Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach
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DOI: 10.1016/j.resourpol.2021.102045
Abstract: Abstract The present paper investigates the long-run relationships between daily prices, stocks and fear gauges of gold and silver by employing an updated fractional cointegrating framework, that is, the Fractional Cointegrating Vector Autoregression (FCVAR). The… read more here.
Keywords: gold silver; cointegration; prices stocks; fear gauges ... See more keywords