Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets

Tangyong Liu, Xu Gong and Boqiang Lin ()

Journal of Futures Markets, 2021, vol. 41, issue 9, 1375-1396

Abstract: This paper investigates the volatility spillovers across precious and industrial metal markets over the period 1993–2019 based on the DY and ​BK methods. Results are summarized as follows: (1) while volatility spillovers across industrial metals are higher than across precious metals, the opposite occurs during crisis periods where precious metals cause net volatility spillovers to industrial metals; (2) volatility spillovers of the two metal groups show different dynamics in the short‐, medium‐ and long‐term components, especially in the short‐ and medium‐term components.

Date: 2021
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https://doi.org/10.1002/fut.22217

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