Precious metals-exchange rate volatility transmissions and hedging strategies
Shawkat Hammoudeh,
Yuan Yuan,
Michael McAleer and
Mark A. Thompson
International Review of Economics & Finance, 2010, vol. 19, issue 4, 633-647
Abstract:
This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (i.e., gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for the four metals system show significant short-run and long-run dependencies and interdependencies to news and past volatility. Furthermore, these results become more pervasive when the exchange rate and federal funds rate are included. Monetary policy also has a differential impact on the precious metals and the exchange rate volatilities. Finally, the applications of the results show the optimal weights in a two-asset portfolio and the hedging ratios for long positions.
Keywords: Shocks; Volatility; Correlation; Dependency; and; interdependency (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (148)
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Related works:
Working Paper: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies (2009) 
Working Paper: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies (2009) 
Working Paper: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies (2009) 
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:19:y:2010:i:4:p:633-647
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