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- W3136361824 abstract "In this paper, we discuss the case of strong path dependency in asset prices from the theoretical and empirical standpoints. We demonstrate persistence of excess volatility in the gold spot price data that engenders excessive path dependence, whereas it is not the same with silver. We use the extreme value estimator (Rogers & Satchell, 1991) and the VRatio (Maheswaran, Balasubramanian, & Yoonus, 2011). The data for the study is for the period January 2001 – December 2016. We observe that the strong mean-reverting characteristic in gold makes it a better investment choice than silver, in general." @default.
- W3136361824 created "2021-03-29" @default.
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- W3136361824 date "2021-06-01" @default.
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- W3136361824 title "A study of excess volatility of gold and silver" @default.
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- W3136361824 doi "https://doi.org/10.1016/j.iimb.2021.03.007" @default.
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