Which precious metals spill over on which, when and why? Some evidence
Jonathan Batten (),
Cetin Ciner and
Brian Lucey ()
Applied Economics Letters, 2015, vol. 22, issue 6, 466-473
Much academic and investor analysis and commentary see the four main precious metals as a single market, integrated and to some degree with each metal a substitute for the other. This proposition, which can be explicit or implicit, can be challenged on economic and statistical grounds. Using the Diebold and Yilmaz (2009) methodology, we show that the market is only weakly integrated, that this degree of integration is time varying and that it differs as between returns and volatility.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: Which Precious Metals Spill Over on Which, When and Why? – Some Evidence (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:22:y:2015:i:6:p:466-473
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Economics Letters is currently edited by Anita Phillips
More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().