The analysis of Value at Risk for precious metal returns by applying extreme value theory, copula model and GARCH model
This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious metal. The 4,077 precious metal price observations are collected from 3 rd January 2000 to 18 th August 2015, traded in the London Metal Exchange, and all prices are traded in US d...
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| Main Authors: | , |
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| Format: | Journal |
| Published: |
2017
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| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84971393075&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42271 |
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| Institution: | Chiang Mai University |
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