Browsing AU Journal of Management by Subject "Cointegration"
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The relationships of financial assets in financial markets during recovery period and financial crisis : evidence from Thailand (Assumption University, 2013)
The aim of this paper is to examine the long run relationship between SET index, gold price, 1- year, 2-year, and 10-year Government Bond Yield (GB), and 1-month and 3-month T-bill rate in Thai's financial market for the period between March 2001-December 2010 using Johansen method and to study their short-run adjustment through the Vector Error Correction Model (VECM) in order to find the speed of adjustment towards long run equilibrium. Moreover, this paper also tests the impact on each variable resulting from the changes in other ...
(Assumption University, 2009)