Modeling co-movement and risk management of gold and silver spot prices

• Main Authors: Yang C., Sriboonchitta S., Sirisrisakulchai J., Liu J.
• Format: Book Series
• Published: 2017
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952652860&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/42355
• Institution: Chiang Mai University

© Springer International Publishing Switzerland 2016. This paper aims to model volatility and correlation dynamics in spot price returns of gold and silver, and examines the corresponding market risk management implications. VaR (value at risk) and ES (expected shortfall) are used to analyze the mar...