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Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets

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  • Tangyong Liu
  • Xu Gong
  • Boqiang Lin

Abstract

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.

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  • Tangyong Liu & Xu Gong & Boqiang Lin, 2021. "Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1375-1396, September.
    • Handle: RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1375-1396
    DOI: 10.1002/fut.22217
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    Cited by:

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