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ASME Press Select Proceedings
International Conference on Information Technology and Management Engineering (ITME 2011)
Editor
W. X. Wang
W. X. Wang
Royal Institute of Technology
, Sweden
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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
By
Quan-Bao Li
,
Quan-Bao Li
Department of Industrial Economics, School of Business,
China University of Political Science and Law
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Yuan-Ping Li
,
Yuan-Ping Li
Department of Industrial Economics, School of Business, China
University of Political Science and Law
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Peng-Fei Hu
Peng-Fei Hu
Department of Industrial Economics, School of Business,
China University of Political Science and Law
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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.
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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.
Abstract
Keywords
1 Introduction
2 Methodology
3 Empirical Results
4 Conclusions
Acknowledgments
References
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