The paper investigates whether the asymmetric power GARCH model (APGARCH) introduced by Ding, Granger and Engle (1993) captures the dynamics of the gold market. This paper examines both the cash and futures price of gold and significant economic variables identified during two periods: the 1987...

This paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns. Beginning with an analysis of the rationale for concerning with skewness, the paper then...

This paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns. Beginning with an analysis of the rationale for concerning with skewness, the paper then...

This paper re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990's. We show, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular we use a recursive...

This paper examines the conditional and unconditional mean returns and variance of returns of daily gold and silver contracts over the 1982-2002 period. Despite the importance of these metals as industrial and investment products, they have received scant attention in recent years. In...