The Empirical Study on the Dynamic Relationship, Value at Risk and Threshold Effect of Silver and Gold Futures in Japan TOCOM and U.S. COMEX Markets
博士 === 淡江大學 === 財務金融學系博士班 === 99 === This dissertation discusses the dynamic relationship, value at risk, and threshold effect of gold and silver futures in the markets of COMEX (US) and TOCOM (Japan). First, AR(1)-GJR-GARCH(1,1) and three widely used Copula functions are employed to examine the dyn...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36693293895772575665 |