Lu, Chenxi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 53-60). / Abstract also in Chinese. / Chapter Chapter 1: --- Introduction --- p.1 / Chapter Chapter 2: --- Methodology --- p.5 / Chapter 2.1: --- Modified Rescaled Range Statistic R/S --- p.5 / Chapter 2.2: --- Fractionally Integrated GARCH (FIGARCH) Model --- p.7 / Chapter Chapter 3: --- Long memory in gold returns and volatility --- p.9 / Chapter 3.1: --- Data --- p.9 / Chapter 3.2: --- Empirical results of the modified R/S statistic and FIGARCH model --- p.11 / Chapter 3.3 --- Self-similarity of long memory in the gold market --- p.15 / Chapter Chapter 4: --- Structural break of long memory in the gold market --- p.18 / Chapter 4.1: --- Structural break in long memory feature --- p.18 / Chapter 4.2: --- Forward rolling and backward rolling methodology and empirical evidence --- p.20 / Chapter 4.3: --- Evidence for the structural break using the FIGARCH model --- p.31 / Chapter Chapter 5: --- Long memory in the international diamond market --- p.40 / Chapter 5.1: --- International diamond cartel --- p.40 / Chapter 5.2: --- Data --- p.43 / Chapter 5.3: --- Empirical results --- p.45 / Chapter Chapter 6: --- Conclusions --- p.51 / Reference --- p.53 / Appendix 1 --- p.61
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326844 |
| Date | January 2009 |
| Contributors | Lu, Chenxi., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, iv, 71 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.0021 seconds