Long-range dependence in returns and volatility of global gold market amid financial crises

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• 作者：Maurice Omane-Adjepongp>ap>p> ; p>p>omane.maurice@gcuc.edu.ghp>p> ; p>p>mauriceomane@yahoo.comp> ; Gideon Boakop>bp>p> ; p>p>cp>
• 关键词：C22 ; G10
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 April 2017
• 年：2017
• 卷：472
• 期：Complete
• 页码：188-202
• 全文大小：1265 K
• 卷排序：472

文摘

The paper examines for long-range dependence in global gold returns and volatilities. Semi-parametric tests are applied. The paper accounts for effects of structural breaks and economic/financial shocks. We find no significant evidence of long-range dependence in returns (volatilities) for the full-sampled gold data. Collectively, the memory behaviour of gold market is not substantially affected by global economic/financial turbulence; hence low chance for huge speculative profits.