Liu, Shi-Miin; Chou, Chih-Hsien - In: Applied Financial Economics 13 (2003) 12, pp. 899-911
This article tries to disclose true parity relationships between gold and silver prices using fractional cointegration analysis. Both gold-silver and silver-gold parities are slow-adjustment long-memory processes with a time-varying risk premium. Information exposed by the parities is extremely...