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The dynamics of precious metal markets VaR: A GARCHEVT approach · Study

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ArticleThe dynamics of precious metal markets VaR: A GARCHEVT approach

Hong-Kun Zhang2016

OA

Articlebronze2016

The dynamics of precious metal markets VaR: A GARCHEVT approach

17 citations·0/0 files stored·Journal of commodity markets

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2009Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models

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Year2016

Typearticle

Published2016-10-28

VenueJournal of commodity markets

ISSN-L2405-8505

Languageen

Citations17

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jcomm.2016.10.001

openalex_workW2540483022

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