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Modelling time varying volatility spillovers and conditional correlations across commodity metal futures
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 NathThis 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 AnalysisISSN
1057-5219Publisher
ElsevierExternal DOI
Volume
57Page range
246-256Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2017-12-07First Open Access (FOA) Date
2018-01-19First Compliant Deposit (FCD) Date
2017-12-07Usage metrics
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