Lee, Yen-Hsien; Huang, Ya-Ling; Yang, Hao-Jang - In: Global Journal of Business Research 6 (2012) 1, pp. 9-15
This study employs the momentum threshold error-correction model with generalized autoregressive conditional heteroskedasticity to investigate asymmetric cointegration and causal relationships between West Texas Intermediate Crude Oil and gold prices in the futures market. The paper examines...