USF St. Petersburg campus Faculty Publications
Nonlinear dependence in gold and silver futures: Is it chaos?
Document Type
Article
Publication Date
2001
ISSN
0569-4345
Abstract
We test for the presence of low-dimensional chaotic structure in the gold and silver futures markets. While we find strong evidence of nonlinear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes, with controls for contract-maturity effects, generally explain the nonlinearities in the data. We also make a case that employing seasonally adjusted price series is important to obtaining robust results via some of the existing tests for chaotic structure.
Language
en_US
Publisher
Omicron Delta Epsilon, Honor Society in Economics
Recommended Citation
Chatrath, A., Adrangi, B. & Shank, T. (2001). Nonlinear dependence in gold and silver futures: Is it chaos? The American Economist, 45(2), 25-32.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Abstract only. At this time, full-text article is available only through licensed access provided by the publisher. Published in The American Economist, 45(2), 25-32. Members of the USF System may access the full-text of the article through the authenticated link provided.