Downside/upside price spillovers between precious metals: A vine copula approach

•We study downside and upside price spillovers between four precious metals.•Downside and upside VaR and conditional VaR are computed using vine copulas.•Dependence structure differed across precious metals.•There is asymmetric downside and upside price spillover effects that differed in magnitude.•Precious metals do not behave as a single asset class.

We studied downside and upside price spillovers between four precious metals (gold, silver, platinum and palladium), characterizing the multivariate dependence structure using a vine copula model and computing downside and upside value-at-risk and conditional value-at-risk. We found that the dependence structure differed across precious metals, all of which displayed different average and tail dependence features. Gold and silver prices were highly dependent except at the upper tail, whereas silver prices were integrated with those for platinum and palladium except at the upper tail. The gold market was very little integrated with the platinum and palladium markets. We document asymmetric downside and upside price spillover effects that differed in magnitude across precious metals; silver, in particular, had a greater downside and upside price impact on gold. Our results, indicating that precious metals do not behave as a single asset class, have implications for risk management, trading and hedging strategies for portfolios that include precious metals.