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LONG RANGE DEPENDENCE AND STRUCTURAL BREAKS IN THE GOLD MARKETS
2017
Singapore Economic Review
The price of gold and its determining factors have been studied extensively in the literature. However, there is a lack of research on structural break in the long memory of the gold markets. This paper examines the long memory properties of gold prices. In particular, it attempts to test the stability of the long range dependence of gold returns and volatility. The results suggest that long memory exists in gold returns and volatility, and that the volatility of daily gold futures returns can
doi:10.1142/s0217590817500096
fatcat:fyxnonu6vzddpdgb462wihi7ru