Antunes, João Marques; Fuinhas, José Alberto; … - Volkswirtschaftliche Fakultät, … - 2014
The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of … gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the … IPI→S&P500; S&P500→VIX; VIX→PSI20. The analysis of the variance decomposition indicates the prevalence of the explanation …