Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices-Reference-Cited by-同舟云学术

Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices

Published:2013-02-14 Issue:6 Volume:33 Page:555-572
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Badshah Ihsan Ullah¹,Frijns Bart²,Tourani-Rad Alireza³

Affiliation:

1. Ihsan Ullah Badshah is at the Auckland University of Technology and an Affiliate Member of the Auckland Centre for Financial Research; Auckland; New Zealand

2. Bart Frijns is at the Auckland University of Technology and a Fellow of the Auckland Centre for Financial Research; Auckland; New Zealand

3. Alireza Tourani-Rad is at the Auckland University of Technology and a Fellow of the Auckland Centre for Financial Research; Auckland; New Zealand

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference19 articles.

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2. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold;Baur;Financial Review,2010

3. Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns;Blair;Journal of Econometrics,2001

4. Gold prices, cost of carry, and expected inflation;Blose;Journal of Economics and Business,2010

5. A historical examination of optimal real return portfolios for non-US investors;Bruno;Review of Financial Economics,2010

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