教師資料查詢 | 類別: 期刊論文 | 教師: 李沃牆LEE, WO-CHIANG (瀏覽個人網頁)

標題: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
語言英文
ISSN1993-8233
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
國別奈及利亞
公開徵稿
出版型式電子版
相關連結
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