Chaithep, Kittiya; Sriboonchitta, Songsak; Chaiboonsri, … - In: The Empirical Econometrics and Quantitative Economics … 1 (2012) 4, pp. 151-168
There are many approaches to evaluate the return. However, Extreme Value Theory is the right method to analysis Value at Risk of Gold Price Return. The method is covered tothe block maxima and the Peak over Thresholds modeling. This study uses a daily gold price in US dollar over the period of...