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    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72277

    題名: Value-at-Risk Forecasts in Gold Market under Oil Shocks
    作者: Cheng, Wan-hsiu;Su, Jung-bin;Tzou, Yi-pin
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Gold;Oil volatility;PGARCH;BHK;Value-at-risk
    日期: 2009-09
    上傳時間: 2011-10-24 10:19:36 (UTC+8)
    出版者: Victoria: EuroJournals Publishing
    摘要: This paper investigates the out-of-sample value-at-risk (VaR) forecasts in gold markets by considering both oil volatilities and the flexible model construction. We used the combined BHK (Brenner, Harjes, and Kroner, 1996) and power GARCH (PGARCH) models to consider not only the effect of spot prices, but also the endogenized power term. The empirical results indicate that the PGARCH-HV model with its flexibility in power term for data transformation and the high volatility of crude oil is the best model for VaR forecasting. The findings have implications for investors, financial institutions, and futures exchanges.
    關聯: Middle Eastern Finance and Economics 4, pp.48-64
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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