ABSTRACT
Keywords: Anomalies in prices; Chaos theory; Commodity prices; Econophysics; Risk management
JEL Classification: C1, C19, F3, F30, G1, G10
e price dynamics of precious metals, generally, and gold and silver, in particular, has long been a matter of popular concern and fascination. Recently, a number of authors have successfully modelled the stochastic nature of precious metal returns (e.g., Urich (2000), Casassus and Collin-Dufresne (2005), Cochran et al. (2012) and Baur (2013)), while new tools from econometrics have demonstrated important insights into the long-term price relationships between bivariate combinations of precious metal prices (e.g., Escribano and Granger (1998) and Ciner (2001)).
