Template-type: ReDIF-Paper 1.0
Author-Name: Shawkat Hammoudeh
Author-Email: Shawkat.M.Hammoudeh@drexel.edu 
Author-Homepage: https://www.lebow.drexel.edu/people/shawkathammoudeh
Author-Person: pha672 
Author-Workplace-Name: Department of Economics & International Business, LeBow College of Business, Drexel University
Author-Name: Farooq Malik
Author-Email: Farooq.Malik@usm.edu
Author-Workplace-Name: College of Business University of Southern Mississippi
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics)
	Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Title: Risk Management of Precious Metals
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.
Classification-JEL: G1
Keywords: Precious metals, conditional volatility, risk management, value-at-risk.
Length: 28 pages 
Creation-Date: 2011 
Number: 2011-04
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1104.txt
File-URL: https://eprints.ucm.es/id/eprint/12448/1/1104.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1104