淡江大學機構典藏:Item 987654321/72277
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 62830/95882 (66%)
造访人次 : 4047498      在线人数 : 611
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72277


    题名: Value-at-Risk Forecasts in Gold Market under Oil Shocks
    作者: Cheng, Wan-hsiu;Su, Jung-bin;Tzou, Yi-pin
    贡献者: 淡江大學財務金融學系
    关键词: Gold;Oil volatility;PGARCH;BHK;Value-at-risk
    日期: 2009-09
    上传时间: 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
    显示于类别:[財務金融學系暨研究所] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    1450-2889_4p48-64.pdf278KbAdobe PDF932检视/开启
    index.html0KbHTML103检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

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