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...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
LLC "CPC "Business Perspectives"
2019-12-01
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Series: | Investment Management & Financial Innovations |
Subjects: | |
Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12749/IMFI_2019_04_Lee.pdf |