English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51258/86283 (59%)
Visitors : 8020974      Online Users : 57
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72277


    Title: Value-at-Risk Forecasts in Gold Market under Oil Shocks
    Authors: Cheng, Wan-hsiu;Su, Jung-bin;Tzou, Yi-pin
    Contributors: 淡江大學財務金融學系
    Keywords: Gold;Oil volatility;PGARCH;BHK;Value-at-risk
    Date: 2009-09
    Issue Date: 2011-10-24 10:19:36 (UTC+8)
    Publisher: Victoria: EuroJournals Publishing
    Abstract: 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.
    Relation: Middle Eastern Finance and Economics 4, pp.48-64
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    1450-2889_4p48-64.pdf278KbAdobe PDF900View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback