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Precious Metals Under the Microscope: A High-Frequency Analysis

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  • Caporin, Massimiliano

    ()

  • Ranaldo, Angelo

    ()

  • Velo, Gabriel G.

    ()

Abstract

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. 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 gold (platinum) is the most (least) liquid and less (most) volatile asset. Commonality in liquidities of precious metals is very strong.

Suggested Citation

  • Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
  • Handle: RePEc:usg:sfwpfi:2014:09
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    1. repec:taf:quantf:v:16:y:2016:i:12:p:1809-1822 is not listed on IDEAS
    2. repec:eee:jrpoli:v:54:y:2017:i:c:p:9-24 is not listed on IDEAS
    3. repec:eee:finana:v:52:y:2017:i:c:p:292-308 is not listed on IDEAS
    4. repec:eee:glofin:v:35:y:2018:i:c:p:115-137 is not listed on IDEAS
    5. He, Kaijian & Liu, Youjin & Yu, Lean & Lai, Kin Keung, 2016. "Multiscale dependence analysis and portfolio risk modeling for precious metal markets," Resources Policy, Elsevier, vol. 50(C), pages 224-233.

    More about this item

    Keywords

    precious metals; high-frequency data; liquidity; commonality in liquidity; intradaily periodicity;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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