| Portfolio value at risk with Copula-ARMAX-GJR-GARCH model: Evidence from the gold and silver futures | |
|---|---|
| 學年 | 99 |
| 學期 | 2 |
| 出版（發表）日期 | 2011-03-01 |
| 作品名稱 | Portfolio value at risk with Copula-ARMAX-GJR-GARCH model: Evidence from the gold and silver futures |
| 作品名稱（其他語言） | |
| 著者 | Lee, Wo-Chiang; Lin, Hui-Na |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Lagos: Academic Journals |
| 著錄名稱、卷期、頁數 | African Journal of Business Management 5(5), pp.1650-1662 |
| 摘要 | In the article, we construct the copula-based VaR-ARMAX-GJR-GARCH model. The purpose is to examine the strategic commodities comovements and directional relationships with these variables, as well as estimating the VaR of a gold and silver portfolio. Based on our empirical results, we conclude that the crude oil for the gold and silver price in Comex and Tocom market is both a significant and positive sign whether before or during uptrend. As to US/Japan yen exchange rate, there is still no consistent result. That is to say there is no evidence that an influence of the variable to gold and silver futures exists. In addition, the time-varying SJC copula, which allows for different dependence in the tails, produced the best result regardless of being before or during uptrend. Furthermore, concerning risk management, copula-based models more accurately assess portfolio risk. |
| 關鍵字 | Copula function; value at risk; Kendall’s tau; Joe-Clayton copula |
| 語言 | en |
| ISSN | 1993-8233 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | Lee, Wo-Chiang |
| 審稿制度 | |
| 國別 | NGA |
| 公開徵稿 | |
| 出版型式 | 電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72545 ) |
| SDGS | 尊嚴就業與經濟發展,產業創新與基礎設施 |
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