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    Please use this identifier to cite or link to this item: http://chur.chu.edu.tw/handle/987654321/28901


    Title: 運用指數一般化條件變異自我迴歸模型探討油價與黃金價格波動性之關聯
    Authors: 徐子光
    Hsu, Tzu-Kuang
    Contributors: 國際企業學系
    International Business
    Keywords: 國際石油價格;國際黃金價格;波動性;指數一般化條件變異自我迴歸模型
    Oil prices;Gold prices;Volatility;Exponential generalized autoregressive
    Date: 2012
    Issue Date: 2014-06-27 00:12:10 (UTC+8)
    Abstract: 油價與黃金價格之聯動性一直是學者、投資大眾與政府所關心的議題。本研究是採
    用指數一般化條件變異自我迴歸模型探討油價與黃金價格之波動性因果關係。樣本資料
    為月資料，期間由1984年1月至2011年12月，共336筆資料。實證結果顯示，二市
    場皆存在同市場槓桿效果，但外溢效果不明顯。國際石油價格的變動性與國際黃金價格
    的波動性具有雙向因果關係。
    The relationship between oil prices and gold prices has been issues of concern to
    scholars, market participants, and governments. This paper adopts an exponential generalized
    autoregressive conditional heteroskedasticity (EGARCH) model to examine the caus
    Appears in Collections:[Department of International Business] Journal Articles

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