The analysis of Value at Risk for precious metal returns by applying extreme value theory, copula model and GARCH model

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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書目詳細資料
Main Authors:	Kritsana Khemawanit, Roengchai Tansuchat
格式:	雜誌
出版:	2018
主題:	Business, Management and Accounting Economics, Econometrics and Finance
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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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