کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097923 | 1478615 | 2010 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymmetries in the Volatility of Precious Metals Returns: The TA-ARSV Modelling Strategy
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This article shows different models that are capable of reproducing the stylized facts of financial returns series, and provides a new strategy to model the asymmetric answer of volatility in high-frequency series: the TA-ARSV strategy. This strategy is based on the TGARCH and ARSV models. The database used includes the daily returns of gold, silver, and platinum because these metals are currently (at crisis time) considered as an alternative to reserve currencies. Our analysis focuses on the period January 1, 1990 to February 25, 2009. Results show that the TA-ARSV model is the best in presence of leverage effect.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Journal of Economic Asymmetries - Volume 7, Issue 1, June 2010, Pages 23-41
Journal: The Journal of Economic Asymmetries - Volume 7, Issue 1, June 2010, Pages 23-41
نویسندگان
MarÃa del Carmen GarcÃa-Centeno, Gema Fernández-Avilés, José MarÃa Montero,