کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069421 | 1476989 | 2015 | 5 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Cointegration of the prices of gold and silver: RALS-based evidence
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Much significant research has been done to study the cointegration link between the prices of gold and silver. Empirical results reported in earlier research suggest that the strength of the cointegration link changed over time, possibly reflecting the impact of bubble-like periods and financial crises. Against this background, a Residual Augmented Least Squares (RALS) test for noncointegration was used to study cointegration of the prices of gold and silver. Application of the RALS test yielded stronger evidence against noncointegration than was obtained based on a standard Dickey-Fuller test, but a cointegration link did not exist during extended periods of time.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 15, November 2015, Pages 133-137
Journal: Finance Research Letters - Volume 15, November 2015, Pages 133-137
نویسندگان
Christian Pierdzioch, Marian Risse, Sebastian Rohloff,