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Dynamic spillovers across precious metals and oil realized volatilities : Evidence from quantile extended joint connectedness measures
Cuñado, Juncal; Gabauer, David; Chatziantoniou, Ioannis; … - 2022
This study examines the nexus between precious metals (gold and silver) and oil (crude oil and heating oil) realized volatilities introducing a novel quantile extended joint connectedness framework combining quantile vector autoregression (White et al., 2015) with the extended joint...
Persistent link: https://www.econbiz.de/10013289227
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Dynamic spillovers across precious metals and oil realized volatilities : evidence from quantile extended joint connectedness measures
Cuñado Eizaguirre, Juncal; Chatziantoniou, Ioannis; … - In: Journal of commodity markets 30 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014426696
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Price stability properties and volatility analysis of precious metals : an ICSS algorithm aqpproach
Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-15
in volatility of precious metals has been reduced. The results suggest gold is the most stable of the precious metals …
Persistent link: https://www.econbiz.de/10013471164
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Volatility and Volatility Spillovers in Crude Oil and Precious Metals Markets
Nimanussornkul, Chaiwat - 2009
volatility of these commodities. The daily returns of Brent, gold and silver from 8 April 1999 to 7 April 2009 are employed to … model the volatility and volatility spillovers across markets. The univariate conditional volatility models suggest that … there is time-varying volatility in all assets. Moreover, asymmetry is observed in the Brent and gold markets. For …
Persistent link: https://www.econbiz.de/10013155205
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Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes
Kirkpinar, Aysegul - In: Contemporary issues in business economics and finance, (pp. 45-56). 2020
Persistent link: https://www.econbiz.de/10012313140
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Spillovers and connectedness between major precious metals and major currency markets : the role of frequency factor
Mensi, Walid; Hernandez, Jose Arroeola; Yoon, Seong-min; … - In: International review of financial analysis 74 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012803817
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Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets : hedge and safe haven implications
Mensi, Walid; Aslan, Aylin; Xuan Vinh Vo; Kang, Sang Hoon - In: International review of economics & finance : IREF 83 (2023), pp. 219-232
Persistent link: https://www.econbiz.de/10014239971
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Volatility dynamics of precious metals : evidence from Russia
Kirkulak-Uludag, Berna; Lkhamazhapov, Zorikto - In: Finance a úvěr 67 (2017) 3, pp. 300-317
Persistent link: https://www.econbiz.de/10011720731
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Volatility spillover : garch analysis of S&P 500's influence on precious metals
Duran, Edo; Grubisic, Zoran; Lazić, Milena - In: Journal of central banking theory and practice 13 (2024) 2, pp. 187-211
In this study, the volatility spillovers from the S&P 500 to the precious metals (gold, silver and platinum) are … observed 15 years (global economic crisis, debt crisis and corona crisis). In the case of gold, despite extreme volatility …
Persistent link: https://www.econbiz.de/10014581564
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Volatility transmission and herding contigion during the global financial crises
Abbes, Mouna Boujelbène - In: International journal of managerial and financial accounting 5 (2013) 2, pp. 138-161
Persistent link: https://www.econbiz.de/10009746408