Gold spot and futures market cross-correlation and time-frequency volatility: an application of MF-ADCCA-AFD

Ce Guo, Mengfan Zhao, Jingyu Li and Qiwei Xie

Applied Economics Letters, 2023, vol. 30, issue 19, 2832-2840

Abstract: This study employs the MF-ADCCA-AFD method to investigate the multiple fractal characteristics of the interrelationship between the gold spot and futures, and to explore the time-frequency distribution of gold prices. The price decline is found to have a more persistent impact on the relationship between gold futures and spot prices, and its cross-correlations are asymmetric. Compared to gold spot prices, gold futures prices have more volatile phases, and their ranges are larger. By performing time-frequency analysis, investors can predict when a price is about to fluctuate, thereby providing them with valuable investment advice.

Date: 2023
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DOI: 10.1080/13504851.2022.2109573

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