 Dynamic volatility connectedness between industrial metal marketsXu Gong, Jun Xu, Tangyong Liu and Zicheng Zhou The North American Journal of Economics and Finance, 2022, vol. 63, issue C Abstract: Combined with the spillover framework of Diebold and Yilmaz (2009, 2012, 2014) and the TVP-VAR-SV model of Primiceri (2005), this paper studies the dynamic volatility connectedness between six major industrial metal (i.e., aluminum, copper, lead, nickel, tin and zinc) spot and futures markets. The results show that: (1) The total volatility connectedness between industrial metal spot or futures markets has three obvious cyclical change periods with a higher connectedness level; (2) The net connectedness of zinc and copper with other metals has been at a high positive level for a long time, which indicates the two metal markets dominate the industrial metal market; (3) Zinc exhibits the strongest volatility spillovers, while tin exhibits the weakest volatility spillovers, no matter in spot markets or futures markets; (4) The connectedness of realized skewness and kurtosis have similarity with volatility connectedness but the spillover effects of skewness and kurtosis are not as obvious as the volatility spillover effects. Keywords: Volatility spillover; Spillover index; Industrial metal; TVP-VAR-SV model (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:63:y:2022:i:c:s1062940822001498 DOI: 10.1016/j.najef.2022.101814 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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