Persistence in trends and cycles of gold and silver prices : evidence from historical data
| dc.contributor.author | Cunado, Juncal | |
| dc.contributor.author | Gil-Alana, Luis A. | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2018-10-17T04:48:50Z | |
| dc.date.issued | 2019-01 | |
| dc.description.abstract | This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long run trend and the cyclical behavior in a fractional integration framework. As opposed to many previous papers in the literature, once the cyclical differencing parameter is taken into account, mean reversion is detected in the long run trend of both gold and silver prices. The same result is obtained when structural breaks are taken into account. As far as the cyclical behavior of gold and silver prices is concerned, we find that cycles have a higher periodicity for gold (around 7 years) than for silver (4–5 years). | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2020-01-15 | |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.sponsorship | Juncal Cunado gratefully acknowledges financial support from Ministerio de Economía y Competitividad (ECO2017-83183-R). | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/physa | en_ZA |
| dc.identifier.citation | Cunado, J., Gil-Alana, L.A. &, Gupta, R. 2019, 'Persistence in trends and cycles of gold and silver prices : evidence from historical data', Physica A: Statistical Mechanics and its Applications, vol. 514, pp. 345-354. | en_ZA |
| dc.identifier.issn | 0378-4371 (print) | |
| dc.identifier.issn | 1873-2119 (online | |
| dc.identifier.other | 10.1016/j.physa.2018.09.081 | |
| dc.identifier.uri | http://hdl.handle.net/2263/66916 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Physica A: Statistical Mechanics and its Applications. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Physica A: Statistical Mechanics and its Applications, vol. 514, pp. 345-354, 2019. doi : 10.1016/j.physa.2018.09.081. | en_ZA |
| dc.subject | Cyclical behavior | en_ZA |
| dc.subject | Fractional integration | en_ZA |
| dc.subject | Gold price | en_ZA |
| dc.subject | Silver price | en_ZA |
| dc.subject | Persistence | en_ZA |
| dc.subject | Historical data | en_ZA |
| dc.subject | Historical periods | en_ZA |
| dc.subject | Mean reversion | en_ZA |
| dc.subject | Structural break | en_ZA |
| dc.subject | Costs | en_ZA |
| dc.title | Persistence in trends and cycles of gold and silver prices : evidence from historical data | en_ZA |
| dc.type | Postprint Article | en_ZA |