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Modelling time varying volatility spillovers and conditional correlations across commodity metal futures

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Version 2 2023-06-12, 08:47
Version 1 2023-06-09, 09:14
journal contribution
posted on 2023-06-12, 08:47 authored by Menelaos Karanasos, Faek Menla AliFaek Menla Ali, Zannis Margaronis, Rajat Nath
This paper examines how the most prevalent stochastic properties of key metal futures returns have been affected by the recent financial crisis using both mapped and unmapped data. Our results suggest that copper and gold futures returns exhibit time-varying persistence in their corresponding conditional volatilities over the crisis period; in particular,such persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a crisis. Our results, which are broadly the same in relation to the use of mapped or unmapped data, suggest that the volatilities of copper and gold are inherently linked, although these metals have very different applications.

History

Publication status

  • Published

File Version

  • Published version

Journal

International Review of Financial Analysis

ISSN

1057-5219

Publisher

Elsevier

Volume

57

Page range

246-256

Department affiliated with

  • Accounting and Finance Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2017-12-07

First Open Access (FOA) Date

2018-01-19

First Compliant Deposit (FCD) Date

2017-12-07

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