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Journal articles
Heterogeneous interconnections between precious metals: Evidence from asymmetric and frequency-domain spillover analysis
Abstract : We examine the spillover characteristics of returns and volatilities of precious metals: gold, silver, platinum and palladium. We find evidence of homogenous and time varying asymmetric spillovers between the returns and volatilities of the precious metals suggesting similarities in their cyclical relationship with global and local fundamentals. Negative and positive shocks cause the asymmetric spillovers and are more pronounced in times of financial turmoil. The largest transmission of net spillovers is exerted by gold and silver. Silver in the short and long runs and in good and bad market conditions leads the spillover transmission. The pairs silver-gold and palladium-platinum display the largest directional spillovers. Lastly, while palladium and platinum act mainly as spillover receivers, gold and silver act mainly as transmitters of spillovers. Implications of the results are discussed.
https://hal-rennes-sb.archives-ouvertes.fr/hal-02468252
Contributor : Steven Gouin Connect in order to contact the contributor
Submitted on : Wednesday, February 5, 2020 - 4:05:08 PM
Last modification on : Friday, February 7, 2020 - 1:22:32 AM
Contributor : Steven Gouin Connect in order to contact the contributor
Submitted on : Wednesday, February 5, 2020 - 4:05:08 PM
Last modification on : Friday, February 7, 2020 - 1:22:32 AM