Quantile behaviour of cointegration between silver and gold prices
Cheng Peng () and
Finance Research Letters, 2016, vol. 19, issue C, 119-125
This paper investigates the quantile behaviour of cointegration between silver and gold prices by employing the quantile autoregressive distributed lag (QARDL) model. Our empirical results suggest that the existence of cointegration is mainly due to the tail quantiles outside the interquartile range, revealing quantile-dependent (time-varying) cointegrating coefficients which may result in the absence of cointegration in traditional analysis. The silver price changes are more susceptible to the contemporaneous change of gold than the adjustment from ECM at tail quantiles. In addition, the tail-quantile cointegration also appears to change along with the market states of gold.
Keywords: Gold price; Silver price; Quantile cointegration; QARDL model; Market states (search for similar items in EconPapers)
JEL-codes: C32 E30 G11 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:19:y:2016:i:c:p:119-125
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