Investigating Seasonal Effects in Commodity Futures Markets
碩士 === 國立中正大學 === 財務金融研究所 === 100 === This study investigates seasonal effects for four commodity futures contracts, including gold, crude oil, coffee and corn. The sample period starts from 1983/03/30 to 2011/06/24. The OLS, ARCH and GARCH models are used to examine the overnight effect, the day-of...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/33806193183408837039 |