메뉴 건너뛰기




Volumn 19, Issue 2, 2002, Pages 179-195

The Dynamics of Palladium and Platinum Prices

Author keywords

chaos; futures; nonlinearities

Indexed keywords


EID: 84867972128     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1023/A:1015051912125     Document Type: Article
Times cited : (15)

References (41)
  • 1
    • 0002047422 scopus 로고
    • The chaotic behavior of foreign exchange rates
    • Aczel, A. D. and Josephy, N. H. (1991). The chaotic behavior of foreign exchange rates. American Economist, 35, 16-24.
    • (1991) American Economist , vol.35 , pp. 16-24
    • Aczel, A.D.1    Josephy, N.H.2
  • 2
    • 0016355478 scopus 로고
    • A new look at statistical model identification
    • Akaike, H. (1974). A new look at statistical model identification. IEEE transactions on automatic control, 19, 716-723.
    • (1974) IEEE Transactions on Automatic Control , vol.19 , pp. 716-723
    • Akaike, H.1
  • 3
    • 0001965896 scopus 로고
    • Chaos: significance, mechanism, and economic applications
    • Baumol, W. J. and Benhabib, J. (1989). Chaos: significance, mechanism, and economic applications. Journal of Economic Perspectives, 3, 77-105.
    • (1989) Journal of Economic Perspectives , vol.3 , pp. 77-105
    • Baumol, W.J.1    Benhabib, J.2
  • 4
    • 85013908950 scopus 로고    scopus 로고
    • Is there a term structure of futures volatility? Reevaluating the Samuelson hypothesis
    • Winter
    • Bessembinder, H., Coughenour, J. F., Seguin, P. J. and Smoller, M. M. (1996). Is there a term structure of futures volatility? Reevaluating the Samuelson hypothesis. Journal of Derivatives, Winter, 45-58.
    • (1996) Journal of Derivatives , pp. 45-58
    • Bessembinder, H.1    Coughenour, J.F.2    Seguin, P.J.3    Smoller, M.M.4
  • 5
    • 84978592267 scopus 로고
    • Chaos' in futures markets? A nonlinear dynamical analysis
    • Blank, S. C. (1991). 'Chaos' in futures markets? A nonlinear dynamical analysis. Journal of Futures Markets, 11, 711-728.
    • (1991) Journal of Futures Markets , vol.11 , pp. 711-728
    • Blank, S.C.1
  • 6
    • 84993865825 scopus 로고
    • Market statistics and technical analysis: the role of volume
    • Blume, L., Easley, D., and O'Hara, M. (1994). Market statistics and technical analysis: the role of volume. Journal of Finance, 49, 153-181.
    • (1994) Journal of Finance , vol.49 , pp. 153-181
    • Blume, L.1    Easley, D.2    O'Hara, M.3
  • 7
    • 0002910335 scopus 로고
    • Relative strength: further positive evidence
    • Bohan, J. (1981). Relative strength: further positive evidence. Journal of Portfolio Management, Fall, 36-39.
    • (1981) Journal of Portfolio Management , pp. 36-39
    • Bohan, J.1
  • 8
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 9
    • 46149128981 scopus 로고
    • Distinguishing random and deterministic systems
    • Brock W. A. (1986). Distinguishing random and deterministic systems. Journal of Economic Theory, 40, 168-195.
    • (1986) Journal of Economic Theory , vol.40 , pp. 168-195
    • Brock, W.A.1
  • 10
    • 0002750160 scopus 로고
    • Theorems on distinguishing deterministic and random systems
    • W. Barnett, E. Berndt, and H. White (Eds.), Cambridge: Cambridge University Press
    • Brock W. A. and Dechert W. (1988). Theorems on distinguishing deterministic and random systems. In W. Barnett, E. Berndt, and H. White, Dynamic Econometric Modelling, Proceedings of the Third Austin Symposium. Cambridge: Cambridge University Press.
    • (1988) Dynamic Econometric Modelling, Proceedings of the Third Austin Symposium
    • Brock, W.A.1    Dechert, W.2
  • 13
    • 0002962834 scopus 로고
    • Is the business cycle characterized by deterministic chaos?
    • Brock, W. A. and Sayers, C. L. (1988). Is the business cycle characterized by deterministic chaos? Journal of Monetary Economics, 22, 71-90.
    • (1988) Journal of Monetary Economics , vol.22 , pp. 71-90
    • Brock, W.A.1    Sayers, C.L.2
  • 14
    • 84977707376 scopus 로고
    • Simple technical trading rules and the stochastic properties of stock returns
    • Brock, W., Lakonishok, J., and LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance, 47, 1731-1764.
    • (1992) Journal of Finance , vol.47 , pp. 1731-1764
    • Brock, W.1    Lakonishok, J.2    Lebaron, B.3
  • 15
    • 0001774202 scopus 로고
    • Eight relative strength methods compared
    • Brush, J. (1986). Eight relative strength methods compared. Journal of Portfolio Management, Fall, 21-28.
    • (1986) Journal of Portfolio Management , pp. 21-28
    • Brush, J.1
  • 17
  • 18
    • 84867983259 scopus 로고    scopus 로고
    • CRB Commodity Yearbook, New York: John Wiley and Sons, Inc
    • CRB Commodity Yearbook (1998). KnightRidder Financial/Commodity Research Bureau, John Wiley and Sons, Inc., New York.
    • (1998) KnightRidder Financial/Commodity Research Bureau
  • 22
    • 0000472488 scopus 로고    scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, D. A. and Fuller, W. A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072.
    • Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 23
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 24
    • 70350321098 scopus 로고
    • Measuring the strangeness of gold and silver rates of return
    • Frank, M. and Stengos, T. (1989). Measuring the strangeness of gold and silver rates of return. Review of Economic Studies, 456, 553-567.
    • (1989) Review of Economic Studies , vol.456 , pp. 553-567
    • Frank, M.1    Stengos, T.2
  • 25
    • 40749093037 scopus 로고
    • Measuring the strangeness of strange attractors
    • Grassberger, P. and Procaccia, I. (1983). Measuring the strangeness of strange attractors. Physica, 9, 189-208.
    • (1983) Physica , vol.9 , pp. 189-208
    • Grassberger, P.1    Procaccia, I.2
  • 26
    • 0000605911 scopus 로고
    • Testing for nonlinear dependence in daily foreign exchange rates
    • Hsieh, D. A. (1989). Testing for nonlinear dependence in daily foreign exchange rates. Journal of Business, 62, 339-368.
    • (1989) Journal of Business , vol.62 , pp. 339-368
    • Hsieh, D.A.1
  • 27
    • 84977719043 scopus 로고
    • Chaos and nonlinear dynamics: applications to financial markets
    • Hsieh, D. A. (1991). Chaos and nonlinear dynamics: applications to financial markets. Journal of Finance, 46, 1839-1876.
    • (1991) Journal of Finance , vol.46 , pp. 1839-1876
    • Hsieh, D.A.1
  • 28
    • 21144474654 scopus 로고
    • Implications of nonlinear dynamics for financial risk management
    • Hsieh, D. A. (1993). Implications of nonlinear dynamics for financial risk management. Journal of Financial and Quantitative Analysis, 28, 41-64.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 41-64
    • Hsieh, D.A.1
  • 29
    • 0004112276 scopus 로고
    • Technical trading rules and regimes shifts in foreign exchange
    • University of Wisconsin, Social Sciences Research Institute
    • LaBaron, B. (1991). Technical trading rules and regimes shifts in foreign exchange. Working Paper. University of Wisconsin, Social Sciences Research Institute.
    • (1991) Working Paper
    • LaBaron, B.1
  • 32
    • 38249023697 scopus 로고
    • Application of nonlinear mapping theory to commodity price fluctuations
    • Lichtenberg, A. J. and Ujihara, A. (1988). Application of nonlinear mapping theory to commodity price fluctuations. Journal of Economic Dynamics and Control, 13, 225-246.
    • (1988) Journal of Economic Dynamics and Control , vol.13 , pp. 225-246
    • Lichtenberg, A.J.1    Ujihara, A.2
  • 33
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series
    • Neslon, C. and Plosser, C. (1982). Trends and random walks in macroeconomic time series. Journal of Monetary Economics, 10, 139-162.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-162
    • Neslon, C.1    Plosser, C.2
  • 34
    • 0002477659 scopus 로고
    • Exchange-traded options and CRISMA trading: who says technical analysis can't beat the market?
    • Pruitt, S. W., Maurice Tse, K. S. and White, R. E. (1989). Exchange-traded options and CRISMA trading: who says technical analysis can't beat the market? Journal of Portfolio Management, 55-56.
    • (1989) Journal of Portfolio Management , pp. 55-56
    • Pruitt, S.W.1    Maurice Tse, K.S.2    White, R.E.3
  • 35
    • 0002477659 scopus 로고
    • The CRISMA trading system: who says technical analysis can't beat the market?
    • Pruitt, S. W. and White, R. E. (1988). The CRISMA trading system: who says technical analysis can't beat the market? Journal of Portfolio Management, 55-58.
    • (1988) Journal of Portfolio Management , pp. 55-58
    • Pruitt, S.W.1    White, R.E.2
  • 37
    • 0002677397 scopus 로고
    • Proof that properly anticipated prices fluctuate randomly
    • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41-63.
    • (1965) Industrial Management Review , vol.6 , pp. 41-63
    • Samuelson, P.A.1
  • 38
    • 0001376652 scopus 로고
    • Nonlinear dynamics and stock returns
    • Scheinkman, J. and LeBaron, B. (1989). Nonlinear dynamics and stock returns. Journal of Business, 62, 311-337.
    • (1989) Journal of Business , vol.62 , pp. 311-337
    • Scheinkman, J.1    Lebaron, B.2
  • 39
    • 0004140144 scopus 로고
    • On the numerical determination of the dimension of an attractor
    • Berlin: SpringerVerlag Publishing
    • Takens, F. (1984). On the numerical determination of the dimension of an attractor. In Dynamical Systems and Bifurcations, Lecture Notes in Mathematics. SpringerVerlag Publishing, Berlin.
    • (1984) Dynamical Systems and Bifurcations, Lecture Notes in Mathematics
    • Takens, F.1
  • 40
    • 84978599450 scopus 로고
    • Trading futures using a channels rule: a study of the predictive power of technical analysis with currency examples
    • Taylor, S. J. (1994). Trading futures using a channels rule: a study of the predictive power of technical analysis with currency examples. Journal of Futures Markets, 14, 215-235.
    • (1994) Journal of Futures Markets , vol.14 , pp. 215-235
    • Taylor, S.J.1
  • 41
    • 84978592295 scopus 로고
    • Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos?
    • Yang, S., and Brorsen, B. W. (1993). Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos? Journal of Futures Markets, 13, 175-191.
    • (1993) Journal of Futures Markets , vol.13 , pp. 175-191
    • Yang, S.1    Brorsen, B.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.