Are oil, gold and the euro inter-related? Time series and neural network analysis

Are oil, gold and the euro inter-related? Time series and neural network analysis 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Are oil, gold and the euro inter-related? Time series and neural network analysis

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Publisher
Springer US
Copyright
Copyright © 2011 by Springer Science+Business Media, LLC
Subject
Economics / Management Science; Finance/Investment/Banking; Accounting/Auditing; Econometrics; Operations Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-011-0265-9
Publisher site
See Article on Publisher Site

References

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