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碩士 === 東吳大學 === 經濟學系 === 99 === This article investigates the movement and volatility on four commodity futures contracts, namely Gold (GC, COMEX), Dollar Index (DX, ICE), RJ/CRB Index (CR, ICE) and 10-year U.S. Treasury Note (TY, CBOT), collected daily close prices from Jan, 2000 to the end of 2010...
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2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/45418362482227807919 |
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ndltd-TW-099SCU053890312016-04-11T04:22:59Z http://ndltd.ncl.edu.tw/handle/45418362482227807919 none 黃金與總體經濟因子之期貨關聯性-美元、CRB 商品和公債 Chih-Liang Hung 洪誌良 碩士 東吳大學 經濟學系 99 This article investigates the movement and volatility on four commodity futures contracts, namely Gold (GC, COMEX), Dollar Index (DX, ICE), RJ/CRB Index (CR, ICE) and 10-year U.S. Treasury Note (TY, CBOT), collected daily close prices from Jan, 2000 to the end of 2010 as the time series specimen. We apply Johansen cointegration, VAR model, Granger Causality test, Impulse reponse function and Forecast decomposition to obtain these major findings： (1) Among these series, no long-term relationship exists. (2) Quite a few active short-term dynamics occur, Gold especially. (3) Only when it comes to “economics expansion” or “predicted higher volatility in stock market”, a positive volatility in Gold would be much clear. none none 鄭政秉 王健合 2011 學位論文 ; thesis 80 zh-TW |
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zh-TW |
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Others
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碩士 === 東吳大學 === 經濟學系 === 99 === This article investigates the movement and volatility on four commodity futures contracts, namely Gold (GC, COMEX), Dollar Index (DX, ICE), RJ/CRB Index (CR, ICE) and 10-year U.S. Treasury Note (TY, CBOT), collected daily close prices from Jan, 2000 to the end of 2010 as the time series specimen. We apply Johansen cointegration, VAR model, Granger Causality test, Impulse reponse function and Forecast decomposition to obtain these major findings： (1) Among these series, no long-term relationship exists. (2) Quite a few active short-term dynamics occur, Gold especially. (3) Only when it comes to “economics expansion” or “predicted higher volatility in stock market”, a positive volatility in Gold would be much clear.
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none Chih-Liang Hung 洪誌良 |
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Chih-Liang Hung 洪誌良 |
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Chih-Liang Hung 洪誌良 none |
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Chih-Liang Hung |
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none |
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none |
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none |
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| publishDate |
2011 |
| url |
http://ndltd.ncl.edu.tw/handle/45418362482227807919 |
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