Fan, Wei; Fang, Sihai; Lu, Tao - In: China Finance Review International 4 (2014), pp. 58-75
Purpose– This study aims to propose the idea of which macro-factors and how the macro-factors impact on the gold price. Design/methodology/approach– An EGARCH model is applied to test the volatility of gold price. A VAR method is applied to validate the idea by decomposing gold's value into...