Asymmetric and time-frequency spillovers among commodities using high-frequency data

Massimiliano Caporin, Muhammad Abubakr Naeem, Muhammad Arif, Mudassar Hasan, Xuan Vinh Vo and Syed Jawad Hussain Shahzad

Resources Policy, 2021, vol. 70, issue C

Abstract: In this study, we examine the asymmetric short- and long-run spillover among commodities using realized variances and realized semivariances calculated through 5-min trading data of commodity futures. In doing so, we apply time and frequency domain generalized error variance decomposition approaches and build a network of commodity connectedness. Our findings indicate low inter-group connectedness, distinct group clustering, and high intragroup network-based connectedness in realized volatilities of sample commodities. We find more pronounced inter- and intra-group volatility connectedness for negative realized volatilities than positive ones. Besides, we show that volatility connectedness is a long-run phenomenon. Additionally, the time-varying net directional spillover connectedness reveals that the bad volatility connectedness dictates the good volatility connectedness for the total sample as well as for various frequency domains, both in terms of magnitude and length of time. The implications for investors and policymakers are discussed.

Keywords: Asymmetric volatility; Time-frequency domain; High-frequency data; Commodity connectedness (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420720309879
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879

DOI: 10.1016/j.resourpol.2020.101958

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().