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• W3125951065 abstract "This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982–2002 periods. Using COMEX cash and futures data, we find that the evidence is weak for the mean but strong for the variance. There appears to be a negative Monday effect in both gold and silver, across cash and futures markets. Within a GARCH framework we find that the Monday seasonal does not disappear, indicating that it is not a risk-related artefact, the Monday dummy in the variance equations being significant also. No evidence of an ARCH-in-Mean effect is found." @default.
• W3125951065 created "2021-02-01" @default.
• W3125951065 creator A5022240548 @default.
• W3125951065 creator A5024367072 @default.
• W3125951065 date "2006-02-15" @default.
• W3125951065 modified "2023-10-16" @default.
• W3125951065 title "Seasonality, risk and return in daily COMEX gold and silver data 1982–2002" @default.
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• W3125951065 doi "https://doi.org/10.1080/09603100500386586" @default.
• W3125951065 hasPublicationYear "2006" @default.
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