Detalle Publicación

ARTÍCULO
Persistence in trends and cycles of gold and silver prices: Evidence from historical data
Título de la revista: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN: 0378-4371
Volumen: 514
Páginas: 345 - 354
Fecha de publicación: 2019
Lugar: WOS
Resumen:
This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long run trend and the cyclical behavior in a fractional integration framework. As opposed to many previous papers in the literature, once the cyclical differencing parameter is taken into account, mean reversion is detected in the long run trend of both gold and silver prices. The same result is obtained when structural breaks are taken into account. As far as the cyclical behavior of gold and silver prices is concerned, we find that cycles have a higher periodicity for gold (around 7 years) than for silver (4-5 years). (C) 2018 Elsevier B.V. All rights reserved.