The proposed model of this paper is applied for historical data of future gold prices and the results are discussed. The preliminary results indicate that an increase on gold coin price could increase gold coin futures price. An increase on foreign exchange price has negative impact on gold coin futures and time horizon has positive impact on gold coin futures on IME.
How to cite this paper
Pousti, F & Sadaghiani, J. (2011). An econometrics method for estimating gold coin futures prices.Management Science Letters , 1(4), 621-630.
Refrences
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Resources Policy, 35(3), 178-189.
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International Business and Finance, 21(2), 316-325.
Zhang, Y. J., & Wei, Y. M. (2010). The crude oil market and the gold market: Evidence for
cointegration, causality and price discovery. Resources Policy, 35(3), 168-177.
Economics, 16(2), 217-230.
Batten, J. A., Ciner, C., & Lucey, B. M. (2010). The macroeconomic determinants of volatility in
precious metals markets. Resources Policy, 35(2), 65-71.
Blose, L. E. (2010). Gold prices, cost of carry, and expected inflation. Journal of Economics and
Business, 62(1), 35-47.
Mamon, R. S., Erlwein, C., Gopaluni, R. B. (2008). Adaptive signal processing of asset price
dynamics with predictability analysis. Information Sciences, 178(1), 203-219.
Parisi, A., Parisi, F., & D?az, D. (2008). Forecasting gold price changes: Rolling and recursive neural
network models. Journal of Multinational Financial Management, 18(5), 477-487.
Shafiee, S., & Topal, E. (2010). An overview of global gold market and gold price forecasting.
Resources Policy, 35(3), 178-189.
Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in
International Business and Finance, 21(2), 316-325.
Zhang, Y. J., & Wei, Y. M. (2010). The crude oil market and the gold market: Evidence for
cointegration, causality and price discovery. Resources Policy, 35(3), 168-177.