Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/15654
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dc.contributor.authorKaranasos, M-
dc.contributor.authorMenla Ali, F-
dc.contributor.authorMargaronis, Z-
dc.date.accessioned2018-01-12T15:35:21Z-
dc.date.available2018-01-12T15:35:21Z-
dc.date.issued2017-
dc.identifier.citationInternational Review of Financial Analysisen_US
dc.identifier.issn1057-5219-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/15654-
dc.description.abstractThis paper examines how the most prevalent stochastic properties of key metal futures returns have been a§ected by the recent Önancial 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 di§erent 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.en_US
dc.language.isoenen_US
dc.subjectFinancial crisisen_US
dc.subjectMetal futuresen_US
dc.subjectStructural breaksen_US
dc.subjectTime-varying volatility spilloversen_US
dc.titleModelling Time Varying Volatility Spillovers and Conditional Correlations Across Commodity Metal Futuresen_US
dc.typeArticleen_US
dc.relation.isPartOfInternational Review of Financial Analysis-
pubs.publication-statusAccepted-
Appears in Collections:Dept of Economics and Finance Research Papers

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