Lucey, Brian; Tully, Edel - In: Applied Financial Economics 16 (2006) 4, pp. 319-333
This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982-2002 periods. Using COMEX cash and futures data, we find that the evidence is weak for the mean but strong for the variance. There appears to be a negative...