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Measuring the Strangeness of Gold and Silver Rates of Return

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  • Frank, Murray
  • Stengos, Thanasis

Abstract

The predictability of rates of return on gold and silver are examined. Econometric tests do not reject the martingale hypothesis for either asset. This failure to reject is shown to be misleading. Correlation dimension estimates indicate a structure not captured by the autoregressive conditional heteroskedastic model. The correlation dimension is between six and seven while the Kolmogorov entropy is about 0 2 for both assets. The evidence is consistent with a nonlinear deterministic data generating process underlying the rates of return. The evidence is certainly not sufficient to rule out the possibility of some degree of randomness being present. Copyright 1989 by The Review of Economic Studies Limited.

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Article provided by Wiley Blackwell in its journal Review of Economic Studies.

Volume (Year): 56 (1989)
Issue (Month): 4 (October)
Pages: 553-67

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Handle: RePEc:bla:restud:v:56:y:1989:i:4:p:553-67

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