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Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals

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  • Caporin, Massimiliano

    ()

  • Ranaldo, Angelo

    ()

  • Velo, Gabriel G.

    ()

Abstract

Taking advantage of a trades-and-quotes database, the main stylized facts and dynamic properties of a time series related to spot precious metals, that is, gold, silver, palladium, and platinum, are documented. The behavior of spot prices, returns, volume, and selected liquidity measures is analyzed. A clear evidence of periodic patterns matching the trading hours of the most active markets, London, Zurich, New York, as well as Asian markets, is found. The time series of spot returns have thus properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The empirical analyzes show, as expected, that gold is the most liquid and less volatile asset, whereas palladium and platinum are traded less.

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File URL: http://www1.vwa.unisg.ch/RePEc/usg/sfwpfi/WPF-1318.pdf
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Bibliographic Info

Paper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1318.

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Length: 39 pages
Date of creation: May 2013
Date of revision:
Handle: RePEc:usg:sfwpfi:2013:18

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Keywords: precious metals; high-frequency data; liquidity measurement; intradaily periodicity;

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