Return and Volatility Spillovers in Industrial Metals

Brian Lucey

The Institute for International Integration Studies Discussion Paper Series from IIIS

Abstract: Despite their importance there is a relative dearth on spillovers within the industrial metal class. This is particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over a 20 year period, showing the evolution of volatility spillovers and identifying the source of same.

Keywords: base metal; industrial metal; range-based volatility; spillover (search for similar items in EconPapers)
JEL-codes: C01 F49 G12 G15 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2014-11
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:iis:dispap:iiisdp463

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