Risk Management of Precious Metals
| dc.contributor.author | Hammoudeh, Shawkat | |
| dc.contributor.author | Malik, Farooq | |
| dc.contributor.author | McAleer, Michael | |
| dc.date.accessioned | 2023-06-20T09:12:43Z | |
| dc.date.available | 2023-06-20T09:12:43Z | |
| dc.date.issued | 2011-03 | |
| dc.description.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. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | FALSE | |
| dc.description.status | unpub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/12448 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/48974 | |
| dc.issue.number | 04 | |
| dc.language.iso | eng | |
| dc.page.total | 28 | |
| dc.publisher | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights | Atribución-NoComercial 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc/3.0/es/ | |
| dc.subject.jel | G1 | |
| dc.subject.keyword | Precious metals | |
| dc.subject.keyword | Conditional volatility | |
| dc.subject.keyword | Risk management | |
| dc.subject.keyword | Value-at-risk. | |
| dc.subject.ucm | Finanzas | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | Risk Management of Precious Metals | |
| dc.type | technical report | |
| dc.volume.number | 2011 | |
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| dspace.entity.type | Publication |
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