Add to ORKGThis paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We compute the VaR for major precious metals using the calibrated RiskMetrics, different GARCH models, and the semi-parametric Filtered Historical Simulation approach. Different risk management strategies are suggested, and the best approach for estimating VaR based on conditional and unconditional statistical tests is documented. The economic importance of the results is highlighte...
Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
In this paper, we investigate the value-at-risk predictions of four major precious metals (gold, sil...
textabstractThis paper examines volatility and correlation dynamics in price returns of gold, silver...
This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum a...
The data analysis of the metal markets has recently attracted a lot of attention, mainly because the...
Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six k...
It is essential for financial institutions and regulators to implement an effective risk management ...
The aim of the paper is to identify unobservable factors that may significantly determine the level ...
We investigate the volatility dynamics of gold markets. While there are a number of recent studies e...
Investor aversion to extreme losses may motivate them to seek out investments perceived to function ...
We studied downside and upside price spillovers between four precious metals (gold, silver, platinum...
In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currentl...
This study examines the dependence structure among four major precious metal markets: gold, palladiu...
In its most general form, risk can he defined as the possibility an outcome will differ from expecta...
Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
In this paper, we investigate the value-at-risk predictions of four major precious metals (gold, sil...
textabstractThis paper examines volatility and correlation dynamics in price returns of gold, silver...
This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum a...
The data analysis of the metal markets has recently attracted a lot of attention, mainly because the...
Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six k...
It is essential for financial institutions and regulators to implement an effective risk management ...
The aim of the paper is to identify unobservable factors that may significantly determine the level ...
We investigate the volatility dynamics of gold markets. While there are a number of recent studies e...
Investor aversion to extreme losses may motivate them to seek out investments perceived to function ...
We studied downside and upside price spillovers between four precious metals (gold, silver, platinum...
In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currentl...
This study examines the dependence structure among four major precious metal markets: gold, palladiu...
In its most general form, risk can he defined as the possibility an outcome will differ from expecta...
Objective: Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
In this paper, we investigate the value-at-risk predictions of four major precious metals (gold, sil...