PERSISTENT DEPENDENCE IN GOLD PRICES

G. Geoffrey Booth, Fred R. Kaen, Peter E. Koveos

Research output: Contribution to journalArticle

32 Scopus citations

Abstract

The purpose of this paper is to analyze the behavior of gold prices during the last dozen years. Instead of employing the traditional short‐term analytical tools, however, rescaled range analysis is used to focus on what has become known as persistent or long‐term dependence. This type of behavior reveals itself in the form of extensive periods of similar behavior, often described as nonperiodic cycles. It is found that gold prices do exhibit persistent dependence. This finding suggests that, to be successful, market participants must develop strategies to deal with this phenomenon.

Original languageEnglish (US)
Pages (from-to)85-93
Number of pages9
JournalJournal of Financial Research
Volume5
Issue number1
DOIs
StatePublished - Jan 1 1982
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance

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