Title of article :
Statistical analysis of daily gold price data
Author/Authors :
T.C.Terence C. Mills، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2004
Abstract :
This paper investigates the statistical behaviour of daily gold price data from 1971 to 2002. We find that the observations are characterised by short run persistence and scaling with a break point of 15 days, i.e., three working weeks. Daily returns are highly leptokurtic, with multi-period returns only recovering Gaussianity after 235 days (approximately eleven working months). Volatility also scales, with long-run correlations being particularly important.
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications