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- W3201575450 abstract "The present paper investigates the long-run relationships between daily prices, stocks and fear gauges of gold and silver by employing an updated fractional cointegrating framework, that is, the Fractional Cointegrating Vector Autoregression (FCVAR). The initial unit root tests results indicate that the series are I(d)s with values of d around 1 in all cases, and these are homogenous in the paired cointegrating series. Evidence of cointegration is found in the three pairs (prices, stocks and market gauge indices), while these cointegrations are only time-varying in the case of market gauge indices for the commodities. The fact that cointegration exists in prices and stocks of gold and silver implies the possibility that gold and silver prices and stocks can interchangeably be used to access the performances of the commodity markets, with the recommendation that the two commodities are not to be traded in the same portfolio." @default.
- W3201575450 created "2021-09-27" @default.
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- W3201575450 date "2021-05-06" @default.
- W3201575450 modified "2023-09-26" @default.
- W3201575450 title "Gold and Silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach" @default.
- W3201575450 hasPublicationYear "2021" @default.
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