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Journal article
Risk management of precious metals
The Quarterly review of economics and finance, v 51(4), pp 435-441
2011
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Abstract
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.
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Details
- Title
- Risk management of precious metals
- Creators
- Shawkat Hammoudeh - Drexel UniversityFarooq Malik - Zayed UniversityMichael McAleer - University of Canterbury
- Publication Details
- The Quarterly review of economics and finance, v 51(4), pp 435-441
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000437627500012
- Scopus ID
- 2-s2.0-80054776550
- Other Identifier
- 991019167730304721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics