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The structure of gold and silver spread returns

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Cited by:

  1. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
  2. Mishra, Bibhuti Ranjan & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2019. "The dynamic causality between gold and silver prices in India: Evidence using time-varying and non-linear approaches," Resources Policy, Elsevier, vol. 62(C), pages 66-76.
  3. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
  4. Madziwa, Lawrence & Pillalamarry, Mallikarjun & Chatterjee, Snehamoy, 2022. "Gold price forecasting using multivariate stochastic model," Resources Policy, Elsevier, vol. 76(C).
  5. Erhard Reschenhofer & Manveer K. Mangat, 2020. "Reducing the Bias of the Smoothed Log Periodogram Regression for Financial High-Frequency Data," Econometrics, MDPI, vol. 8(4), pages 1-15, October.
  6. Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.
  7. Dirk Baur & Duy Tran, 2014. "The long-run relationship of gold and silver and the influence of bubbles and financial crises," Empirical Economics, Springer, vol. 47(4), pages 1525-1541, December.
  8. Ahmet Göncü & Erdinc Akyildirim, 2016. "A stochastic model for commodity pairs trading," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1843-1857, December.
  9. Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
  10. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  11. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
  12. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
  13. Corbet, Shaen & Dowling, Michael & Gao, Xiangyun & Huang, Shupei & Lucey, Brian & Vigne, Samuel A., 2019. "An analysis of the intellectual structure of research on the financial economics of precious metals," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  14. Manveer Kaur Mangat & Erhard Reschenhofer, 2019. "Testing for Long-Range Dependence in Financial Time Series," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(2), pages 93-106, June.
  15. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
  16. Erhard Reschenhofer & Thomas Stark & Manveer K. Mangat, 2020. "Robust Estimation of the Memory Parameter," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-5.
  17. Luqman, Muhammad & Mugheri, Adil & Ahmad, Najid & Soytas, Ugur, 2023. "Casting shadows on natural resource commodity markets: Unraveling the quantile dilemma of gold and crude oil prices," Resources Policy, Elsevier, vol. 86(PA).
  18. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
  19. Risse, Marian & Ohl, Ludwig, 2017. "Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 158-176.
  20. Stephanos Papadamou & Vasilios Sogiakas, 2018. "The informational content of unconventional monetary policy on precious metal markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 16-36, January.
  21. Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017. "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 150-168.
  22. Pradhan, Ashis Kumar & Mishra, Bibhuti Ranjan & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Macroeconomic factors and frequency domain causality between Gold and Silver returns in India," Resources Policy, Elsevier, vol. 68(C).
  23. Auer, Benjamin R., 2016. "On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations," Finance Research Letters, Elsevier, vol. 16(C), pages 255-267.
  24. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
  25. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  26. Jonathan A. Batten & Peter G. Szilagyi & Wagner, 2015. "Should emerging market investors buy commodities?," Applied Economics, Taylor & Francis Journals, vol. 47(39), pages 4228-4246, August.
  27. Lau, Marco Chi Keung & Vigne, Samuel A. & Wang, Shixuan & Yarovaya, Larisa, 2017. "Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 316-332.
  28. Zouheir Ahmed Mighri & Majid Ibrahim Al Saggaf, 2018. "Gold - Silver Nexus: A Threshold Cointegration Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 210-219.
  29. Auer, Benjamin R. & Hoffmann, Andreas, 2016. "Do carry trade returns show signs of long memory?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 201-208.
  30. Yuri Salazar Flores & Adán Díaz-Hernández, 2021. "Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 375-407, June.
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