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Risk Management of Precious Metals


Hammoudeh, Shawkat y Malik, Farooq y McAleer, Michael (2011) Risk Management of Precious Metals. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 04, 2011, ] (No publicado)

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This 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. The best approach for estimating VaR based on conditional and unconditional statistical tests is documented. The economic importance of the results is highlighted by assessing the daily capital charges from the estimated VaRs.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Precious metals, Conditional volatility, Risk management, Value-at-risk.
Materias:Ciencias Sociales > Economía > Finanzas
Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:12448

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Depositado:21 Mar 2011 12:18
Última Modificación:15 Jun 2016 12:38

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