Miyazaki, Takashi; Hamori, Shigeyuki - In: International Journal of Financial Research 5 (2014) 4, pp. 90-97
This paper investigates the long-run relationship between gold and three main financial variables based on daily data from January 1990 to May 2013. By using the Gregory¨CHansen cointegration test, we show that there exists a cointegrating relation with regime shift between gold and the three...