Premium
Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets
Author(s) -
Liu Tangyong,
Gong Xu,
Lin Boqiang
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22217
Subject(s) - volatility (finance) , precious metal , economics , monetary economics , econometrics , metal , metallurgy , materials science
This paper investigates the volatility spillovers across precious and industrial metal markets over the period 1993–2019 based on the DY and BK methods. Results are summarized as follows: (1) while volatility spillovers across industrial metals are higher than across precious metals, the opposite occurs during crisis periods where precious metals cause net volatility spillovers to industrial metals; (2) volatility spillovers of the two metal groups show different dynamics in the short‐, medium‐ and long‐term components, especially in the short‐ and medium‐term components.