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Do Gold Market Returns Have Long Memory?

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
1988Permanent and Temporary Components of Stock Prices3,036 cited
1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
1988Mean reversion in stock prices1,888 cited
1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
1986Noise1,783 cited
1991Long-Term Memory in Stock Market Prices1,743 cited
1989Long-term Memory in Stock Market Prices1,433 cited
1983The origin of predictable behavior1,164 cited
1996Mean Reversion in Stock Prices1,083 cited
1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited

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1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited

Cited by

2011The Long Range Dependence Paradigm for Macroeconomics and Finance90 cited
1997Another look at long memory in common stock returns89 cited
2001Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange87 cited
199611 Nonlinear time series, complexity theory, and finance86 cited
2014On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree81 cited
2002Multi-Fractality in Foreign Currency Markets76 cited
2009Unifractality and multifractality in the Italian stock market73 cited
2003Fractal analysis of highly volatile markets: an application to technology equities70 cited
2016Gold price analysis based on ensemble empirical model decomposition and independent component analysis50 cited
1996Gold price risk and the returns on gold mutual funds45 cited
2005Dependence and mean reversion in stock prices: The case of the MENA region38 cited
2017Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting36 cited
2016How predictable are precious metal returns?33 cited
2012Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market30 cited
2019Predictability of precious metals and adaptive market hypothesis30 cited
2015MENA stock market volatility persistence: Evidence before and after the financial crisis of 200829 cited