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The Christenson Gold Price Model Reconsidered

In: Modern Finance and Risk Management Festschrift in Honour of Hermann Locarek-Junge

Author

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  • Thomas Burkhardt
  • Dominik Möhring

Abstract

The Christenson gold price model is an analytical model to predict the general direction of gold price movements. The model is charmingly simple, based on plausible variables, and seems to provide surprisingly good results. We analyse the model and use appropriate out-of-sample tests for our evaluation. As a result, we find that the proposed model is not useful and that the seemingly good results are a consequence of only in-sample fitting. We consider this as a case study to demonstrate that models promoted in popular investment media should be considered with care.

Suggested Citation

  • Thomas Burkhardt & Dominik Möhring, 2022. "The Christenson Gold Price Model Reconsidered," World Scientific Book Chapters, in: Tony Klein & Sven Loßagk & Mario Straßberger & Thomas Walther (ed.), Modern Finance and Risk Management Festschrift in Honour of Hermann Locarek-Junge, chapter 18, pages 401-415, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781800611917_0018
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