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Nonlinear dependence in gold and silver futures: Is it chaos?
Faculty Publications
  • Arjun Chatrath
  • Bahram Adrangi
  • Todd M. Shank
SelectedWorks Author Profiles:

Todd M. Shank

Document Type
Publication Date
Date Issued
January 2001
Date Available
February 2012

We test for the presence of low-dimensional chaotic structure in the gold and silver futures markets. While we find strong evidence of nonlinear dependencies, the evidence is not consistent with chaos. Our test results indicate that ARCH-type processes, with controls for contract-maturity effects, generally explain the nonlinearities in the data. We also make a case that employing seasonally adjusted price series is important to obtaining robust results via some of the existing tests for chaotic structure.

Abstract only. At this time, full-text article is available only through licensed access provided by the publisher. Published in The American Economist, 45(2), 25-32. Members of the USF System may access the full-text of the article through the authenticated link provided.
Omicron Delta Epsilon, Honor Society in Economics
Creative Commons License
Creative Commons Attribution-Noncommercial-No Derivative Works 4.0
Citation Information
Chatrath, A., Adrangi, B. & Shank, T. (2001). Nonlinear dependence in gold and silver futures: Is it chaos? The American Economist, 45(2), 25-32.