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Return and Volatility Spillovers in Industrial Metals

Author

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  • Brian M. Lucey

    (Institute for International Integration Studies, Trinity College Dublin)

Abstract

Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility spillovers and identifying the source of same.

Suggested Citation

  • Brian M. Lucey, 2014. "Return and Volatility Spillovers in Industrial Metals," The Institute for International Integration Studies Discussion Paper Series iiisdp463, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp463
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    References listed on IDEAS

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    1. repec:dau:papers:123456789/11708 is not listed on IDEAS
    2. Julien Chevallier & Florian Ielpo, 2013. "The Economics of Commodity Markets," Post-Print hal-02879507, HAL.
    3. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    4. Julien Chevallier & Florian Ielpo, 2013. "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1211-1227, September.
    5. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    6. Zehai Li & Lawrence Huiyan Zhang, 2013. "An Empirical Study of International Linkages of the Shanghai Copper Futures Market," Chinese Economy, Taylor & Francis Journals, vol. 46(3), pages 61-74, May.
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    Cited by:

    1. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.

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    More about this item

    Keywords

    base metal; industrial metal; range-based volatility; spillover;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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