GAS and GARCH based value-at-risk modeling of precious metals
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DOI: 10.1016/j.resourpol.2021.102456
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More about this item
Keywords
Precious metals; Model confidence set (MCS); GARCH-GAS; Turbulent; Tranquil;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
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