Nonlinear causality relations of oil price and national currency based on momentum threshold autoregressive (MTAR) model:Cases of Russia and USA
碩士 === 淡江大學 === 財務金融學系碩士班 === 103 === The research investigates non-linear relations of WTI oil price and US Dollar Index on the US market and URALS oil price and RUB/USD exchange rate on Russian market. The study includes unit root test (stationarity test), non-linear threshold cointegration test a...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/9uuvft |