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Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures

Juncal Cunado, Ioannis Chatziantoniou, David Gabauer, Fernando Perez de Gracia and Marfatia Hardik

Journal of Commodity Markets, 2023, vol. 30, issue C

Abstract: This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net transmitter of shocks in the network across all quartiles. The dynamic total connectedness is heterogeneous over time and driven by economic events. Interestingly, we see that the higher the quartile the more pronounced the net transmission mechanisms of realized volatilities. Notably, the net total directional and pairwise connectedness measures illustrate in most cases similar dynamics.

Keywords: Gold; Silver; Crude oil; Heating oil; Realized volatility; Dynamic quantile connectedness; Joint connectedness (search for similar items in EconPapers)
JEL-codes: C32 G15 Q30 Q40 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:30:y:2023:i:c:s240585132300017x

DOI: 10.1016/j.jcomm.2023.100327

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Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

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