Regime Dynamics of International Precious Metal Markets
Öz
The aim of this study is to analyze whether the precious metals have a nonlinear pattern by using Multivariate Markov Switching Vector Autoregressive Models (MMS-VAR). The observation period is between 02 January 2002 and 28 March 2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the international precious metal market have a structure with three regimes as depression, moderate growth and expansion.
Anahtar Kelimeler
Precious Metals Markets,Nonlinearity,Markov Switching Vector Autoregressive Model
Kaynakça
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