Dynamic VaR Measurement of Gold Market with SV-T-MN Model
VaR (Value at Risk) in the gold market was measured and predicted by combining stochastic volatility (SV) model with extreme value theory. Firstly, for the fat tail and volatility persistence characteristics in gold market return series, the gold price return volatility was modeled by SV-T-MN (SV-T...
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| Main Authors: | Fenglan Li, Jie Wang, Liyun Su, Bao Yang |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2017-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2017/5183914 |
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