EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS

Khaled Mokni ()

Annals of Financial Economics (AFE), 2018, vol. 13, issue 01, 1-20

Abstract: The relationship between crude oil and precious metals has been a major issue in economic and financial literature. In this paper, the FIEGARCH-copula framework was used to investigate the co-movements not only between returns, but also between volatilities and market risks among crude oil and precious metals markets. Based on daily crude oil and the major precious metals prices from January 2, 2000 to December 31, 2016, our empirical results are as follows: First, a significant positive and asymmetric relationship between oil and precious metals returns, volatilities and market risk was detected. Second, the dependence structure between oil-silver and oil-gold for returns and volatilities are time varying, while the other pairs are characterized by constant dependence. Third, based on the dependence modeling between daily Value-at-Risk (VaR) for the long and short trading position, empirical results show that the market risk relationship between crude oil and precious metals change over time and increase with VaR’s confidence level. Our findings are of interest for investors and risk managers in portfolio’s design and allow for a reliable framework for returns and risk prediction.

Keywords: Dependence structure; oil prices; precious metals; copula; risk dependence (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010495218500033
Access to full text is restricted to subscribers

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:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500033

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010495218500033

Access Statistics for this article

Annals of Financial Economics (AFE) is currently edited by Michael McAleer

More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().