An introduction to econophysics: correlations and complexity in finance
An introduction to econophysics: correlations and complexity in finance
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This paper tests for and provides evidence of nonlinear dependencies in palladium and platinum futures prices. The results indicate that ARCH-type processes, with controls for seasonality and contract-maturity effects, generally explain the nonlinearities in the data. We also present evidence inconsistent with Chaos in the price behavior of both metals. Finally, our estimated models support the Samuelson (1965) hypothesis of maturity effects in futures price changes.