The Christenson Gold Price Model Reconsidered

Thomas Burkhardt and Dominik Möhring

Chapter 18 in Modern Finance and Risk Management:Festschrift in Honour of Hermann Locarek-Junge, 2022, pp 401-415 from World Scientific Publishing Co. Pte. Ltd.

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.

Keywords: Finance; Risk Management; Commodities; Energy Finance; Risk; Cryptocurrencies; Asset Management; Banking; Behavioral Finance; Behavioural Finance; Markowitz; Portfolio Selection; Asset Allocation; Crowdfunding; COVID; Pandemic; Corona; Investment Strategies; Low-Risk Investments; Social Banks; Excess Liquidity; Cost of Capital; Utilities; Network Industries; Private Equity; Small and Medium-Sized Enterprises; Black Swan; Statistical Inference; Maximum Likelihood; Bayesian Methods; Tail Risks; Conditional Value-at-Risk; Tail Nonlinearly Transformed Risk; Capital Constraints; Bank Regulation; Subjective Risk Assessment; Expert Knowledge; Model Risk; Risk Factors; Option Pricing; Volatility; Resilience; Supply Chains; Disruption; Systemic Risk; Oil; Renewable Energies; Corporate Risk Management; Power Purchase Agreements; Gold; Precious Metals; Dynamic Correlation; Mixed Data Sampling (search for similar items in EconPapers)
JEL-codes: G11 G3 G32 G4 (search for similar items in EconPapers)
Date: 2022
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