This study employs the momentum threshold error-correction model with generalized autoregressive conditional heteroskedasticity to investigate asymmetric cointegration and causal relationships between West Texas Intermediate Crude Oil and gold prices in the futures market. The paper examines...

This paper investigates how global market sentiment propagates among the markets and how the interdependency through the propagation changes during the course of the US subprime crisis. We adopt a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, and use a sample...