Testing Leverage and Spillover Effects in Precious Metal ETFs

Simple item page
dc.contributor.authorChen, Jo-Hui
dc.contributor.authorTrang Do, Thi Van
dc.date.accessioned2018-07-11T07:05:58Z
dc.date.available2018-07-11T07:05:58Z
dc.date.issued2018-02
dc.description.abstractThis research employed the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (GARCH-M-ARMA) and the Exponentially Generalized Autoregressive Conditional Heteroskedasticity-in-Mean-Autoregressive Moving Average (EGARCH-M-ARMA) models to investigate the spillover and leverage effects in the returns and volatilities of precious metal (base metal) ETFs. Significant positive relationships were found between precious metal (base metal) ETFs and precious metal (base metal) price indices. Further, the positive relationship between risk and return was illustrated in daily precious metal (base metal) ETFs.en_US
dc.identifier.citationTheoretical Economics Letters, 2018, 8, 197-212en_US
dc.identifier.issn2162-2086
dc.identifier.urihttps://doi.org/10.4236/tel.2018.83015
dc.identifier.urihttp://hdl.handle.net/123456789/1783
dc.language.isoenen_US
dc.publisherScientific Researchen_US
dc.subjectPrecious Metal ETFsen_US
dc.subjectSpillover Effecten_US
dc.subjectLeverage Effecten_US
dc.titleTesting Leverage and Spillover Effects in Precious Metal ETFsen_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
TEL_2018020815231045.pdf
Size:
310.07 KB
Format:
Adobe Portable Document Format
Description:
Full Text
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Business and Economics