Return and Volatility Spillovers in Industrial Metals

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.

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Year of publication:	2014-11
Authors:	Lucey, Brian M.
Institutions:	Institute for International Integration Studies (IIIS), Trinity College Dublin
Subject:	base metal \| industrial metal \| range-based volatility \| spillover

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Series:	The Institute for International Integration Studies Discussion Paper Series.
Type of publication:	Book / Working Paper
Notes:	13 pages
Classification:	C01 - Econometrics ; F49 - Macroeconomic Aspects of International Trade and Finance. Other ; G12 - Asset Pricing ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011097627