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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 - In: Spoudai : journal of economics and business 70 (2020) 3/4, pp. 42-55

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/10012427825