{"title":"如何管理贵金属市场的风险?黄金的案例","authors":"Hao Shen, Xuanjin Meng, Xiaojing Meng","doi":"10.2139/ssrn.3016829","DOIUrl":null,"url":null,"abstract":"Other than as a medium of exchange, gold has been a consumption and investment product for a long history. It has been recognized a well-positive role in portfolio performance by many financial market practitioners. During the recent financial crisis, gold spot prices have exhibited significant volatility. Thus, effective risk management of gold spot prices play a crucial role for the industry. In this paper, we consider several types of heavy-tailed distributions and compare their performance in risk management of gold spot prices. Our results show the Skewed t distribution has the best goodness-of-fit in modelling the distribution of daily gold spot returns and generates suitable Value at Risk measures.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"How to Manage the Risk in the Precious Metals Market? The Case of Gold\",\"authors\":\"Hao Shen, Xuanjin Meng, Xiaojing Meng\",\"doi\":\"10.2139/ssrn.3016829\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Other than as a medium of exchange, gold has been a consumption and investment product for a long history. It has been recognized a well-positive role in portfolio performance by many financial market practitioners. During the recent financial crisis, gold spot prices have exhibited significant volatility. Thus, effective risk management of gold spot prices play a crucial role for the industry. In this paper, we consider several types of heavy-tailed distributions and compare their performance in risk management of gold spot prices. Our results show the Skewed t distribution has the best goodness-of-fit in modelling the distribution of daily gold spot returns and generates suitable Value at Risk measures.\",\"PeriodicalId\":292025,\"journal\":{\"name\":\"Econometric Modeling: Commodity Markets eJournal\",\"volume\":\"29 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Commodity Markets eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3016829\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Commodity Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3016829","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
How to Manage the Risk in the Precious Metals Market? The Case of Gold
Other than as a medium of exchange, gold has been a consumption and investment product for a long history. It has been recognized a well-positive role in portfolio performance by many financial market practitioners. During the recent financial crisis, gold spot prices have exhibited significant volatility. Thus, effective risk management of gold spot prices play a crucial role for the industry. In this paper, we consider several types of heavy-tailed distributions and compare their performance in risk management of gold spot prices. Our results show the Skewed t distribution has the best goodness-of-fit in modelling the distribution of daily gold spot returns and generates suitable Value at Risk measures.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
