Skip Nav Destination
ASME Press Select Proceedings
International Conference on Information Technology and Management Engineering (ITME 2011)Available to Purchase
Editor
W. X. Wang
W. X. Wang
Royal Institute of Technology
, Sweden
Search for other works by this author on:
ISBN:
9780791859827
No. of Pages:
500
Publisher:
ASME Press
Publication date:
2011
eBook Chapter
29 The Behaviour of London Gold Fixing with Threshold Unit Root Available to Purchase
By
Quan-Bao Li
,
Quan-Bao Li
Department of Industrial Economics, School of Business,
China University of Political Science and Law
Search for other works by this author on:
Yuan-Ping Li
,
Yuan-Ping Li
Department of Industrial Economics, School of Business, China
University of Political Science and Law
Search for other works by this author on:
Peng-Fei Hu
Peng-Fei Hu
Department of Industrial Economics, School of Business,
China University of Political Science and Law
Search for other works by this author on:
Page Count:
4
-
Published:2011
Citation
Li, Q, Li, Y, & Hu, P. "The Behaviour of London Gold Fixing with Threshold Unit Root." International Conference on Information Technology and Management Engineering (ITME 2011). Ed. Hu, WB, & Wang, WX. ASME Press, 2011.
Download citation file:
London gold fixing is different from the market transaction price. We investigate the behaviour of London gold fixing published by The London Bullion Market Association for the period from 1968:01 to 2011:04 by using the unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. Empirical conclusions indicate that the gold price exhibits nonlinear behaviour with two regimes and has unit roots in two regimes, and its major factors convert in different regimes. It means that some extant research may not distinguish the asymmetry of gold market and be misleading to a certain degree.
Topics:
Commercial transactions
Abstract
Keywords
1 Introduction
2 Methodology
3 Empirical Results
4 Conclusions
Acknowledgments
References
This content is only available via PDF.
You do not currently have access to this chapter.
Email alerts
Related Chapters
Research on the Influence of Wind Farms Participating in Market Transaction on the Economic Benefits of Grid Company and Conventional Power Generation Companies under Energy-Saving Dispatching
International Conference on Information Technology and Management Engineering (ITME 2011)
A Novel Architecture for Commercial and Financial Transactions over Mobile Phones
International Conference on Advanced Computer Theory and Engineering (ICACTE 2009)