An interval method for studying the relationship between the Australian dollar exchange rate and the gold price |
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Authors: | Ai Han K K Lai Shouyang Wang Shanying Xu |
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Institution: | 1. Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing, 100190, China 2. Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China
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Abstract: | This paper proposes an interval method to explore the relationship between the exchange rate of Australian dollar against
US dollar and the gold price, using weekly, monthly and quarterly data. With the interval method, interval sample data are
formed to present the volatility of variables. The ILS approach is extended to multi-model estimation and the computational
schemes are provided. The empirical evidence suggests that the ILS estimates well characterize how the exchange rate relates
to the gold price, both in the long-run and short-run. The comparison between the interval and point methods indicates that
the difference between the OLS and the ILS estimates is increasing from weekly data to quarterly data, since the lowest frequency
point data lost the most information of volatility. |
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Keywords: | |
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