期刊論文
| 學年 | 98 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2009-09-01 |
| 作品名稱 | Value-at-Risk Forecasts in Gold Market under Oil Shocks |
| 作品名稱（其他語言） | |
| 著者 | Cheng, Wan-hsiu; Su, Jung-bin; Tzou, Yi-pin |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Victoria: EuroJournals Publishing |
| 著錄名稱、卷期、頁數 | Middle Eastern Finance and Economics 4, pp.48-64 |
| 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. |
| 關鍵字 | Gold; Oil volatility; PGARCH; BHK; Value-at-risk |
| 語言 | en |
| ISSN | 1450-2889 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | SYC |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72277 ) |