Return to search

Long memory in gold and diamond market returns and volatility.

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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326844
Date January 2009
ContributorsLu, Chenxi., Chinese University of Hong Kong Graduate School. Division of Economics.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, iv, 71 leaves : ill. ; 30 cm.
RightsUse 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