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Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model

As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic pr...

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Main Authors: Ping, P. Y., Ahmad, M. H. B., Ismail, N. B.
Format: Conference or Workshop Item
Published: American Institute of Physics Inc. 2016
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/id/eprint/73201/
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984576601&doi=10.1063%2f1.4954611&partnerID=40&md5=ff274b45390d4db784a7dc7f6ffa3ea5
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spelling my.utm.732012017-11-29T23:58:42Z http://eprints.utm.my/id/eprint/73201/ Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model Ping, P. Y. Ahmad, M. H. B. Ismail, N. B. QA Mathematics As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own pre-fluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar. American Institute of Physics Inc. 2016 Conference or Workshop Item PeerReviewed Ping, P. Y. and Ahmad, M. H. B. and Ismail, N. B. (2016) Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model. In: 23rd Malaysian National Symposium of Mathematical Sciences: Advances in Industrial and Applied Mathematics, SKSM 2015, 24 November 2015 through 26 November 2015, Johor Bahru; Malaysia. https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984576601&doi=10.1063%2f1.4954611&partnerID=40&md5=ff274b45390d4db784a7dc7f6ffa3ea5
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic QA Mathematics
spellingShingle QA Mathematics
Ping, P. Y.
Ahmad, M. H. B.
Ismail, N. B.
Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model
description As the interaction between international and domestic financial markets increases, the interaction between gold market and financial markets also increases. Today, the financial attributes of gold play a more evidence role in dominating the gold price. Taking into account time-varying and dynamic properties of volatility spillover effect in the financial markets, this paper investigates the time-varying volatility relationship between gold markets and U.S. dollar by using the bivariate-BEKK. This paper also investigate whether gold volatility is significantly affected by its own pre-fluctuations, its aggregation and lasting properties, and the bi-directional volatility spillover between the gold market and U.S. dollar.
format Conference or Workshop Item
author Ping, P. Y.
Ahmad, M. H. B.
Ismail, N. B.
author_facet Ping, P. Y.
Ahmad, M. H. B.
Ismail, N. B.
author_sort Ping, P. Y.
title Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model
title_short Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model
title_full Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model
title_fullStr Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model
title_full_unstemmed Volatility spillover effect study in U.S. dollar and gold market based on bivariate-BEKK model
title_sort volatility spillover effect study in u.s. dollar and gold market based on bivariate-bekk model
publisher American Institute of Physics Inc.
publishDate 2016
url http://eprints.utm.my/id/eprint/73201/
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84984576601&doi=10.1063%2f1.4954611&partnerID=40&md5=ff274b45390d4db784a7dc7f6ffa3ea5
_version_ 1643656603258322944
score 13.18916

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