Risk Management of Precious Metals

dc.contributor.authorHammoudeh, Shawkat
dc.contributor.authorMalik, Farooq
dc.contributor.authorMcAleer, Michael
dc.description.abstractThis 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.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
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dc.publisherInstituto Complutense de Análisis Económico. Universidad Complutense de Madrid
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rightsAtribución-NoComercial 3.0 España
dc.rights.accessRightsopen access
dc.subject.keywordPrecious metals
dc.subject.keywordConditional volatility
dc.subject.keywordRisk management
dc.subject.ucmEconometría (Economía)
dc.subject.unesco5302 Econometría
dc.titleRisk Management of Precious Metals
dc.typetechnical report
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