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題名:The Dynamic Relationships between Gold Return and U.S. Dollar Depreciation
書刊名:風險管理學報
作者:李源明 引用關係王冠閔
作者(外文):Lee, Yuan-mingWang, Kuan-min
出版日期:2008
卷期:10:1
頁次:頁47-71
主題關鍵詞:黃金報酬美元貶值門檻模型樣本外預測Gold returnU.S. dollar depreciationThreshold modelOut-of-sample forecasting
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(4) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:0
  • 點閱點閱:19
期刊論文
1.Fortune, J. N.(1987)。The inflation rate of the price of gold, expected prices and interest rates。Journal of Macroeconomics,9(1),71-82。  new window
2.Mahdavi, Saeid、Zhou, Su(1997)。Gold and commodity prices as leading indicators of inflation: tests of long-run relationship and predictive performance。Journal of Economics and Business,49(5),475-489。  new window
3.Pindyck, R. S.(1993)。The Present Value Model of Rational Commodity Pricing。The Economic Journal,103,511-530。  new window
4.Kolluri, B. R.(1981)。Gold as a Hedge against Inflation: An Empirical Investigation。Quarterly Review of Economics and Business,21(4),13-24。  new window
5.Moore, G. H.(1990)。Gold Prices and a Leading Index of Inflation。Challenge,33(4),52-56。  new window
6.Twite, G.(2002)。Gold Prices, Exchange Rates, Gold Stocks and the Gold Premium。Australian Journal of Management,27,123-140。  new window
7.Ariovich, G.(1983)。The Impact of Political Tension on the Price of Gold。Journal for Studies in Economics and Econometrics,16,17-37。  new window
8.Baker, S. A.、Van Tassel, R. C.(1985)。Forecasting the Price of Gold: A Fundamentalist Approach。Atlantic Economic Journal,13,43-51。  new window
9.Capie, F.、Mills, T. C.、Wood, G.(2005)。Gold as a Hedge Against the Dollar。Journal of International Financial Markets, Institutions and Money,15(4),343-352。  new window
10.Chappell, D.、Dowd, K.(1997)。A Simple Model of the Gold Standard。Journal of Money. Credit and Banking,29,94-105。  new window
11.Dooley, M. P.、Isard, P.、Taylor, M. P.(1995)。Exchange Rates, Country-Specific Shocks and Gold。Applied Financial Economics,5,121-129。  new window
12.Koutsoyiannis, A.(1983)。A Short-run Pricing Model for a Speculative Asset, Tested with Data from the Gold Bullion Market。Applied Economics,15,563-581。  new window
13.Laurent, R. D.(1994)。Is There a Role for Gold in Monetary Policy?。Economic Perspectives,18,2-14。  new window
14.Mills, T. C.(2004)。Statistical Analysis of Daily Gold Price Data。Physica A,338,559-566。  new window
15.Sjaastad, L. A.、Scacciallani, F.(1996)。The Price of Gold and the Exchange Rate。Journal of International Money and Finance,15,879-897。  new window
16.Sherman, E.(1982)。New Gold Model Explains Variations。Commodity Journal,17,16-20。  new window
17.Sherman, E.(1983)。A Gold Pricing Model。Journal of Portfolio Management,9,68-70。  new window
18.Tong, H.、Lim, K. S.(1980)。Threshold Autoregression, Limit Cycles and Cyclical Data。Journal of the Royal Statistical Society, Series B: Methodological,42,245-292。  new window
19.Ng, S.、Perron, P.(2001)。Lag length selection and the construction of unit roots test with good size and power。Econometrica,69,1519-1554。  new window
20.Tsay, R. S.(1998)。Testing and Modeling Multivariate Threshold Models。Journal of the American Statistical Association,93(443),1188-1202。  new window
21.Tsay, R. S.(1998)。Testing and Modeling Threshold Autoregressive Processes。Journal of American Statistical Association,84(405),231-240。  new window
22.MacKinnon, James G.(1996)。Numerical Distribution Functions for Unit Root and Cointegration Tests。Journal of Applied Econometrics,11(6),601-618。  new window
23.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
24.Nelson, C. R.、Plosser, C. I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics,10(2),139-162。  new window
25.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
26.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
27.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
研究報告
1.Worthington, A. C.、Pahlavani, M.(2006)。Gold Investment as an Inflationary Hedge: Cointegration Evidence with Allowance for Endogenous Structural Breaks。University of Wollongong。  new window
2.Diba, B. T.、Grossman, H. I.(1984)。Rational Bubbles in the Price of Gold。Cambridge, Mass:N.B E.R.。  new window
圖書
1.Ghosh, D.、Levin, E. J.、Macmillan, P.、Wright, R. E.(2002)。Gold as an Inflation Hedge?。Department of Economics, University of St. Andrews。  new window
2.Sherman, E.(1986)。Gold investment: Theory and Application。New York:Prentice Hall。  new window
3.Johansen, S.(1995)。Likelihood-based inference in cointegrated vector autoregressive models。Oxford University Press。  new window
圖書論文
1.Tong, Howell(1978)。On a Threshold Model。Pattern Recognition and Signal Processing。Sijthoff & Noordhoff。  new window
2.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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