کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355704 1477896 2018 37 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modelling time varying volatility spillovers and conditional correlations across commodity metal futures
ترجمه فارسی عنوان
زمان بندی متغیرهای نوسانات و همبستگی های شرطی در آینده معاملات فلزات کالایی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper examines how the most prevalent stochastic properties of key metal futures returns have been affected by the recent financial crisis using both mapped and unmapped data. Our results suggest that copper and gold futures returns exhibit time-varying persistence in their corresponding conditional volatilities over the crisis period; in particular, such persistence increases during periods of high volatility compared with low volatility. The estimation of a bivariate GARCH model further shows the existence of time-varying volatility spillovers between these returns during the different stages of such a crisis. Our results, which are broadly the same in relation to the use of mapped or unmapped data, suggest that the volatilities of copper and gold are inherently linked, although these metals have very different applications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 57, May 2018, Pages 246-256
نویسندگان
, , , ,