Cointegration of the prices of gold and silver: RALS-based evidence

Christian Pierdzioch, Marian Risse and Sebastian Rohloff

Finance Research Letters, 2015, vol. 15, issue C, 133-137

Abstract: Much significant research has been done to study the cointegration link between the prices of gold and silver. Empirical results reported in earlier research suggest that the strength of the cointegration link changed over time, possibly reflecting the impact of bubble-like periods and financial crises. Against this background, a Residual Augmented Least Squares (RALS) test for noncointegration was used to study cointegration of the prices of gold and silver. Application of the RALS test yielded stronger evidence against noncointegration than was obtained based on a standard Dickey–Fuller test, but a cointegration link did not exist during extended periods of time.

Keywords: Gold price; Silver price; Cointegration; RALS (search for similar items in EconPapers)
JEL-codes: C32 E30 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:133-137

DOI: 10.1016/j.frl.2015.09.003

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