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Estimating Value at Risk for Base Metals under Exchange Rate Shocks

Shiva Zamani; Majid Alifar

Volume 19, Issue 59 , July 2014, , Pages 183-210

Abstract
  In this paper we formulate the volatility of the Metal Index, by an ARJI-GARCH model, with reference to the effect of the volatility of dollar exchange rate. We express the jump in the dollar exchange rate by an Autoregressive Conditional Jump Intensity (ARJI) model, and then use the output to model ...  Read More