---
title: Bank Runs and Gold-Price Returns and Volatility: Evidence from Centuries of Data
url: https://www.ml-quant.com/papers/repec/pre-wpaper-202637/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-11-14
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:pre:wpaper:202637
source_url: https://econpapers.repec.org/RePEc:pre:wpaper:202637
featured: 2026-11-13
citations: unknown
topic: Derivatives & Volatility
---


# Bank Runs and Gold-Price Returns and Volatility: Evidence from Centuries of Data

Accounting for bank runs in GARCH models improves in-sample and out-of-sample performance for modeling gold price returns and volatility using annual data since 1694.

- Source: https://econpapers.repec.org/RePEc:pre:wpaper:202637
- Identifier: RePEc:pre:wpaper:202637
- Released: 2026-11-09
- First featured: Quant Letter No. 139 (2026-11-13): https://www.ml-quant.com/issues/2026-11-13/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility
- Authors: Ruipeng Liu, Christian Pierdzioch, Rangan Gupta, Elie Bouri

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