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. Investors and speculators such as investment banks, hedge funds, mutual funds, etc. pay close attention to the price and … volatility of these commodities. The daily returns of Brent, gold and silver from 8 April 1999 to 7 April 2009 are employed to … model the volatility and volatility spillovers across markets. The univariate conditional volatility models suggest that …
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This paper empirically examines the degree of persistence in four precious metal prices (i.e., gold, palladium, platinum, and silver) during the last four U.S. recessions. Unit root tests and fractional integration techniques suggest that gold still is the most prominent safe haven asset within...
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In this paper, the relationship between Brent oil prices, LME copper prices, Turkish gold and silver spot prices, BIST100 index, interest rate and exchange rate is examined. Their long run Granger causality relationship is investigated by looking at Wald statistics. The short run relationship...
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