13 Pages Posted: 19 Sep 2007
Date Written: September 2007
We investigate the price spread between gold and silver trading as a futures contract on COMEX. Although the correlation between gold and silver returns during this period was high we find evidence of time varying long term dependence in the spread, with the positive dependent relationship dominant. This last finding suggests limited opportunity to profit from strategies based on mean reversion of the spread.
Keywords: Long term dependence, volatility, gold silver spread, futures
JEL Classification: C22, C32, E31, F30, G15
Suggested Citation: Suggested Citation
Batten, Jonathan A. and Ciner, Cetin and Lucey, Brian M., Structure in Gold and Silver Spread Fluctuations (September 2007). HKUST Business School Research Paper No. 07-28. Available at SSRN: https://ssrn.com/abstract=1015418 or http://dx.doi.org/10.2139/ssrn.1015418