Gil-Alana, Luis A.; Chang, Shinhye; Balcilar, Mehmet; … - Department of Economics, Faculty of Economic and … - 2014
This paper analyses the statistical properties of five major precious metal prices (gold, silver, rhodium, palladium and platinum) based the fractional integration modelling framework while identifying structural breaks. We use monthly data from 1972:1 to 2013:12. Our results indicate orders of...