This study examines the co-movements and information transmission among the spot prices of four precious metals (gold, silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short...

This study examines the conditional volatility and correlation dependency and interdependency for the four major precious metals (that is, gold, silver, platinum and palladium), while accounting for geopolitics within a multivariate system. The implications of the estimated results for portfolio...

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments...

This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional...

This paper examines the impacts of world, country, and sector-specific variables on the stock return volatility of twenty-seven US sectors in the short- and long-run, accounting for the asymmetric shocks based on GARCH models. In the standard GARCH model the two world variables, oil and Morgan...