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Contagion in Futures Metal Markets during the Recent Global Financial Crisis : Evidence from Gold, Silver, Copper, Zinc and Aluminium

Tsiaras, Konstantinos - 2021

This paper seeks to investigate the time-varying dynamic conditional correlations to the five most important future metal markets, namely Gold, Silver, Copper, Zinc and Aluminium. We employ a multivariate Fractionally Integrated Generalized ARCH (FIGARCH) dynamic conditional correlation (cDCC)...

Persistent link: https://www.econbiz.de/10013228879

Comparative analysis on the effects of the Asian and global financial crises on precious metal markets

Morales, Lucía; Andréosso-O'Callaghan, Bernadette - In: Research in international business and finance 25 (2011) 2, pp. 203-227

Persistent link: https://www.econbiz.de/10008988893

Dynamic spillovers between Shanghai and London nonferrous metal futures markets

Kang, Sang Hoon; Yoon, Seong-min - In: Finance research letters 19 (2016), pp. 181-188

Persistent link: https://www.econbiz.de/10011657617

Modelling time varying volatility spillovers and conditional correlations across commodity metal futures

Karanasos, Menelaos; Ali, Faek Menla; Margaronis, Zannis; … - In: International review of financial analysis 57 (2018), pp. 246-256

Persistent link: https://www.econbiz.de/10012006357

First to react is the last to forgive : evidence from the stock market impact of COVID 19

Hassan, Sherif Maher; Gavilanes, John M. Riveros - In: Journal of risk and financial management : JRFM 14 (2021) 1/26, pp. 1-25

The COVID 19 pandemic has had wide-ranging and severe effects on global economies. Stock markets as usual were the first to react, with drop rates as much as the global financial crises of 2008. This study uses daily data to model the dynamic impact of the COVID 19 pandemic on the first affected...

Persistent link: https://www.econbiz.de/10012417079