An empirical study in the relationship between crude oil and gold futures

Wang, Yuwei

dc.contributor.advisor	Dodds, J. C. (James Colin)
dc.creator	Wang, Yuwei
dc.date.accessioned	2013-10-03T17:18:47Z
dc.date.available	2013-10-03T17:18:47Z
dc.date.issued	2013
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/25266
dc.description	1 online resource (vi, 32 p.) : col. ill.
dc.description	Includes abstract.
dc.description	Includes bibliographical references (p. 30-32).
dc.description.abstract	This paper analyzes the relationship between crude oil and gold futures. The data used in this paper are from January 2000 to December 2012. The methodology used in this study includes several statistical tests including GARCH and TGARCH models. The results imply that the prices of crude oil and gold are highly correlated. However, the returns of the two commodities are not obviously correlated. On the other hand, the volatility of crude oil price return has an effect on the volatility of gold price returns.	en_CA
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dc.description.provenance	Made available in DSpace on 2013-10-03T17:18:47Z (GMT). No. of bitstreams: 1 wang_yuwei_mrp_2013.pdf: 8227352 bytes, checksum: 2339669ce8f6279554f0f034b767a607 (MD5)	en
dc.language.iso	en	en_CA
dc.publisher	Halifax, N.S. : Saint Mary's University
dc.title	An empirical study in the relationship between crude oil and gold futures	en_CA
dc.type	Text	en_CA
thesis.degree.name	Master of Finance
thesis.degree.level	Masters
thesis.degree.discipline	Finance, Information Systems, & Management Science
thesis.degree.grantor	Saint Mary's University (Halifax, N.S.)