lee.pdf