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Article: Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach

TitleDependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach
Authors
KeywordsGold price
dependence break
GARCH
copula
value-at-risk
Issue Date2020
PublisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijitdm/ijitdm.shtml
Citation
International Journal of Information Technology and Decision Making, 2020, v. 19 n. 1, p. 169-193 How to Cite?
AbstractSince 2013, China has become the world’s largest gold producer and consumer. To gain the corresponding global pricing power in gold, many actions have been taken by China in recent years, including the International Board at Shanghai Gold Exchange, Shanghai-Hong Kong Gold Connect and Shanghai Gold Fix. Our work studies the dependence structure between China’s and international gold price and examines whether these moves are changing the dependence structure. We use GARCH-copula models to detect the dynamic dependence and tail dependence. The research period is set to contain the Financial Crisis in 2008, the dramatical plunge of gold price in 2013 and a series of black swan events in 2016. The empirical study shows that some event driven dependence structure breaks are statistically insignificant. And the time-varying Symmetrized Joe-Clayton copula is the best copula to model the dependence structure based on AIC value. Finally, an example of applications of this dependence structure is given by estimating the VaR of an equally weighted portfolio with a simulation-based method.
Persistent Identifierhttp://hdl.handle.net/10722/287275
ISSN
2019 Impact Factor: 1.894
2015 SCImago Journal Rankings: 0.675

 

DC FieldValueLanguage
dc.contributor.authorLIANG, Z-
dc.contributor.authorWang, J-
dc.contributor.authorLai, KK-
dc.date.accessioned2020-09-22T02:58:30Z-
dc.date.available2020-09-22T02:58:30Z-
dc.date.issued2020-
dc.identifier.citationInternational Journal of Information Technology and Decision Making, 2020, v. 19 n. 1, p. 169-193-
dc.identifier.issn0219-6220-
dc.identifier.urihttp://hdl.handle.net/10722/287275-
dc.description.abstractSince 2013, China has become the world’s largest gold producer and consumer. To gain the corresponding global pricing power in gold, many actions have been taken by China in recent years, including the International Board at Shanghai Gold Exchange, Shanghai-Hong Kong Gold Connect and Shanghai Gold Fix. Our work studies the dependence structure between China’s and international gold price and examines whether these moves are changing the dependence structure. We use GARCH-copula models to detect the dynamic dependence and tail dependence. The research period is set to contain the Financial Crisis in 2008, the dramatical plunge of gold price in 2013 and a series of black swan events in 2016. The empirical study shows that some event driven dependence structure breaks are statistically insignificant. And the time-varying Symmetrized Joe-Clayton copula is the best copula to model the dependence structure based on AIC value. Finally, an example of applications of this dependence structure is given by estimating the VaR of an equally weighted portfolio with a simulation-based method.-
dc.languageeng-
dc.publisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijitdm/ijitdm.shtml-
dc.relation.ispartofInternational Journal of Information Technology and Decision Making-
dc.rightsFor preprints : Preprint of an article published in [Journal, Volume, Issue, Year, Pages] [Article DOI] © [copyright World Scientific Publishing Company] [Journal URL] For postprints : Electronic version of an article published as [Journal, Volume, Issue, Year, Pages] [Article DOI] © [copyright World Scientific Publishing Company] [Journal URL]-
dc.subjectGold price-
dc.subjectdependence break-
dc.subjectGARCH-
dc.subjectcopula-
dc.subjectvalue-at-risk-
dc.titleDependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach-
dc.typeArticle-
dc.identifier.emailWang, J: jwwang@hku.hk-
dc.identifier.authorityWang, J=rp01888-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1142/S0219622019500445-
dc.identifier.scopuseid_2-s2.0-85079376771-
dc.identifier.hkuros314571-
dc.identifier.volume19-
dc.identifier.issue1-
dc.identifier.spage169-
dc.identifier.epage193-
dc.publisher.placeSingapore-

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