Modelling Extreme Risks in Commodities and Commodity Currencies

Fernanda Fuentes, Rodrigo Herrera and Adam Clements
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Fernanda Fuentes: Universidad de Talca, Chile

No 115, NCER Working Paper Series from National Centre for Econometric Research

Abstract: This paper analyzes extreme co-movements between the Australian and Canadian commodity currencies, and the gold and oil markets respectively, within a multivariate extension of the Hawkes-POT model. The intensity of extreme events in the Australian dollar are influenced by extreme events in gold, while the size of extreme events in the Canadian dollar are driven by extreme events in crude oil. Models with both self-excitation and cross-excitation produce the most accurate predictions of extreme risk in these markets. The results of this paper will provide participants in the commodity and currency markets a deeper understanding of the risks they face.

Keywords: Extreme risk; Co-movements; Multivariate Hawkes-POT; Point process; Value at Risk (search for similar items in EconPapers)
JEL-codes: C53 F47 G15 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2016-11-10
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http://www.ncer.edu.au/papers/documents/WP115.pdf (application/pdf)

Related works:
Journal Article: Modeling extreme risks in commodities and commodity currencies (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2016_06

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