Review of Quantitative Finance and Accounting
This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited inter-relationships among themselves.
Malliaris, Anastasios G. and Malliaris, Mary. Are Oil, Gold and the Euro Inter-Related? Time Series and Neural Network Analysis. Review of Quantitative Finance and Accounting, 40, 1: 1-14, 2013. Retrieved from Loyola eCommons, School of Business: Faculty Publications and Other Works, http://dx.doi.org/10.1007%2Fs11156-011-0265-9
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