Precious metals under the microscope: a high-frequency analysis

Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo

Quantitative Finance, 2015, vol. 15, issue 5, 743-759

Abstract: Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium and platinum. We analyse the behaviours of spot prices, returns, volume and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. The time series of spot returns have, thus, properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviours in the conditional variances and volatility clustering. Gold (platinum) is the most (least) liquid and least (most) volatile asset. Commonality in liquidities of precious metals is very strong.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2014.947313 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Precious Metals Under the Microscope: A High-Frequency Analysis (2014)
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:taf:quantf:v:15:y:2015:i:5:p:743-759

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2014.947313

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().