Do Gold Market Returns Have Long Memory?

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)181-202
Journal / PublicationFinancial Review
Volume28
Issue number2
Publication statusPublished - May 1993
Externally publishedYes

Abstract

This study examines the long memory behavior in gold returns during the post‐Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short‐term dependence and conditional heteroscedasticity found in the gold data. Statistical results suggest that the long memory behavior in gold returns is rather unstable. When only few observations corresponding to major political events in the Middle East, together with the Hunts event, in late 1979 are omitted, little evidence of long memory can be found. Copyright © 1993, Wiley Blackwell. All rights reserved

Citation Format(s)

Do Gold Market Returns Have Long Memory? / Cheung, Yin‐Wong; Lai, Kon S.

In: Financial Review, Vol. 28, No. 2, 05.1993, p. 181-202.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review