Seasonality, risk and return in daily COMEX gold and silver data 1982–2002

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How researchers see this paper

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Psychological Barriers in Gold Prices (2007, unknown): “Although there is some evidence that in the gold market there is no strong relationship between risk and returns (Lucey & Tully, 2006b), the evidence presented here shows that the expected risk–return relationship does exist in the gold market.”
Dynamic spillovers between commodity and currency markets (2015, background): “Supply of silver mainly emanates from mine production, scrap recycling, disinvestment, government sales and producer hedging (Lucey and Tully, 2006).”
Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper (2011, unknown): “…market include exploring stochastic or unit root properties of prices (Krehbiel & Adkins, 1993), testing market efficiency (Aggarwal & Soenen, 1991; Lucey & Tully, 2006), examining conditional dependence in prices (Akgiray, Booth, Hatem, & Chowdary, 1991), 56 Khalifa, Miao, and Ramchander Journal…”
A power GARCH examination of the gold market (2007, unknown): “Based on previous research (Lucey and Tully, 2006) neither AR nor MA terms are included in the mean equation of the gold returns.”