Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets

Abstract

This paper investigates the volatility spillovers across precious and industrial metal markets over the period 1993–2019 based on the DY and ​BK methods. Results are summarized as follows: (1) while volatility spillovers across industrial metals are higher than across precious metals, the opposite occurs during crisis periods where precious metals cause net volatility spillovers to industrial metals; (2) volatility spillovers of the two metal groups show different dynamics in the short‐, medium‐ and long‐term components, especially in the short‐ and medium‐term components.

The time‐varying volatility spillover effects between China's coal and metal market

“…On the other hand, the significance of metals as a crucial strategic resource in China's ongoing economic development cannot be overlooked (Indriawan et al, 2019; Zhang & Tu, 2016). A growing body of literature has underscored the pivotal role of metal commodities in today's financial markets (Liu, Gong, et al, 2021; Siklos et al, 2020; Wen et al, 2021). The refinement of China's metal commodity futures market has further propelled the financialization of various metal commodities, necessitating a deeper focus on financial research within China's metal markets.…”

Time‐varying pure contagion effect between energy and nonenergy commodity markets

“…Generally, the link between energy and metal price changes depends on the nature of the metal, which includes industrial and precious metals, according to their uses (Khalfaoui, Tiwarib, et al, 2021;Liu, Gong, et al, 2021). Dutta (2018) demonstrates an asymmetric correlation between oil and industrial metal markets using different Generalized AutoRegressive Conditional Heteroskedasticity (GARCH)-jump models.…”