Ewing, Bradley T.; Malik, Farooq - In: International Review of Economics & Finance 25 (2013) C, pp. 113-121
This paper employs univariate and bivariate GARCH models to examine the volatility of gold and oil futures incorporating structural breaks using daily returns from July 1, 1993 to June 30, 2010. We find strong evidence of significant transmission of volatility between gold and oil returns when...
