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• W2071469969 abstract "This article examines the long-memory properties and structural breaks in spot and futures gold returns and volatility in Turkey. The data cover the period from 2008 through 2013 in which gold prices hit an all-time high. ARFIMA–FIGARCH model provides evidence of dual long memory in spot series and a lack of long-memory property in futures returns. Anti-persistence in spot returns is indicative of an overreaction of gold prices to new information, thus disconfirming the weak form of market efficiency. The findings further provide evidence of one structural break, which is associated with correction in the gold prices during the post-global financial crisis. The analyses suggest that the long memory is true, not spurious. This implies that long memory is a feature of the data instead of an outcome of structural changes." @default.
• W2071469969 created "2016-06-24" @default.
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• W2071469969 date "2014-07-04" @default.
• W2071469969 modified "2023-09-27" @default.
• W2071469969 title "Long memory and structural breaks in the returns and volatility of gold: evidence from Turkey" @default.
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• W2071469969 doi "https://doi.org/10.1080/00036846.2014.929627" @default.
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