Total, quantile, and frequency risk transmission among metal commodities
Huifu Nong,
Qian Huang
Abstract:This study investigates the total, quantile, and frequency risk transmission among five widely traded metals namely copper, gold, lead, silver, and zinc using forecast error variance decomposition. The analysis spans from 1 January 2002, to 30 June 2023. Our findings reveal that the total connectedness index (TCI) changed over time, indicating sensitivity to time‐specific developments and major events during different periods. The TCI is influenced more by extreme positive or negative shocks, as the lower and … Show more
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