 Downside/upside price spillovers between precious metals: A vine copula approachJuan Reboredo and Andrea Ugolini The North American Journal of Economics and Finance, 2015, vol. 34, issue C, 84-102 Abstract: We studied downside and upside price spillovers between four precious metals (gold, silver, platinum and palladium), characterizing the multivariate dependence structure using a vine copula model and computing downside and upside value-at-risk and conditional value-at-risk. We found that the dependence structure differed across precious metals, all of which displayed different average and tail dependence features. Gold and silver prices were highly dependent except at the upper tail, whereas silver prices were integrated with those for platinum and palladium except at the upper tail. The gold market was very little integrated with the platinum and palladium markets. We document asymmetric downside and upside price spillover effects that differed in magnitude across precious metals; silver, in particular, had a greater downside and upside price impact on gold. Our results, indicating that precious metals do not behave as a single asset class, have implications for risk management, trading and hedging strategies for portfolios that include precious metals. Keywords: Precious metals; Spillover; Downside/upside risk; Vine copula (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:34:y:2015:i:c:p:84-102 DOI: 10.1016/j.najef.2015.08.001 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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