EconPapers    
Economics at your fingertips  
 

Modelling time varying volatility spillovers and conditional correlations across commodity metal futures

Menelaos Karanasos, Faek Menla Ali, Zannis Margaronis and Rajat Nath

International Review of Financial Analysis, 2018, vol. 57, issue C, 246-256

Abstract: This 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.

Keywords: Financial crisis; Metal futures; Structural breaks; Time-varying volatility spillovers (search for similar items in EconPapers)
JEL-codes: C32 Q02 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105752191730176X
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:finana:v:57:y:2018:i:c:p:246-256

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-19
Handle: RePEc:eee:finana:v:57:y:2018:i:c:p:246-256