Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7355704 | International Review of Financial Analysis | 2018 | 37 Pages |
Abstract
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.
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Authors
Menelaos Karanasos, Faek Menla Ali, Zannis Margaronis, Rajat Nath,