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 3rd January 2000 to 18th August 2015, traded in the London Metal Exchange, and all prices are traded in US dolla...
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| 格式: | 雜誌 |
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2018
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84971393075&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55332 |
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