Analyzing The Frequency Dynamics Of Volatility Spillovers Across Precious And Industrial Metal Markets
JOURNAL OF FUTURES MARKETS(2021)
摘要
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.
更多查看译文
关键词
frequency spillover, industrial metal, metal market, precious metal, volatility spillover
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要