A study of excess volatility of gold and silver
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 extrem...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-06-01
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| Series: | IIMB Management Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0970389621000227 |