Dynamic Relationship between the Return of Gold, Crude Oil, and the Stock Exchange of Thailand Based on a Vector Autoregressive Model

Dynamic Relationship between the Return of Gold, Crude Oil, and the Stock Exchange of Thailand Based on a Vector Autoregressive Model

This research aims to investigate the dynamic relationship between the return of gold (RGOLD), crude oil (RCO), and the stock exchange of Thailand (RSET) using the Vector Autoregressive model: VAR(p) to analyze the secondary monthly data from January 2002 to October 2022. The paper reports three ke...

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Bibliographic Details
Main Author: Wongtawan Uthumrat
Format: Article
Language:English
Published: EconJournals 2022-07-01
Series:International Journal of Energy Economics and Policy
Subjects:
Gold
Crude oil
Stock exchange of Thailand
Vector Autoregressive
Online Access:https://econjournals.com/index.php/ijeep/article/view/13231

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