Do Gold Market Returns Have Long Memory? |
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| Authors: | Yin-Wong Cheung Kon S. Lai |
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| Affiliation: | University of California, Santa Cruz, CA 95064.;California State University, Los Angeles, CA 90032. The authors are grateful to Geoffrey Booth and an anonymous referee for helpful comments and suggestions. The first author also acknowledges supports from the GICES at the UCSC. |
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| Abstract: | This study examines the long memory behavior in gold returns during the post-Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short-term dependence and conditional heteroscedasticity found in the gold data. Statistical results suggest that the long memory behavior in gold returns is rather unstable. When only few observations corresponding to major political events in the Middle East, together with the Hunts event, in late 1979 are omitted, little evidence of long memory can be found. |
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