{"title":"金银价差波动的结构","authors":"J. Batten, Cetin Ciner, B. Lucey","doi":"10.2139/ssrn.1015418","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":275866,"journal":{"name":"HKUST Business School Research Paper Series","volume":"28 3","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Structure in Gold and Silver Spread Fluctuations\",\"authors\":\"J. Batten, Cetin Ciner, B. Lucey\",\"doi\":\"10.2139/ssrn.1015418\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":275866,\"journal\":{\"name\":\"HKUST Business School Research Paper Series\",\"volume\":\"28 3\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2007-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"HKUST Business School Research Paper Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1015418\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"HKUST Business School Research Paper Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1015418","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.
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