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    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:[Graduate Institute & Department of Banking and Finance] Journal Article

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