Cheung, Yin-Wong; Lai, Kon S - In: The Financial Review 28 (1993) 2, pp. 181-202
This study examines the long memory behavior in gold returns during the post-Bretton Woods period using a new rescaled range technique. Unlike the conventional rescaled range analysis, the new rescaled range analysis is robust to short-term dependence and conditional heteroscedasticity found in...