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Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. (2017). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Awe, Olushina.
In: Resources Policy.
RePEc:eee:jrpoli:v:53:y:2017:i:c:p:117-124.

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Cited: 22

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  2. Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. (2022). Vo, Xuan Vinh ; Alobaloke, Kafayat ; Adesina, Ayobami O ; Ogbonna, Ahamuefula E ; Yaya, Olaoluwa S.
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  3. Persistence and Volatility Spillovers of Bitcoin price to Gold and Silver prices. (2022). Vo, Xuan Vinh ; Lukman, Adewale F ; Yaya, Olaoluwa A.
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  4. Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses. (2022). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Vo, Xuan Vinh ; Alobaloke, Kafayat A ; Adesina, Oluwaseun A.
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  5. Persistence and volatility spillovers of bitcoin price to gold and silver prices. (2022). YAYA, OLAOLUWA ; Vo, Xuan Vinh ; Lukman, Adewale F.
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  6. Gold-oil dynamic relationship and the asymmetric role of geopolitical risks: Evidence from Bayesian pdBEKK-GARCH with regime switching. (2022). Han, Lingyu ; Liang, Ruibin ; Cao, Yan ; Cheng, Sheng ; Jiang, Qisheng.
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  7. Rolling, recursive evolving and asymmetric causality between crude oil and gold prices: Evidence from an emerging market. (2022). Rajderkar, Nilay Pradeep ; Kennet, Joushita J ; Renganathan, Jayashree ; Ghate, Kshitish ; Mishra, Aswini Kumar.
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  8. Gold and Silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach. (2021). YAYA, OLAOLUWA ; Olayinka, Hammed Abiola ; Vo, Xuan Vinh.
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  9. Comparative Analysis of Market Efficiency and Volatility of Energy Prices Before and During COVID-19 Pandemic Periods. (2021). YAYA, OLAOLUWA ; Ajobo, Saheed A ; Abu, Nurudeen ; Ojo, Oluwadare O ; Alaba, Oluwayemisi O.
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  10. Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management. (2021). Tiwari, Aviral ; Gözgör, Giray ; Hammoudeh, Shawkat ; Gozgor, Giray ; Trabelsi, Nader.
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  11. Fractional cointegration between gold price and inflation rate: Implication for inflation rate persistence. (2021). Ogbonna, Ahamuefula ; Lakhani, Noman ; Adedeji, Abdulfatai A ; Oloko, Tirimisiyu F.
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  12. Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach. (2021). YAYA, OLAOLUWA ; Olayinka, Hammed A ; Vo, Xuan Vinh.
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  13. Hedging oil price risk with gold during COVID-19 pandemic. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Lawal, Adedoyin.
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  14. Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach. (2021). Ogbonna, Ahamuefula ; Lakhani, Noman ; Adedeji, Abdulfatai A ; Oloko, Tirimisiyu F.
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  15. From International to Regional Commodity Price Pass-through Using Self-Driven Recurrent Networks. (2021). Ojeda, Maria Laura ; Breitkopf, Martin ; Negri, Pablo.
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  16. A fractional cointegration VAR analysis of Islamic stocks: A global perspective. (2020). Salisu, Afees ; Ndako, Umar ; Adediran, Idris ; Swaray, Raymond.
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  17. Gold prices and the cryptocurrencies: Evidence of convergence and cointegration. (2019). Gil-Alana, Luis A ; Adebola, Solarin Sakiru ; Madigu, Godfrey .
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  18. Persistence in trends and cycles of gold and silver prices: Evidence from historical data. (2019). GUPTA, RANGAN ; Gil-Alana, Luis A ; Cunado, Juncal.
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  19. The analysis of factors affecting global gold price. (2019). Zhang, BO ; Ralescu, Dan A ; Qian, Yao.
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  20. Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm. (2019). el Aziz, Mohamed Abd ; Alameer, Zakaria ; Jianhua, Zhang ; Ye, Haiwang ; Ewees, Ahmed A ; Elaziz, Mohamed Abd.
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  21. Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data. (2018). GUPTA, RANGAN ; Gil-Alana, Luis ; Cunado, Juncal.
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  22. The effects of uncertainty measures on the price of gold. (2018). Gözgör, Giray ; Bilgin, Mehmet ; Sheng, Xin ; Marco, Chi Keung ; Gozgor, Giray .
    In: International Review of Financial Analysis.
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  31. Persistence in Real Exchange Rate Convergence.. (2012). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2012-07..

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  32. Comovements among U.S. state housing prices: Evidence from fractional cointegration. (2012). Payne, James ; Gil-Alana, Luis ; Barros, Carlos.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:3:p:936-942.

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  33. Testing the Marshall-Lerner Condition in Kenya. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Mudida, Robert.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1247.

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  34. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1186.

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  35. Long Memory in German Energy Price Indices. (2012). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Barros, Carlos.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3935.

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  36. Stock market prices in China. Efficiency, mean reversion, long memory volatility and other implicit dynamics. (2011). Gil-Alana, Luis ; Cao, Yun .
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1211.

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  37. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Paper series.
    RePEc:rim:rimwps:34_11.

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  38. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:peer-00834425.

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  39. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:peer-00815563.

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  40. An I() model with trend and cycles. (2011). Abadir, Karim ; Distaso, Walter ; Giraitis, Liudas.
    In: Post-Print.
    RePEc:hal:journl:hal-00834425.

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  41. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Post-Print.
    RePEc:hal:journl:hal-00815563.

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  42. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
    In: Working Papers.
    RePEc:gue:guelph:2011-05..

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  43. An I(d) model with trend and cycles. (2011). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:186-199.

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  44. Estimation of fractional integration under temporal aggregation. (2011). Hassler, Uwe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:240-247.

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  45. Local Whittle estimation of multi‐variate fractionally integrated processes. (2011). Nielsen, Frank S..
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:32:y:2011:i:3:p:317-335.

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  46. Estimators of long-memory: Fourier versus wavelets. (2009). Moulines, Eric ; Taqqu, Murad S. ; Fa, Gilles ; Roueff, Franois .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:151:y:2009:i:2:p:159-177.

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  47. Two estimators of the long-run variance: Beyond short memory. (2009). Giraitis, Liudas ; Abadir, Karim ; Distaso, Walter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:1:p:56-70.

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  48. Local Whittle estimation of multivariate fractionally integrated processes. (2009). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-38.

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  49. Local polynomial Whittle estimation covering non-stationary fractional processes. (2008). Nielsen, Frank.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-28.

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  50. Log Periodogram Regression: The Nonstationary Case. (2006). Phillips, Peter ; Kim, Chang Sik.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1587.

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